EWP Options History — June 2013

In June 2013, EWP traded between $27.69 and $30.67. ATM implied volatility averaged 25.2%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.1% (HV 20d: 20.2%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 9.07.

Notable Days

  • 2013-06-18: Highest Volume — 1,905 contracts
  • 2013-06-06: Largest IV spike — 112.6% change
  • 2013-06-10: Highest IV Rank — 99.1%
  • 2013-06-24: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.57$27.69$30.67$30.67$27.69
Max Pain$32.15$30.00$33.00$30.00$31.00
ATM IV25.2%11.5%49.6%23.4%26.7%
Expected Move7.1%3.3%7.8%6.7%7.6%
HV 20d20.2%17.6%24.3%19.3%23.0%
HV 60d23.2%21.6%24.1%24.1%23.1%
IV Rank35.1%0.0%99.1%24.5%39.8%
IV Percentile30.4%0.0%99.6%19.8%39.3%
Term Structure2.2%-1.1%14.6%2.1%-1.1%
VWIV22.2%12.0%29.6%23.8%21.2%
Skew 25d6.5%0.6%14.1%5.1%10.0%
Skew 10d11.9%0.5%18.0%4.6%17.0%
Call IV 25d22.0%15.3%25.4%21.8%22.9%
Put IV 25d28.5%24.9%33.4%26.9%32.9%
Bid-Ask Spread %76.1465.7985.7175.0674.35
Gamma HHI0.290.210.420.270.21
Net GEX-545.0K-762.9K-386.5K-386.5K-594.7K
Net DEX9.4M5.3M15.5M5.8M13.9M
Net VEX-53.4K-57.4K-46.6K-56.2K-52.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.070.0880.007.172.94
Total Volume223.1541,90598138
Total OI11,999.610,80213,68210,80212,898

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$30.67$30.0023.4%6.7%19.3%24.5%23.8%5.1%2.1%-386.5K5.8M-56.2K7.1775.06N/AN/A12862,9357,867
2013-06-04$30.51$30.0024.3%7.0%19.3%26.6%16.9%0.6%0.6%-406.2K5.9M-55.8K1.2771.20N/AN/A22282,9457,917
2013-06-05$30.29$30.0011.5%3.3%19.3%0.0%12.0%14.1%14.6%-410.1K6.0M-54.9K1.2178.75N/AN/A28342,9547,931
2013-06-06$30.60$30.0024.5%7.0%18.4%32.7%28.3%6.9%0.5%-397.1K6.1M-55.0K0.2582.64N/AN/A40102,9777,935
2013-06-07$30.57$33.0023.6%7.2%17.6%30.4%15.7%5.6%2.8%-407.9K6.0M-55.0K0.0071.19N/AN/A0202,9977,939
2013-06-10$30.38$33.0049.6%7.6%17.7%99.1%23.5%9.3%2.0%-427.0K6.7M-53.7K15.0776.24N/AN/A142112,9957,959
2013-06-11$29.93$33.0025.6%7.4%17.7%36.5%21.5%7.7%1.8%-465.9K7.8M-53.1K5.1472.22N/AN/A733753,0098,167
2013-06-12$30.01$33.0014.7%7.3%17.8%8.3%26.5%5.1%2.1%-466.7K7.4M-55.4K0.0073.51N/AN/A043,0418,524
2013-06-13$30.35$33.0026.7%7.6%17.9%39.4%28.0%9.0%1.9%-480.8K7.6M-55.7K0.0074.00N/AN/A0323,0418,525
2013-06-14$30.04$33.0026.0%7.4%17.9%37.9%0.0%5.0%1.6%-523.3K8.3M-53.9K0.0879.52N/AN/A1213,0088,525
2013-06-17$30.35$33.0025.0%7.2%17.9%35.4%21.9%3.2%1.6%-614.6K6.5M-49.9K0.4574.09N/AN/A33152,9968,526
2013-06-18$30.66$33.0023.9%6.9%18.2%32.5%16.0%5.2%1.5%-515.2K5.3M-49.0K2.0785.71N/AN/A6211,2842,9868,536
2013-06-19$29.81$33.0025.1%7.2%20.6%35.7%25.6%1.4%0.8%-639.9K8.7M-57.4K17.5084.92N/AN/A203503,5849,770
2013-06-20$28.85$33.0025.4%7.3%22.9%36.3%24.2%1.1%1.9%-736.7K12.8M-55.4K0.0085.52N/AN/A02583,58410,098
2013-06-21$28.46$32.0025.6%7.3%22.9%36.8%22.7%4.9%2.8%-697.5K14.5M-51.7K80.0080.92N/AN/A1803,5849,999
2013-06-24$27.86$33.0027.2%7.8%23.8%41.0%29.6%7.5%2.1%-668.8K15.5M-50.0K9.2765.79N/AN/A222043,1859,722
2013-06-25$27.96$33.0024.9%7.1%23.0%35.1%20.1%4.3%-0.1%-690.1K15.5M-46.6K1.4271.09N/AN/A1141623,1979,762
2013-06-26$28.47$32.0025.2%7.2%24.1%35.8%21.9%13.0%4.3%-762.9K13.7M-51.6K1.0070.30N/AN/A30303,3079,874
2013-06-27$28.00$32.0025.8%7.4%24.3%37.5%22.5%11.3%0.9%-607.8K14.3M-54.3K0.3475.82N/AN/A74253,3079,886
2013-06-28$27.69$31.0026.7%7.6%23.0%39.8%21.2%10.0%-1.1%-594.7K13.9M-52.9K2.9474.35N/AN/A351033,3789,520