EWP Options History — July 2013

In July 2013, EWP traded between $27.90 and $31.28. ATM implied volatility averaged 24.4%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.9% (HV 20d: 23.5%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 8.26.

Notable Days

  • 2013-07-29: Highest Volume — 1,207 contracts
  • 2013-07-08: Largest IV spike — 14.1% change
  • 2013-07-02: Highest IV Rank — 41.0%
  • 2013-07-10: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.24$27.90$31.28$28.23$31.28
Max Pain$29.36$29.00$31.00$31.00$30.00
ATM IV24.4%22.0%27.1%25.1%22.3%
Expected Move7.1%6.3%7.8%7.2%6.4%
HV 20d23.5%19.2%27.2%23.5%19.2%
HV 60d22.0%21.1%23.5%23.4%21.5%
IV Rank33.8%27.5%41.0%35.7%28.2%
IV Percentile28.2%15.9%41.3%30.2%17.9%
Term Structure1.2%-0.9%2.4%1.7%0.6%
VWIV23.8%18.1%28.5%24.5%18.1%
Skew 25d4.7%0.2%14.0%7.9%0.6%
Skew 10d8.2%-4.8%18.1%13.8%-2.3%
Call IV 25d22.0%17.2%24.5%21.8%22.0%
Put IV 25d26.7%22.6%31.2%29.8%22.6%
Bid-Ask Spread %71.8656.4081.3879.6281.38
Gamma HHI0.270.220.570.220.30
Net GEX-562.2K-1.2M-211.0K-635.8K-253.4K
Net DEX8.6M711.2K14.0M12.4M1.2M
Net VEX-52.1K-59.0K-48.9K-55.1K-58.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.260.1467.330.140.60
Total Volume223.045171,2074180
Total OI12,174.2739,26314,27312,97610,876

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$28.23$31.0025.1%7.2%23.5%35.7%24.5%7.9%1.7%-635.8K12.4M-55.1K0.1479.62N/AN/A3653,4119,565
2013-07-02$27.98$31.0027.1%7.8%23.6%41.0%20.3%5.2%-0.9%-628.8K13.1M-52.8K0.0081.28N/AN/A0563,4219,560
2013-07-03$27.90$31.0024.7%7.1%23.5%34.5%23.2%14.0%1.5%-625.8K14.0M-49.9K11.5079.59N/AN/A2233,4219,568
2013-07-05$28.12$29.0023.4%7.4%23.4%31.3%25.1%4.3%2.2%-648.5K13.2M-49.8K15.8775.03N/AN/A304763,4239,578
2013-07-08$28.46$29.0026.7%7.8%24.1%39.9%26.4%3.0%1.5%-731.0K12.4M-52.9K21.6371.04N/AN/A81733,4369,952
2013-07-09$28.43$29.0026.6%7.8%24.0%39.4%0.0%2.9%1.2%-689.2K12.1M-52.1K0.8564.62N/AN/A46393,4449,733
2013-07-10$28.49$29.0025.7%7.8%23.7%37.3%28.5%4.9%1.3%-684.3K11.5M-52.0K6.7564.84N/AN/A4273,4579,725
2013-07-11$29.21$29.0024.8%7.1%25.6%34.9%25.0%3.9%1.8%-756.2K9.4M-52.9K0.8863.93N/AN/A51453,4619,732
2013-07-12$28.33$29.0026.3%7.6%27.1%38.9%26.7%3.2%1.9%-679.0K12.6M-48.9K67.3370.70N/AN/A151,0103,4539,765
2013-07-15$28.49$29.0026.4%7.6%27.2%39.1%25.3%3.2%1.5%-708.4K13.0M-50.2K1.1171.51N/AN/A46513,46810,758
2013-07-16$28.54$29.0025.1%7.2%26.8%35.7%0.0%4.9%-0.1%-736.6K12.9M-50.1K3.0975.35N/AN/A571763,51410,758
2013-07-17$28.46$29.0026.5%7.6%26.4%39.3%0.0%3.9%1.7%-657.3K12.6M-49.9K2.8678.30N/AN/A501433,57110,631
2013-07-18$28.97$29.0023.5%6.7%25.8%31.5%22.8%7.3%2.1%-739.7K10.7M-52.1K7.0071.58N/AN/A10703,62110,622
2013-07-19$29.00$29.0024.1%6.9%22.9%32.9%24.0%4.7%2.3%-1.2M10.5M-51.8K1.4575.66N/AN/A1141653,62710,646
2013-07-22$29.26$29.0024.0%6.9%22.5%32.6%22.8%9.4%1.2%-358.9K5.0M-51.3K3.7162.50N/AN/A7262,9436,320
2013-07-23$29.75$29.0022.4%6.4%21.5%28.6%25.2%4.1%2.4%-322.5K3.8M-51.8K1.2656.40N/AN/A66832,9506,340
2013-07-24$30.15$29.0023.0%6.6%21.8%30.2%22.4%6.5%-0.1%-329.1K3.0M-51.9K5.7565.93N/AN/A12692,9706,410
2013-07-25$30.90$29.0022.1%6.3%22.4%27.8%22.7%5.2%0.6%-262.1K1.5M-52.0K1.7059.58N/AN/A911552,9826,436
2013-07-26$31.14$29.0022.0%6.3%21.1%27.5%21.7%2.9%0.7%-211.1K729.8K-51.4K0.4175.47N/AN/A118483,0686,590
2013-07-29$30.98$29.0022.4%6.4%20.5%28.7%22.9%1.2%0.3%-211.0K711.2K-50.5K11.3278.58N/AN/A981,1093,1486,618
2013-07-30$31.12$30.0022.6%6.5%19.9%29.1%0.0%0.2%1.2%-278.4K1.8M-59.0K0.0078.01N/AN/A0173,1547,708
2013-07-31$31.28$30.0022.3%6.4%19.2%28.2%18.1%0.6%0.6%-253.4K1.2M-58.5K0.6081.38N/AN/A50303,1517,725