EWP Options History — March 2014

In March 2014, EWP traded between $38.84 and $40.91. ATM implied volatility averaged 21.0%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.7% (HV 20d: 20.3%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 13.52.

Notable Days

  • 2014-03-12: Highest Volume — 2,079 contracts
  • 2014-03-04: Largest IV drop — 13.5% change
  • 2014-03-14: Highest IV Rank — 35.4%
  • 2014-03-14: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.85$38.84$40.91$38.84$40.80
Max Pain$38.38$38.00$40.00$40.00$38.00
ATM IV21.0%18.5%25.0%23.4%18.5%
Expected Move6.0%5.3%7.2%6.7%5.3%
HV 20d20.3%17.2%22.0%21.2%20.3%
HV 60d22.5%21.4%23.1%21.4%22.3%
IV Rank24.8%18.3%35.4%31.3%18.3%
IV Percentile32.1%9.9%71.4%55.6%9.9%
Term Structure0.5%-1.0%1.7%-0.9%0.4%
VWIV21.2%12.7%25.6%25.6%18.9%
Skew 25d4.2%1.3%6.1%4.9%3.6%
Skew 10d9.1%3.5%14.6%9.9%7.9%
Call IV 25d19.2%16.7%22.8%22.0%17.4%
Put IV 25d23.4%19.8%27.5%26.9%20.9%
Bid-Ask Spread %61.5137.2485.4244.5677.41
Gamma HHI0.220.180.340.210.21
Net GEX-388.0K-1.1M53.3K-485.9K53.3K
Net DEX2.5M-2.6M5.9M5.9M-2.6M
Net VEX-61.7K-70.0K-50.3K-54.1K-66.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.520.03189.6710.140.08
Total Volume380.19302,079568409
Total OI10,996.9058,65012,9648,65012,138

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$38.84$40.0023.4%6.7%21.2%31.3%25.6%4.9%-0.9%-485.9K5.9M-54.1K10.1444.56N/AN/A515172,1096,541
2014-03-04$39.82$40.0020.3%5.8%20.1%23.0%22.5%4.4%0.1%-501.8K3.5M-53.2K4.9557.17N/AN/A20992,1307,034
2014-03-05$40.16$40.0020.6%5.9%19.6%23.7%19.4%5.9%0.0%-468.6K2.7M-52.8K0.2052.06N/AN/A308612,1197,089
2014-03-06$40.91$40.0018.9%5.4%20.3%19.4%19.2%4.3%0.1%-318.1K267.6K-50.3K1.5275.47N/AN/A48732,3657,149
2014-03-07$40.49$38.0021.1%6.1%19.2%25.0%24.0%5.2%1.2%-342.3K1.6M-52.4K17.6765.70N/AN/A3532,3477,123
2014-03-10$40.57$38.0020.4%5.9%18.2%23.2%20.6%5.3%1.3%-345.2K1.5M-51.1K189.6745.83N/AN/A35692,3457,115
2014-03-11$40.21$38.0022.2%6.1%17.8%28.0%21.9%4.3%0.9%-420.6K2.7M-54.1K2.7541.85N/AN/A8222,3457,684
2014-03-12$40.17$38.0022.0%6.2%17.2%27.6%0.0%4.9%1.4%-444.5K3.1M-53.6K0.0337.24N/AN/A2,014652,3347,692
2014-03-13$39.14$38.0023.4%6.7%19.6%31.1%24.3%2.8%-0.6%-460.5K4.4M-69.4K1.7540.37N/AN/A681194,2227,734
2014-03-14$38.98$38.0025.0%7.2%19.4%35.4%25.4%6.1%-1.0%-473.7K5.3M-70.0K0.1242.98N/AN/A155184,2567,787
2014-03-17$39.65$38.0022.4%6.4%20.3%28.6%25.3%5.2%-0.1%-287.2K2.7M-68.3K3.1538.49N/AN/A1534824,2887,797
2014-03-18$40.10$38.0021.9%6.3%20.6%27.1%21.7%3.9%0.6%-133.6K864.0K-67.7K0.1868.52N/AN/A5094,3258,147
2014-03-19$39.38$38.0022.6%6.5%21.5%28.9%23.8%5.1%0.2%-459.8K4.1M-67.2K42.6759.27N/AN/A93844,2908,149
2014-03-20$39.63$38.0020.3%5.8%21.5%23.1%23.1%4.7%1.7%-294.8K2.9M-65.4K6.4770.57N/AN/A744794,2968,159
2014-03-21$39.12$38.0020.7%5.9%22.0%24.1%19.7%4.3%1.6%-1.1M5.5M-67.5K0.9476.73N/AN/A32304,3598,605
2014-03-24$39.30$38.0020.2%5.8%21.5%22.7%19.7%3.4%0.9%-503.5K3.7M-65.5K0.1573.61N/AN/A378583,6287,364
2014-03-25$39.50$38.0019.9%5.7%21.4%22.0%12.7%4.3%0.6%-468.8K3.2M-66.5K0.1578.49N/AN/A110173,7137,380
2014-03-26$39.72$38.0019.3%5.5%21.4%20.3%19.2%1.3%0.9%-423.3K2.1M-65.6K0.0381.61N/AN/A541153,8237,396
2014-03-27$39.92$38.0019.0%5.4%21.5%19.6%19.2%3.1%0.6%-222.8K939.9K-67.4K0.7878.32N/AN/A37294,3467,411
2014-03-28$40.44$38.0018.9%5.4%21.8%19.3%18.4%2.0%1.3%-84.8K-1.0M-66.4K0.4485.42N/AN/A2881264,3657,436
2014-03-31$40.80$38.0018.5%5.3%20.3%18.3%18.9%3.6%0.4%53.3K-2.6M-66.8K0.0877.41N/AN/A378314,6237,515