EWP Options History — March 2013

In March 2013, EWP traded between $28.12 and $31.35. ATM implied volatility averaged 27.6%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 4.3% (HV 20d: 31.9%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 13.49.

Notable Days

  • 2013-03-15: Highest Volume — 9,547 contracts
  • 2013-03-18: Largest IV spike — 17.4% change
  • 2013-03-25: Highest IV Rank — 36.4%
  • 2013-03-25: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.13$28.12$31.35$29.88$28.30
Max Pain$29.90$29.00$31.00$31.00$29.00
ATM IV27.6%22.3%31.4%29.9%29.9%
Expected Move8.0%6.8%9.0%8.6%8.6%
HV 20d31.9%25.3%40.2%39.9%25.5%
HV 60d28.7%27.8%30.6%28.0%29.6%
IV Rank27.0%13.9%36.4%32.7%32.7%
IV Percentile25.0%12.7%36.5%29.0%29.0%
Term Structure0.5%-1.5%3.5%-0.6%1.0%
VWIV27.7%22.5%32.5%29.9%27.5%
Skew 25d5.0%2.8%7.3%4.3%5.6%
Skew 10d15.4%3.9%21.0%15.2%11.2%
Call IV 25d25.8%21.0%31.2%29.9%26.9%
Put IV 25d30.8%25.7%34.7%34.2%32.5%
Bid-Ask Spread %70.4363.3178.7169.9578.71
Gamma HHI0.500.400.630.400.42
Net GEX598.3K308.9K857.1K568.5K369.9K
Net DEX-6.5M-15.2M6.5M-2.7M5.8M
Net VEX-61.0K-73.8K-50.5K-73.8K-50.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.490.00125.000.2316.94
Total Volume950.249,547137951
Total OI19,329.215,50921,35520,69918,832

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$29.88$31.0029.9%8.6%39.9%32.7%29.9%4.3%-0.6%568.5K-2.7M-73.8K0.2369.95N/AN/A1112612,1858,514
2013-03-04$30.22$30.0030.7%8.5%40.2%34.7%26.1%7.3%-1.0%599.8K-5.1M-71.4K48.0063.31N/AN/A14812,2388,530
2013-03-05$30.49$30.0027.7%8.2%34.9%27.3%27.1%5.7%-0.2%546.8K-7.9M-71.0K0.2064.20N/AN/A3046012,2398,538
2013-03-06$30.40$30.0028.4%8.1%33.7%29.0%29.1%6.5%-0.1%572.2K-7.0M-69.3K0.8764.12N/AN/A32428212,2048,594
2013-03-07$30.72$30.0025.4%7.6%33.9%21.5%22.5%7.3%0.9%590.9K-9.3M-68.7K0.9566.00N/AN/A615812,4008,782
2013-03-08$31.15$30.0024.3%7.2%33.4%18.8%26.0%4.1%2.3%581.8K-13.1M-64.9K0.7768.72N/AN/A957312,4018,800
2013-03-11$31.08$30.0024.6%7.0%32.6%19.5%27.5%4.7%3.5%512.4K-12.7M-60.3K7.5070.98N/AN/A43012,4638,797
2013-03-12$30.84$30.0025.4%7.1%32.3%21.5%25.6%2.8%2.1%558.9K-11.0M-61.3K0.5271.71N/AN/A1276612,4668,817
2013-03-13$30.80$30.0022.3%7.1%31.1%13.9%0.0%4.6%2.6%533.8K-10.4M-59.1K0.0073.66N/AN/A0412,4898,781
2013-03-14$31.35$30.0024.1%6.9%31.6%18.2%22.9%6.1%2.5%659.4K-15.2M-54.6K0.6473.23N/AN/A1318412,4898,781
2013-03-15$31.27$30.0023.6%6.8%31.2%17.0%23.6%3.0%2.7%644.9K-14.6M-53.9K0.0078.20N/AN/A9,5054212,5348,821
2013-03-18$30.39$30.0027.7%7.9%32.5%27.2%29.8%4.5%-0.5%857.1K-9.8M-58.9K21.2965.95N/AN/A388099,3506,159
2013-03-19$29.89$30.0028.2%8.1%32.5%28.5%30.3%6.6%-0.5%761.7K-5.6M-60.8K0.8970.30N/AN/A3833409,3646,875
2013-03-20$30.25$30.0028.1%8.0%32.0%28.2%28.1%4.5%-0.6%834.6K-8.8M-60.4K14.1177.06N/AN/A354949,5756,924
2013-03-21$29.88$30.0028.4%8.1%31.5%29.0%28.3%3.6%-0.9%736.1K-6.3M-61.6K14.6774.06N/AN/A213089,6077,288
2013-03-22$30.22$30.0029.4%8.4%29.9%31.4%29.0%4.9%-1.5%767.3K-7.6M-60.7K125.0072.98N/AN/A11259,6277,480
2013-03-25$28.81$30.0031.4%9.0%27.7%36.4%30.8%3.5%-1.2%517.1K1.1M-54.9K1.6265.93N/AN/A8021,2989,6287,539
2013-03-26$28.50$29.0031.2%8.9%27.0%36.0%30.6%5.3%-0.7%443.4K3.6M-52.8K1.0173.12N/AN/A8488559,8297,957
2013-03-27$28.12$29.0031.3%9.0%25.3%36.1%32.5%4.6%-0.3%308.9K6.5M-51.3K1.1766.35N/AN/A12014010,0948,593
2013-03-28$28.30$29.0029.9%8.6%25.5%32.7%27.5%5.6%1.0%369.9K5.8M-50.5K16.9478.71N/AN/A5389810,2048,628