EWP Options History — September 2013

In September 2013, EWP traded between $31.01 and $34.90. ATM implied volatility averaged 23.0%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.6% (HV 20d: 22.5%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.94.

Notable Days

  • 2013-09-18: Highest Volume — 5,557 contracts
  • 2013-09-12: Largest IV spike — 11.7% change
  • 2013-09-03: Highest IV Rank — 41.2%
  • 2013-09-03: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.37$31.01$34.90$31.01$34.75
Max Pain$31.20$31.00$32.00$32.00$32.00
ATM IV23.0%19.6%27.2%27.2%21.4%
Expected Move6.7%5.6%7.8%7.8%6.1%
HV 20d22.5%16.7%24.9%23.3%16.7%
HV 60d21.6%20.2%22.9%22.8%20.2%
IV Rank30.2%21.2%41.2%41.2%25.9%
IV Percentile30.1%7.5%58.7%58.7%19.4%
Term Structure1.4%-0.2%2.9%0.6%0.7%
VWIV23.5%19.3%30.0%22.1%21.7%
Skew 25d5.5%1.4%9.3%7.0%6.8%
Skew 10d10.9%4.8%22.7%19.7%13.9%
Call IV 25d21.0%18.8%23.6%23.6%20.2%
Put IV 25d26.5%22.8%30.6%30.6%27.1%
Bid-Ask Spread %62.3438.1978.2571.1168.51
Gamma HHI0.440.250.760.290.75
Net GEX-392.0K-521.7K-81.8K-521.7K-403.2K
Net DEX-1.3M-7.5M6.0M6.0M-2.4M
Net VEX-60.4K-69.8K-39.6K-63.6K-65.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.940.0022.350.130.06
Total Volume478.55145,55759919
Total OI14,324.412,02017,43712,02017,082

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$31.01$32.0027.2%7.8%23.3%41.2%22.1%7.0%0.6%-521.7K6.0M-63.6K0.1371.11N/AN/A529703,2888,732
2013-09-04$31.27$32.0025.8%7.4%23.5%37.5%30.0%9.3%1.6%-493.8K4.8M-64.4K0.0070.90N/AN/A27403,5918,730
2013-09-05$31.28$32.0025.6%7.3%23.1%37.0%26.8%8.1%1.1%-479.6K4.4M-64.8K0.0077.21N/AN/A0303,8098,730
2013-09-06$31.68$31.0023.6%7.0%22.4%31.7%22.8%6.5%1.2%-464.2K2.9M-64.0K0.1838.19N/AN/A3363,8098,750
2013-09-09$31.98$31.0022.7%6.8%22.7%29.2%26.1%6.7%1.9%-462.1K1.7M-61.9K1.3840.66N/AN/A16223,8328,751
2013-09-10$32.48$31.0023.2%7.1%23.2%30.5%24.5%7.0%1.3%-456.8K-518.8K-58.5K0.3049.48N/AN/A117353,8318,772
2013-09-11$33.07$31.0020.5%6.4%24.1%23.5%25.0%5.7%2.9%-386.1K-2.5M-55.0K0.0949.24N/AN/A276253,8168,778
2013-09-12$33.13$31.0022.9%6.6%24.1%29.7%26.1%4.8%2.4%-345.6K-2.7M-55.1K4.2246.42N/AN/A793333,7998,794
2013-09-13$33.18$31.0023.4%6.7%24.1%31.1%24.3%4.1%2.1%-399.3K-2.6M-54.4K0.4550.70N/AN/A22103,7698,995
2013-09-16$33.40$31.0024.1%6.9%23.9%33.1%25.3%4.7%0.7%-324.2K-3.4M-51.9K1.7459.73N/AN/A721253,7548,999
2013-09-17$33.50$31.0023.4%6.7%21.7%31.2%20.3%5.3%1.5%-357.1K-3.7M-50.0K2.5057.74N/AN/A20503,7079,100
2013-09-18$34.80$31.0023.5%6.8%24.9%31.5%23.0%1.4%1.3%-81.8K-7.5M-39.6K22.3578.25N/AN/A2385,3193,7069,091
2013-09-19$34.50$31.0023.1%6.6%24.9%30.5%21.9%3.6%1.6%-360.0K-3.4M-66.3K0.8372.49N/AN/A1641363,66213,620
2013-09-20$34.36$31.0022.7%6.5%24.2%29.4%19.3%4.4%1.4%-358.2K-3.4M-65.5K2.5262.45N/AN/A421063,69813,739
2013-09-23$34.27$31.0022.5%6.5%24.2%28.8%22.9%6.6%0.7%-374.7K-2.7M-64.1K11.5367.10N/AN/A901,0383,50812,436
2013-09-24$34.36$31.0023.4%6.7%23.5%31.2%21.3%4.2%-0.2%-443.2K-2.0M-69.8K0.2569.68N/AN/A1233,49913,469
2013-09-25$34.75$31.0021.1%6.1%18.4%25.2%21.1%5.7%0.9%-413.8K-2.8M-65.8K0.5869.59N/AN/A43253,48913,435
2013-09-26$34.90$31.0020.8%6.0%18.3%24.2%21.5%4.0%1.1%-356.1K-3.2M-65.0K2.5072.69N/AN/A4103,52213,432
2013-09-27$34.76$31.0019.6%5.6%18.4%21.2%23.7%3.9%2.4%-359.1K-3.3M-63.4K4.2474.64N/AN/A341443,52613,438
2013-09-30$34.75$32.0021.4%6.1%16.7%25.9%21.7%6.8%0.7%-403.2K-2.4M-65.0K0.0668.51N/AN/A1813,50513,577