EWP Options History — April 2013

In April 2013, EWP traded between $27.92 and $31.32. ATM implied volatility averaged 28.7%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 1.7% (HV 20d: 27.0%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 4.82.

Notable Days

  • 2013-04-09: Highest Volume — 1,114 contracts
  • 2013-04-15: Largest IV spike — 13.8% change
  • 2013-04-08: Highest IV Rank — 44.6%
  • 2013-04-04: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.40$27.92$31.32$27.92$31.19
Max Pain$29.73$29.00$30.00$29.00$30.00
ATM IV28.7%24.5%34.7%31.3%26.2%
Expected Move8.2%7.0%9.3%9.0%7.5%
HV 20d27.0%24.7%30.2%25.7%25.4%
HV 60d30.5%29.2%31.6%29.6%31.3%
IV Rank29.8%19.3%44.6%36.1%23.4%
IV Percentile28.0%18.7%53.6%34.5%22.2%
Term Structure-0.2%-3.0%2.7%0.3%-3.0%
VWIV28.9%21.3%33.5%30.8%27.4%
Skew 25d6.0%2.2%9.8%3.7%6.6%
Skew 10d13.4%3.4%19.0%3.4%12.6%
Call IV 25d25.7%19.3%31.4%30.7%21.3%
Put IV 25d31.7%27.8%36.6%34.4%27.8%
Bid-Ask Spread %64.9851.7377.6472.7974.84
Gamma HHI0.390.160.700.360.18
Net GEX357.2K-270.4K1.6M285.4K-264.6K
Net DEX3.4M-4.7M7.4M6.9M3.1M
Net VEX-34.2K-47.0K-23.6K-44.4K-24.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.820.2227.252.021.50
Total Volume285.955181,11437840
Total OI14,473.5915,15818,98718,5985,754

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$27.92$29.0031.3%9.0%25.7%36.1%30.8%3.7%0.3%285.4K6.9M-44.4K2.0272.79N/AN/A12525310,2268,372
2013-04-02$28.35$29.0030.0%8.6%26.1%32.9%31.2%2.2%2.3%443.2K4.0M-47.0K1.1377.13N/AN/A546110,2218,372
2013-04-03$28.11$29.0031.4%9.0%25.7%36.6%31.5%2.9%-0.4%378.9K5.8M-45.2K1.7776.08N/AN/A305310,2758,412
2013-04-04$28.30$29.0032.6%9.3%26.0%39.5%28.9%6.2%-1.8%406.4K5.9M-43.0K0.2677.64N/AN/A2225710,3048,422
2013-04-05$28.28$30.0033.7%9.3%25.5%42.3%33.5%8.9%-0.2%389.7K5.9M-42.6K2.5056.59N/AN/A225510,2178,456
2013-04-08$28.26$30.0034.7%9.2%24.7%44.6%32.5%7.0%-0.2%415.2K5.6M-40.0K11.3062.53N/AN/A2326010,2398,492
2013-04-09$28.79$30.0030.3%8.4%26.0%33.7%30.7%7.2%0.5%691.6K3.1M-42.4K1.1153.21N/AN/A52758710,2458,742
2013-04-10$29.66$30.0027.7%8.0%28.6%27.2%27.5%6.3%0.6%1.2M-4.5M-44.6K0.2251.73N/AN/A74016110,0728,727
2013-04-11$29.71$30.0027.5%7.9%28.6%26.8%29.0%3.7%1.1%1.4M-4.7M-42.6K2.6056.55N/AN/A5139,7518,718
2013-04-12$29.81$30.0026.5%7.6%27.7%24.3%25.8%8.0%2.7%1.6M-4.2M-40.4K1.1759.02N/AN/A24289,7568,723
2013-04-15$28.99$30.0030.2%8.6%29.1%33.4%30.2%3.2%-0.7%814.7K3.1M-34.9K27.2563.85N/AN/A82189,7688,736
2013-04-16$29.54$30.0027.1%7.8%28.7%25.7%25.4%4.4%1.9%1.6M-911.1K-34.1K15.0068.31N/AN/A2309,7768,803
2013-04-17$28.73$30.0030.4%8.7%29.7%34.0%30.8%9.8%-0.6%238.7K7.3M-27.9K0.6266.00N/AN/A145909,7788,812
2013-04-18$28.74$30.0029.6%8.5%29.3%31.9%29.3%3.6%0.2%115.6K7.4M-26.0K0.8460.37N/AN/A4513819,9188,752
2013-04-19$29.08$30.0029.4%8.4%29.4%31.5%29.2%4.8%0.3%-270.4K7.3M-24.5K1.2467.82N/AN/A1702119,7178,990
2013-04-22$29.70$29.0027.0%7.7%30.2%25.4%28.0%7.1%-2.8%-264.5K5.0M-23.6K1.8462.82N/AN/A831536554,503
2013-04-23$30.53$29.0025.1%7.2%26.3%20.6%32.7%9.2%-0.1%-261.9K4.1M-24.4K2.4857.97N/AN/A1664127344,639
2013-04-24$30.78$30.0024.7%7.1%25.8%19.7%25.5%7.5%-0.5%-248.5K3.5M-25.2K0.0061.56N/AN/A0378704,638
2013-04-25$30.53$30.0025.8%7.4%25.4%22.5%25.3%5.8%-2.1%-256.9K3.7M-24.9K0.8063.78N/AN/A20168704,663
2013-04-26$30.58$30.0024.5%7.0%25.4%19.3%21.3%5.1%-0.4%-263.5K3.7M-24.8K21.3164.74N/AN/A132778864,679
2013-04-29$31.32$30.0026.1%7.5%25.5%23.2%27.4%9.2%-0.9%-261.2K3.0M-24.5K4.2374.22N/AN/A13558934,843
2013-04-30$31.19$30.0026.2%7.5%25.4%23.4%0.0%6.6%-3.0%-264.6K3.1M-24.7K1.5074.84N/AN/A16249064,848