EWP Options History — January 2014

In January 2014, EWP traded between $37.34 and $40.86. ATM implied volatility averaged 20.3%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.5% (HV 20d: 20.8%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.81.

Notable Days

  • 2014-01-24: Highest Volume — 2,183 contracts
  • 2014-01-16: Largest IV spike — 42.4% change
  • 2014-01-31: Highest IV Rank — 39.3%
  • 2014-01-31: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.03$37.34$40.86$37.48$37.88
Max Pain$38.90$37.00$40.00$37.00$39.00
ATM IV20.3%13.9%26.5%21.7%26.5%
Expected Move6.0%5.1%7.6%6.2%7.6%
HV 20d20.8%16.7%27.4%17.1%26.2%
HV 60d19.0%18.1%21.1%18.3%21.1%
IV Rank23.1%6.1%39.3%26.7%39.3%
IV Percentile26.5%1.6%81.0%32.1%81.0%
Term Structure0.7%-2.0%2.7%-0.7%-2.0%
VWIV20.7%18.7%24.9%20.4%24.8%
Skew 25d3.7%0.3%6.0%2.8%5.7%
Skew 10d8.0%-3.1%16.1%-3.1%15.0%
Call IV 25d19.3%16.4%24.0%20.2%24.0%
Put IV 25d23.1%20.1%29.7%23.0%29.7%
Bid-Ask Spread %44.2325.8272.9659.3739.73
Gamma HHI0.200.160.390.210.19
Net GEX-64.2K-163.7K120.2K-69.7K-132.7K
Net DEX-873.6K-3.5M2.7M-159.0K2.7M
Net VEX-30.6K-46.1K-22.6K-26.0K-45.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.168.678.670.18
Total Volume392.42982,1832321,087
Total OI10,877.3814,33315,14714,0717,461

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$37.48$37.0021.7%6.2%17.1%26.7%20.4%2.8%-0.7%-69.7K-159.0K-26.0K8.6759.37N/AN/A242081,71512,356
2014-01-03$37.34$37.0019.9%5.7%17.0%21.8%19.9%0.3%1.2%-87.1K144.0K-27.3K1.0872.96N/AN/A25271,70712,532
2014-01-06$37.87$37.0019.0%5.9%16.7%19.6%24.4%3.7%1.6%-12.5K-851.7K-26.7K2.9229.26N/AN/A24701,73112,558
2014-01-07$38.97$37.0019.4%5.6%19.1%20.7%0.0%4.3%1.6%35.8K-2.7M-23.7K0.4135.97N/AN/A111451,72612,535
2014-01-08$39.37$37.0020.1%6.0%19.1%22.4%20.2%3.0%0.8%38.2K-3.2M-23.2K0.1935.35N/AN/A277541,77012,568
2014-01-09$39.40$39.0019.2%5.8%19.1%20.2%19.8%2.5%0.8%4.5K-2.8M-22.6K0.2232.83N/AN/A4951071,69012,622
2014-01-10$39.92$40.0016.2%5.5%18.7%12.2%20.3%1.8%1.2%19.2K-3.3M-23.4K1.8343.00N/AN/A1552831,73912,723
2014-01-13$39.72$39.0019.8%5.3%18.2%21.7%18.8%3.3%2.7%-14.7K-2.7M-25.3K4.2439.16N/AN/A672841,76412,967
2014-01-14$40.25$39.0020.1%5.6%18.4%22.4%19.2%2.9%0.9%-60.0K-3.0M-25.9K1.2845.13N/AN/A861101,77413,195
2014-01-15$40.86$40.0013.9%5.3%18.2%6.1%19.6%2.8%2.6%-86.3K-3.5M-26.4K1.0244.83N/AN/A1311341,76913,294
2014-01-16$40.48$40.0019.7%5.7%18.5%21.5%19.6%3.8%0.1%-70.3K-3.3M-26.7K0.2850.56N/AN/A129361,82513,322
2014-01-17$40.03$40.0018.9%5.4%19.3%19.3%18.7%4.1%2.0%120.2K-2.4M-28.6K0.1647.64N/AN/A241391,79413,347
2014-01-21$39.91$40.0018.1%5.2%19.5%17.3%18.9%3.4%2.4%-143.3K-563.2K-27.5K0.1751.73N/AN/A200351,2483,085
2014-01-22$39.53$40.0017.8%5.1%20.1%16.4%19.8%3.7%1.5%-132.9K-413.9K-29.8K2.9557.80N/AN/A20591,4483,109
2014-01-23$39.76$40.0018.7%5.4%19.8%18.7%18.7%4.2%1.1%-133.3K-698.3K-29.6K0.2159.84N/AN/A75161,4643,164
2014-01-24$38.03$40.0023.1%6.6%25.8%30.3%22.1%5.0%-0.8%-163.7K1.2M-31.0K1.2435.27N/AN/A9751,2081,4293,170
2014-01-27$37.72$39.0023.1%6.6%25.7%30.3%24.1%5.4%-0.4%-129.0K2.6M-40.5K2.1425.82N/AN/A1463132,2964,016
2014-01-28$38.49$39.0023.6%6.8%26.8%31.8%19.8%4.6%-0.7%-102.8K1.1M-41.6K1.0042.11N/AN/A4144132,4014,214
2014-01-29$38.06$39.0025.0%7.2%27.0%35.4%24.9%6.0%-0.4%-127.4K2.2M-46.1K0.8037.79N/AN/A61492,8104,626
2014-01-30$38.57$39.0023.5%6.7%27.4%31.4%0.0%5.2%-0.0%-99.6K1.2M-45.9K7.0042.77N/AN/A172,8264,635
2014-01-31$37.88$39.0026.5%7.6%26.2%39.3%24.8%5.7%-2.0%-132.7K2.7M-45.6K0.1839.73N/AN/A9181692,8274,634