EWP Options History — May 2013

In May 2013, EWP traded between $30.21 and $32.04. ATM implied volatility averaged 21.5%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.2% (HV 20d: 21.3%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 5.02.

Notable Days

  • 2013-05-24: Highest Volume — 2,625 contracts
  • 2013-05-23: Largest IV spike — 47.0% change
  • 2013-05-01: Highest IV Rank — 24.6%
  • 2013-05-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.00$30.21$32.04$30.93$30.21
Max Pain$29.82$29.00$30.00$30.00$30.00
ATM IV21.5%12.5%26.7%26.7%12.5%
Expected Move5.7%3.6%7.6%7.6%3.6%
HV 20d21.3%16.7%25.7%25.4%19.1%
HV 60d26.4%23.3%29.1%29.1%24.0%
IV Rank13.5%0.0%24.6%24.6%0.0%
IV Percentile12.5%0.0%26.6%23.8%0.0%
Term Structure4.5%-4.3%14.3%-4.3%14.3%
VWIV20.8%12.0%27.9%27.9%17.2%
Skew 25d6.2%-1.7%10.6%4.6%-1.6%
Skew 10d10.8%0.4%17.9%8.9%11.3%
Call IV 25d20.1%15.4%24.6%24.0%18.8%
Put IV 25d26.3%17.1%29.1%28.6%17.1%
Bid-Ask Spread %61.0249.1076.4975.2168.00
Gamma HHI0.220.170.290.180.26
Net GEX-319.2K-423.1K-239.2K-270.8K-400.6K
Net DEX3.9M1.3M7.0M3.3M6.0M
Net VEX-31.8K-56.8K-23.0K-24.6K-56.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.020.1237.733.700.46
Total Volume342.81842,625188178
Total OI7,319.7275,78110,6505,78110,650

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$30.93$30.0026.7%7.6%25.4%24.6%27.9%4.6%-4.3%-270.8K3.3M-24.6K3.7075.21N/AN/A401489224,859
2013-05-02$31.08$30.0025.4%7.3%25.4%21.5%26.4%5.6%-2.1%-284.3K3.4M-24.8K5.2276.49N/AN/A9479224,944
2013-05-03$31.52$30.0021.8%6.2%25.5%12.5%24.3%9.2%2.0%-278.4K2.7M-23.7K0.6171.52N/AN/A1801109314,944
2013-05-06$31.37$29.0025.9%6.9%25.7%22.8%13.3%10.2%4.5%-269.8K2.9M-23.4K7.3061.50N/AN/A10739124,971
2013-05-07$31.47$29.0025.9%6.4%25.2%22.7%13.2%9.2%9.0%-278.6K2.7M-23.0K0.1249.10N/AN/A386479225,007
2013-05-08$32.04$29.0023.4%6.3%24.0%16.6%18.8%6.1%4.7%-239.2K1.3M-23.6K0.6649.49N/AN/A76501,2525,025
2013-05-09$31.51$29.0023.3%4.7%25.1%16.2%12.0%4.9%4.1%-249.4K1.9M-24.2K37.7352.52N/AN/A114151,3085,071
2013-05-10$31.40$30.0022.9%6.8%25.2%15.3%24.4%2.7%0.1%-268.2K2.6M-25.8K10.6756.29N/AN/A3321,3145,457
2013-05-13$30.94$30.0025.3%4.7%23.4%21.2%0.0%6.9%5.2%-265.8K3.2M-25.2K1.0058.15N/AN/A221,3145,471
2013-05-14$30.89$30.0026.5%4.3%22.7%24.2%0.0%9.8%7.8%-275.9K3.2M-25.2K1.5060.93N/AN/A231,3145,471
2013-05-15$31.19$30.0025.8%6.2%19.9%22.5%25.1%6.5%5.3%-266.2K3.0M-25.0K4.6059.88N/AN/A10461,3145,471
2013-05-16$30.85$30.0018.3%5.2%20.6%3.8%24.6%6.7%7.0%-266.7K3.1M-24.4K1.8857.27N/AN/A34641,3145,471
2013-05-17$31.16$30.0016.4%4.7%20.5%0.0%20.2%7.2%5.9%-258.0K3.1M-25.3K23.1765.79N/AN/A461,0661,3255,513
2013-05-20$30.95$30.0015.4%4.4%19.7%0.0%19.1%8.6%6.5%-369.9K4.8M-31.3K0.6451.20N/AN/A1621041,1245,962
2013-05-21$30.74$30.0020.6%5.9%17.4%12.7%20.7%7.5%3.8%-379.5K5.4M-31.5K0.8762.84N/AN/A1201041,0876,032
2013-05-22$30.24$30.0016.1%4.6%18.1%1.6%18.1%4.6%5.7%-390.1K6.1M-30.9K1.2760.36N/AN/A931181,1446,060
2013-05-23$30.46$30.0023.6%6.8%18.1%19.8%22.0%4.5%0.9%-388.0K6.1M-31.8K5.2154.71N/AN/A613181,2056,155
2013-05-24$30.29$30.0018.5%5.3%18.2%7.4%24.2%4.5%1.9%-423.1K7.0M-32.2K0.9358.17N/AN/A1,3591,2661,2656,385
2013-05-28$30.70$30.0024.6%7.1%16.7%22.3%24.6%-1.7%0.2%-411.8K5.4M-54.9K2.2665.47N/AN/A1322982,5347,644
2013-05-29$30.92$30.0016.6%4.8%16.9%2.9%18.8%10.6%10.1%-403.7K5.3M-56.1K0.1668.32N/AN/A179282,6007,844
2013-05-30$31.04$30.0018.0%5.2%16.7%6.3%17.2%10.1%7.5%-384.8K4.5M-56.8K0.4959.17N/AN/A74362,7587,846
2013-05-31$30.21$30.0012.5%3.6%19.1%0.0%0.0%-1.6%14.3%-400.6K6.0M-56.0K0.4668.00N/AN/A122562,8137,837