EWP Options History — August 2013

In August 2013, EWP traded between $30.48 and $33.00. ATM implied volatility averaged 21.4%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.5% (HV 20d: 17.9%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 9.31.

Notable Days

  • 2013-08-08: Highest Volume — 1,062 contracts
  • 2013-08-15: Largest IV spike — 27.5% change
  • 2013-08-27: Highest IV Rank — 40.5%
  • 2013-08-27: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.02$30.48$33.00$31.67$30.48
Max Pain$31.73$30.00$33.00$30.00$33.00
ATM IV21.4%15.4%27.0%20.4%25.4%
Expected Move6.4%5.6%7.7%5.8%7.3%
HV 20d17.9%13.3%22.4%19.1%22.2%
HV 60d21.5%20.8%22.5%21.6%22.5%
IV Rank25.9%10.2%40.5%23.2%36.4%
IV Percentile20.0%1.6%55.6%7.9%45.2%
Term Structure0.8%-1.4%2.6%2.1%1.9%
VWIV22.9%20.0%27.0%21.8%26.7%
Skew 25d4.5%-0.0%7.7%-0.0%5.7%
Skew 10d5.7%-2.9%19.4%-2.9%7.7%
Call IV 25d20.4%15.4%24.6%20.3%23.6%
Put IV 25d24.9%20.2%29.7%20.2%29.3%
Bid-Ask Spread %72.4455.2487.2685.5462.86
Gamma HHI0.320.290.380.300.30
Net GEX-302.4K-534.4K-161.4K-256.9K-534.4K
Net DEX1.0M-1.8M7.6M711.6K7.6M
Net VEX-58.7K-64.8K-51.8K-57.5K-64.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.310.06158.257.710.79
Total Volume246.682251,06261136
Total OI11,308.68210,25712,05510,86312,019

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$31.67$30.0020.4%5.8%19.1%23.2%21.8%-0.0%2.1%-256.9K711.6K-57.5K7.7185.54N/AN/A7543,1247,739
2013-08-02$31.90$30.0019.7%5.6%19.1%21.3%0.0%7.7%2.4%-240.2K183.3K-55.9K0.2587.26N/AN/A2053,0927,764
2013-08-05$31.73$30.0020.1%6.2%19.4%22.5%0.0%4.3%1.3%-222.5K608.0K-56.3K1.0570.85N/AN/A20213,1127,764
2013-08-06$31.67$30.0021.2%6.4%19.4%25.3%0.0%3.6%0.3%-249.4K537.8K-55.5K1.5071.06N/AN/A14213,1267,783
2013-08-07$32.02$30.0020.6%6.5%19.5%23.7%21.3%3.7%0.2%-212.0K-85.5K-55.0K0.3469.84N/AN/A88303,0947,783
2013-08-08$32.65$30.0019.5%5.9%18.9%21.0%20.0%2.3%0.2%-161.4K-1.8M-51.8K4.2176.34N/AN/A2048583,1097,809
2013-08-09$32.76$31.0017.1%6.0%13.3%14.7%22.1%2.6%2.0%-208.9K-1.8M-57.1K1.2680.21N/AN/A35443,3098,625
2013-08-12$32.48$32.0020.3%6.5%14.4%23.0%22.6%3.9%1.1%-215.2K-1.1M-58.5K1.1082.63N/AN/A42463,3448,662
2013-08-13$32.65$32.0015.4%5.8%14.3%10.2%0.0%4.2%2.2%-196.8K-1.4M-58.7K0.0678.72N/AN/A640373,3748,681
2013-08-14$32.68$32.0015.9%6.0%14.0%11.5%21.5%4.4%0.3%-218.0K-1.0M-56.9K0.0975.96N/AN/A176153,1458,716
2013-08-15$32.64$32.0020.3%5.8%13.7%22.9%21.0%3.3%1.9%-225.6K-626.6K-58.3K4.7175.02N/AN/A21993,1378,727
2013-08-16$33.00$32.0020.2%5.8%13.7%22.6%21.6%4.2%0.7%-192.9K-1.6M-56.3K0.2276.36N/AN/A140313,1478,808
2013-08-19$32.15$32.0023.0%6.6%17.8%30.1%22.8%5.5%-0.3%-259.5K333.9K-57.8K2.0264.14N/AN/A1252533,0377,220
2013-08-20$31.93$32.0022.4%6.4%17.7%28.5%23.6%7.1%1.2%-309.9K1.4M-61.0K0.4178.35N/AN/A137563,1577,449
2013-08-21$31.67$32.0023.4%6.7%17.8%31.1%23.2%6.2%-0.3%-312.4K1.9M-61.5K158.2571.15N/AN/A46333,1467,472
2013-08-22$32.35$33.0022.5%6.4%17.3%28.7%22.2%4.5%-0.1%-400.9K1.1M-60.4K0.1675.68N/AN/A103163,1468,065
2013-08-23$32.63$33.0020.1%5.8%17.3%22.5%20.0%5.3%2.6%-376.4K135.9K-57.7K0.0075.60N/AN/A0403,1298,075
2013-08-26$32.20$33.0024.0%6.9%18.0%32.8%0.0%3.8%-0.3%-399.4K1.5M-60.3K0.7568.08N/AN/A28213,1298,100
2013-08-27$31.06$33.0027.0%7.7%22.4%40.5%27.0%4.7%-1.4%-454.2K4.9M-62.4K4.1855.24N/AN/A964013,1348,120
2013-08-28$31.06$33.0026.7%7.7%22.4%39.8%26.0%5.9%-0.3%-493.1K5.5M-63.5K2.2057.28N/AN/A1292843,1288,398
2013-08-29$30.98$33.0026.2%7.5%21.8%38.4%25.7%5.3%-0.7%-511.7K5.9M-64.8K4.3055.43N/AN/A562413,2348,659
2013-08-30$30.48$33.0025.4%7.3%22.2%36.4%26.7%5.7%1.9%-534.4K7.6M-64.5K0.7962.86N/AN/A76603,2388,781