EWP Options History — February 2013

In February 2013, EWP traded between $28.78 and $31.33. ATM implied volatility averaged 25.8%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 6.8% (HV 20d: 32.6%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 12.98.

Notable Days

  • 2013-02-13: Highest Volume — 2,488 contracts
  • 2013-02-25: Largest IV spike — 26.1% change
  • 2013-02-26: Highest IV Rank — 46.5%
  • 2013-02-26: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.23$28.78$31.33$31.33$29.90
Max Pain$32.16$31.00$34.00$34.00$31.00
ATM IV25.8%21.1%35.4%21.1%31.4%
Expected Move7.5%6.3%10.2%6.3%9.0%
HV 20d32.6%20.5%41.4%20.5%41.4%
HV 60d24.2%19.5%28.0%19.5%28.0%
IV Rank22.5%10.8%46.5%10.8%36.4%
IV Percentile21.3%6.7%57.1%6.7%36.1%
Term Structure0.5%-4.0%2.1%1.4%-1.8%
VWIV24.9%16.1%32.7%20.8%30.9%
Skew 25d4.1%1.3%6.7%5.1%3.0%
Skew 10d11.1%7.2%14.8%13.6%8.2%
Call IV 25d23.9%19.4%33.5%20.1%30.1%
Put IV 25d28.0%23.3%35.8%25.3%33.1%
Bid-Ask Spread %55.6436.6872.9544.3066.91
Gamma HHI0.520.380.680.590.38
Net GEX502.4K257.0K734.8K476.1K541.3K
Net DEX-5.1M-11.0M142.2K-11.0M-4.8M
Net VEX-71.1K-76.1K-65.8K-71.9K-76.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.980.08188.001.51188.00
Total Volume649.158532,488168189
Total OI17,669.63215,27020,54815,27020,548

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$31.33$34.0021.1%6.3%20.5%10.8%20.8%5.1%1.4%476.1K-11.0M-71.9K1.5144.30N/AN/A671019,3575,913
2013-02-04$29.63$34.0023.9%7.2%28.5%17.7%24.8%1.6%1.1%532.5K-2.5M-68.0K7.4850.93N/AN/A1431,0699,3675,995
2013-02-05$30.41$34.0023.4%7.1%30.1%16.6%23.8%4.5%1.4%385.1K-5.2M-72.0K1.1758.33N/AN/A1211429,4296,783
2013-02-06$30.44$32.0023.6%7.1%30.1%17.1%0.0%6.1%0.9%446.2K-4.8M-71.3K0.1151.25N/AN/A111129,4986,860
2013-02-07$29.87$32.0025.3%7.3%29.9%21.4%26.4%2.4%0.8%419.4K-2.2M-70.1K0.0046.15N/AN/A0599,5096,868
2013-02-08$30.52$32.0023.2%6.6%29.7%16.0%22.7%5.3%-0.1%397.1K-5.2M-70.2K3.3149.45N/AN/A16539,5096,906
2013-02-11$30.10$32.0023.8%6.8%29.6%17.6%16.1%2.9%1.7%359.9K-3.3M-68.5K0.0052.04N/AN/A01059,5206,953
2013-02-12$30.85$32.0022.1%6.3%31.2%13.2%21.7%6.7%1.8%359.5K-7.0M-68.1K0.6245.58N/AN/A151949,5206,970
2013-02-13$31.13$32.0022.0%6.3%31.5%13.1%20.3%2.1%2.1%441.3K-8.6M-65.8K1.4938.34N/AN/A1,0001,4889,6017,049
2013-02-14$30.70$32.0021.9%6.3%31.7%12.8%23.1%6.7%2.0%284.4K-3.3M-72.6K0.0836.68N/AN/A6665610,6018,479
2013-02-15$30.29$32.0024.1%6.9%31.3%18.3%24.1%4.6%1.1%257.0K-2.2M-72.3K0.1353.92N/AN/A2,09127210,9048,505
2013-02-19$30.78$32.0022.8%6.5%32.1%15.1%24.7%4.3%1.5%692.9K-10.3M-73.7K3.4258.57N/AN/A124111,4106,812
2013-02-20$30.16$32.0026.3%7.5%32.6%23.7%26.4%2.1%0.9%684.1K-7.5M-73.8K3.1565.10N/AN/A206311,4196,851
2013-02-21$29.57$32.0026.7%7.7%33.1%24.8%22.9%1.3%1.2%655.8K-3.5M-72.0K2.6869.86N/AN/A22460011,4396,905
2013-02-22$30.46$32.0027.7%8.0%35.1%27.3%24.9%6.4%-0.2%700.3K-7.7M-73.2K1.6063.47N/AN/A11618611,6046,967
2013-02-25$28.78$32.0035.0%10.0%38.8%45.4%31.9%1.7%-3.3%541.6K142.2K-67.9K1.7772.95N/AN/A43476811,7107,123
2013-02-26$29.35$31.0035.4%10.2%39.9%46.5%32.7%5.4%-4.0%636.8K-1.6M-70.0K0.2271.78N/AN/A3006512,0537,292
2013-02-27$30.11$31.0030.3%8.7%41.4%33.7%30.1%6.3%0.3%734.8K-6.2M-72.4K3.8861.54N/AN/A3071,19212,1857,309
2013-02-28$29.90$31.0031.4%9.0%41.4%36.4%30.9%3.0%-1.8%541.3K-4.8M-76.1K188.0066.91N/AN/A118812,1848,364