EWP Options History — November 2013

In November 2013, EWP traded between $35.87 and $37.65. ATM implied volatility averaged 21.8%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.8% (HV 20d: 19.0%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 4.11.

Notable Days

  • 2013-11-20: Highest Volume — 1,004 contracts
  • 2013-11-08: Largest IV drop — 15.4% change
  • 2013-11-19: Highest IV Rank — 31.3%
  • 2013-11-07: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.00$35.87$37.65$37.46$37.65
Max Pain$38.15$36.00$40.00$36.00$38.00
ATM IV21.8%19.4%23.4%20.0%21.2%
Expected Move6.5%5.7%7.0%5.7%6.1%
HV 20d19.0%17.8%20.1%18.7%19.4%
HV 60d19.8%18.6%21.2%19.9%18.6%
IV Rank27.0%20.8%31.3%22.2%25.4%
IV Percentile30.8%8.7%50.4%11.1%25.8%
Term Structure-1.3%-2.4%2.7%2.7%-2.3%
VWIV22.6%18.5%26.3%18.5%22.2%
Skew 25d2.6%1.3%5.9%4.5%3.3%
Skew 10d7.5%1.0%13.7%10.9%13.7%
Call IV 25d20.7%16.8%22.4%16.8%20.7%
Put IV 25d23.3%21.2%24.3%21.2%24.0%
Bid-Ask Spread %50.1432.3770.4166.9753.80
Gamma HHI0.240.160.300.250.16
Net GEX-377.8K-492.2K-262.6K-385.9K-262.6K
Net DEX-3.9M-5.7M-274.8K-4.9M-5.5M
Net VEX-47.8K-58.0K-40.5K-45.7K-40.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.110.1419.601.470.49
Total Volume218.681,00494109
Total OI15,811.814,57116,33015,20016,301

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$37.46$36.0020.0%5.7%18.7%22.2%18.5%4.5%2.7%-385.9K-4.9M-45.7K1.4766.97N/AN/A38563,70211,498
2013-11-04$37.65$40.0019.8%6.4%18.3%21.6%23.2%2.4%-0.4%-352.2K-5.7M-42.8K0.1437.23N/AN/A69103,73011,533
2013-11-05$37.03$40.0022.4%6.6%19.1%28.5%22.2%3.1%-2.2%-401.1K-4.2M-48.2K0.2433.02N/AN/A243593,79911,540
2013-11-06$37.45$38.0022.3%6.7%18.8%28.2%23.1%1.9%-2.0%-327.3K-5.5M-46.2K10.7332.37N/AN/A111184,02211,571
2013-11-07$36.42$38.0023.0%7.0%19.4%30.1%23.5%2.2%-2.2%-453.0K-2.7M-52.2K1.6344.20N/AN/A1602614,02911,664
2013-11-08$36.83$39.0019.4%6.3%19.9%20.8%21.7%3.0%0.2%-459.3K-3.5M-53.0K0.4842.52N/AN/A125604,18611,892
2013-11-11$37.12$38.0021.5%6.6%19.9%26.1%23.4%2.1%-1.7%-383.5K-4.8M-46.8K1.1743.26N/AN/A30354,29011,921
2013-11-12$36.88$38.0022.7%6.9%20.1%29.2%0.0%1.6%-2.1%-406.6K-4.0M-49.4K3.0047.50N/AN/A264,31511,930
2013-11-13$37.08$38.0020.1%6.6%19.0%22.6%23.3%2.6%-2.4%-383.1K-4.3M-49.2K0.9249.87N/AN/A36334,31311,925
2013-11-14$36.87$38.0023.1%6.6%18.1%30.2%21.8%3.2%-2.2%-380.5K-4.2M-45.7K1.5350.78N/AN/A731124,28511,949
2013-11-15$36.87$38.0022.1%6.3%17.8%27.8%22.5%1.7%-0.4%-395.1K-3.7M-48.0K16.0058.20N/AN/A4644,28612,044
2013-11-18$36.99$38.0022.6%6.5%17.9%28.9%22.0%1.9%-1.6%-291.2K-4.5M-41.1K0.4748.29N/AN/A138653,55211,019
2013-11-19$36.64$38.0023.4%6.7%17.9%31.3%26.3%1.5%-2.4%-349.9K-3.0M-47.2K8.7150.75N/AN/A857403,66511,052
2013-11-20$35.87$38.0023.0%6.6%17.9%30.2%22.5%1.3%-1.9%-458.1K-274.8K-56.8K2.6070.41N/AN/A2797253,72211,792
2013-11-21$36.50$38.0022.6%6.5%18.9%29.1%22.0%2.8%-1.5%-492.2K-767.1K-58.0K2.0557.20N/AN/A611253,83512,352
2013-11-22$37.04$38.0021.8%6.2%19.7%26.9%22.2%3.1%-1.8%-359.4K-3.5M-50.1K1.4752.57N/AN/A64943,87112,235
2013-11-25$36.84$38.0021.9%6.3%19.6%27.1%21.6%1.7%-0.3%-376.9K-3.2M-46.4K3.1559.18N/AN/A13413,84012,256
2013-11-26$37.16$38.0022.1%6.3%19.5%27.8%23.3%5.9%-2.2%-339.1K-3.8M-46.4K19.6057.07N/AN/A5983,82712,297
2013-11-27$37.57$38.0021.3%6.1%19.5%25.8%23.5%2.9%0.1%-298.8K-5.1M-42.8K6.3547.66N/AN/A171083,83212,364
2013-11-29$37.65$38.0021.2%6.1%19.4%25.4%22.2%3.3%-2.3%-262.6K-5.5M-40.5K0.4953.80N/AN/A73363,83712,464