EWP Options History — October 2013

In October 2013, EWP traded between $35.31 and $38.82. ATM implied volatility averaged 21.2%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.5% (HV 20d: 17.8%). Max pain ranged from $32.00 to $37.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 3.20.

Notable Days

  • 2013-10-10: Highest Volume — 1,207 contracts
  • 2013-10-03: Largest IV spike — 25.6% change
  • 2013-10-08: Highest IV Rank — 39.8%
  • 2013-10-09: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.14$35.31$38.82$35.31$37.71
Max Pain$35.04$32.00$37.00$32.00$36.00
ATM IV21.2%18.5%26.7%21.4%19.4%
Expected Move6.1%5.3%7.1%6.1%5.6%
HV 20d17.8%15.3%19.7%16.6%19.0%
HV 60d19.7%19.0%20.4%20.3%20.1%
IV Rank25.5%18.4%39.8%25.8%20.7%
IV Percentile20.9%6.3%65.1%19.4%8.3%
Term Structure1.4%-0.3%3.2%0.8%2.1%
VWIV22.5%17.0%27.7%21.6%19.5%
Skew 25d4.5%1.8%7.2%5.0%4.6%
Skew 10d8.5%3.5%14.1%12.6%5.6%
Call IV 25d20.0%17.5%22.9%20.2%17.7%
Put IV 25d24.5%21.2%28.5%25.2%22.3%
Bid-Ask Spread %49.7422.7077.0973.6960.91
Gamma HHI0.430.240.730.730.25
Net GEX-347.9K-412.5K-282.1K-357.9K-345.5K
Net DEX-6.0M-10.4M-3.3M-3.9M-5.4M
Net VEX-52.6K-63.3K-42.1K-60.2K-46.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.0217.092.180.02
Total Volume285.13241,20720757
Total OI16,857.69614,18219,73517,10115,180

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$35.31$32.0021.4%6.1%16.6%25.8%21.6%5.0%0.8%-357.9K-3.9M-60.2K2.1873.69N/AN/A651423,52313,578
2013-10-02$35.59$32.0019.2%5.5%16.6%20.2%0.0%7.2%3.0%-333.5K-4.4M-59.6K4.8172.61N/AN/A482313,54913,702
2013-10-03$35.36$32.0024.2%6.9%17.1%33.1%25.1%7.2%-0.3%-352.2K-4.0M-63.2K2.4077.09N/AN/A10243,58613,731
2013-10-04$35.92$37.0021.3%6.7%17.3%25.7%24.2%3.9%-0.3%-348.5K-4.8M-58.6K9.4422.70N/AN/A323023,59613,554
2013-10-07$35.64$37.0023.1%6.7%17.9%30.2%25.5%4.7%0.5%-387.2K-4.0M-62.3K0.4727.03N/AN/A141663,61913,725
2013-10-08$35.31$36.0026.7%7.1%18.2%39.8%25.0%5.3%0.4%-361.6K-3.3M-63.3K0.2328.79N/AN/A296673,60813,670
2013-10-09$35.86$35.0023.0%7.1%18.0%30.0%27.7%5.0%-0.3%-324.1K-4.8M-63.3K1.9528.73N/AN/A1633183,88513,736
2013-10-10$36.81$34.0022.4%6.4%19.6%28.5%26.2%4.0%1.2%-321.1K-7.7M-55.7K6.6927.16N/AN/A1571,0504,04814,047
2013-10-11$36.80$35.0022.3%6.4%19.6%28.3%26.8%5.7%1.2%-408.9K-6.3M-62.4K3.0033.71N/AN/A30904,06915,062
2013-10-14$37.04$35.0022.7%6.5%19.6%29.2%26.2%5.3%0.6%-399.5K-7.3M-57.2K10.3130.36N/AN/A161654,06815,092
2013-10-15$37.05$35.0022.2%6.4%19.7%28.1%24.0%4.4%1.4%-403.1K-6.8M-56.1K17.0937.90N/AN/A539063,87915,031
2013-10-16$37.72$35.0021.0%6.0%16.2%24.8%25.9%4.3%1.8%-412.5K-7.8M-55.3K0.5940.34N/AN/A100593,90615,829
2013-10-17$38.31$35.0020.4%5.9%16.0%23.4%19.2%3.6%2.4%-339.1K-9.7M-44.6K0.3544.89N/AN/A151533,94715,315
2013-10-18$38.57$35.0019.0%5.4%15.6%19.6%19.0%1.8%1.3%-303.8K-10.4M-42.3K0.8641.14N/AN/A94814,01415,360
2013-10-21$38.65$35.0019.4%5.6%15.4%20.7%17.0%4.8%1.6%-307.1K-6.2M-45.6K0.5555.74N/AN/A64353,09011,092
2013-10-22$38.82$35.0018.5%5.3%15.3%18.4%19.4%4.0%3.2%-282.1K-6.8M-42.1K1.5764.18N/AN/A761193,15411,126
2013-10-23$38.03$35.0020.5%5.9%17.8%23.5%20.4%4.0%2.3%-332.3K-6.0M-43.9K4.8161.50N/AN/A592843,20711,220
2013-10-24$38.37$36.0020.1%5.8%17.9%22.6%18.0%3.2%2.3%-336.3K-6.2M-43.9K0.1965.30N/AN/A386723,22511,376
2013-10-25$38.04$36.0019.7%5.7%18.3%21.5%21.5%3.7%1.5%-314.4K-6.1M-46.0K1.4065.24N/AN/A10143,59711,435
2013-10-28$37.69$36.0020.5%5.9%18.9%23.6%21.0%4.6%1.7%-361.5K-5.4M-48.1K0.4947.51N/AN/A94463,59711,449
2013-10-29$38.02$36.0021.1%6.0%18.4%25.0%18.5%3.9%1.1%-311.2K-6.4M-44.9K3.2374.18N/AN/A531713,66411,487
2013-10-30$37.53$36.0020.3%5.8%19.3%22.9%0.0%4.1%2.6%-357.8K-5.2M-45.9K1.0863.23N/AN/A52563,64911,450
2013-10-31$37.71$36.0019.4%5.6%19.0%20.7%19.5%4.6%2.1%-345.5K-5.4M-46.2K0.0260.91N/AN/A5613,68211,498