EWP Options History — December 2013

In December 2013, EWP traded between $36.04 and $38.57. ATM implied volatility averaged 20.8%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.2% (HV 20d: 16.6%). Max pain ranged from $33.00 to $38.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 5.29.

Notable Days

  • 2013-12-09: Highest Volume — 385 contracts
  • 2013-12-23: Largest IV spike — 41.2% change
  • 2013-12-05: Highest IV Rank — 40.2%
  • 2013-12-05: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.06$36.04$38.57$37.16$38.57
Max Pain$35.67$33.00$38.00$38.00$37.00
ATM IV20.8%13.0%26.9%24.3%18.5%
Expected Move5.8%3.7%7.7%7.0%5.3%
HV 20d16.6%13.6%19.9%19.8%13.6%
HV 60d18.1%17.4%19.0%18.8%17.4%
IV Rank24.4%3.9%40.2%33.4%18.3%
IV Percentile32.7%0.8%82.5%60.7%9.5%
Term Structure1.7%-4.8%9.2%-3.7%1.6%
VWIV21.0%16.1%31.0%26.9%18.0%
Skew 25d3.9%1.2%6.4%3.0%1.2%
Skew 10d9.1%-1.3%17.2%9.9%-1.3%
Call IV 25d19.4%14.5%23.5%20.2%17.7%
Put IV 25d23.3%18.9%27.7%23.2%18.9%
Bid-Ask Spread %65.4942.6985.2144.6042.69
Gamma HHI0.210.180.280.180.24
Net GEX-261.3K-517.7K218.9K-358.5K18.9K
Net DEX-1.1M-3.9M3.2M-3.9M-2.2M
Net VEX-36.5K-48.0K-24.8K-42.3K-24.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.290.0154.4026.250.72
Total Volume126.5242385109131
Total OI15,832.95214,04317,20916,32514,043

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$37.16$38.0024.3%7.0%19.8%33.4%26.9%3.0%-3.7%-358.5K-3.9M-42.3K26.2544.60N/AN/A41053,82512,500
2013-12-03$36.84$38.0025.1%7.2%19.9%35.6%31.0%2.2%-2.9%-403.7K-2.7M-43.5K1.2755.34N/AN/A48613,82512,589
2013-12-04$36.68$38.0024.7%7.1%19.1%34.6%25.4%4.2%-2.5%-461.9K-1.4M-47.5K1.5943.17N/AN/A34543,84512,629
2013-12-05$36.17$38.0026.9%7.7%19.2%40.2%24.4%2.6%-4.8%-513.5K45.1K-48.0K3.5546.52N/AN/A652313,81212,680
2013-12-06$36.46$33.0025.1%6.3%16.8%35.6%25.1%6.4%2.3%-517.7K-293.1K-46.7K0.6471.00N/AN/A78503,76812,865
2013-12-09$36.77$33.0023.8%6.1%16.5%32.1%21.3%3.5%2.6%-445.1K-2.0M-40.9K0.0375.40N/AN/A372133,81312,905
2013-12-10$36.80$33.0024.7%6.0%16.3%34.6%19.6%4.7%2.7%-358.0K-2.5M-41.1K0.0878.66N/AN/A2624,09912,906
2013-12-11$36.41$33.0026.1%6.4%16.5%38.2%22.3%3.7%1.4%-429.1K-1.3M-41.7K0.5766.35N/AN/A81464,10812,906
2013-12-12$36.04$33.0022.1%6.3%16.7%27.6%20.7%4.4%2.3%-493.4K147.4K-43.1K2.7678.58N/AN/A421164,14912,943
2013-12-13$36.14$33.0021.7%6.2%16.7%26.7%0.0%5.1%2.4%-513.6K128.8K-42.6K0.2685.21N/AN/A1954,08313,050
2013-12-16$36.78$33.0021.6%6.2%18.0%26.4%20.9%4.5%1.7%-414.7K-2.1M-38.0K0.0183.38N/AN/A8514,08513,054
2013-12-17$36.52$33.0017.5%5.0%18.1%15.7%16.9%4.2%1.2%-414.9K-1.2M-39.2K11.6776.68N/AN/A151754,15413,055
2013-12-18$36.72$37.0017.6%5.0%17.9%15.9%20.0%6.1%4.8%-380.1K3.2M-34.3K54.4064.09N/AN/A52722,34613,124
2013-12-19$36.93$37.0013.8%4.0%16.1%5.9%0.0%4.9%8.7%-73.5K731.2K-30.0K0.0064.39N/AN/A022,34112,990
2013-12-20$37.00$37.0013.0%3.7%14.9%3.9%16.2%4.8%9.2%218.9K215.8K-28.9K0.4962.03N/AN/A53262,34112,990
2013-12-23$37.46$37.0018.4%5.3%14.7%18.0%17.7%3.4%2.3%-63.0K-465.2K-28.6K0.0273.98N/AN/A4411,86012,252
2013-12-24$37.83$37.0018.3%5.3%14.8%17.9%20.9%4.7%1.4%7.0K-1.2M-27.7K0.7072.31N/AN/A53371,89312,252
2013-12-26$38.21$37.0018.2%5.2%14.9%17.5%16.1%1.6%1.9%24.5K-1.9M-26.3K0.0472.78N/AN/A9941,87512,270
2013-12-27$38.25$37.0018.6%5.3%14.5%18.4%18.7%3.5%1.5%29.1K-1.9M-25.9K0.6458.09N/AN/A50321,84512,270
2013-12-30$38.46$37.0017.6%5.0%14.6%15.9%17.8%2.5%2.3%55.0K-2.2M-25.5K0.0560.08N/AN/A11461,85012,302
2013-12-31$38.57$37.0018.5%5.3%13.6%18.3%18.0%1.2%1.6%18.9K-2.2M-24.8K0.7242.69N/AN/A76551,74212,301