EWP Options History — April 2014

In April 2014, EWP traded between $40.41 and $41.97. ATM implied volatility averaged 18.8%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.8% (HV 20d: 17.0%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.48.

Notable Days

  • 2014-04-28: Highest Volume — 1,235 contracts
  • 2014-04-10: Largest IV spike — 25.6% change
  • 2014-04-11: Highest IV Rank — 25.7%
  • 2014-04-11: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.35$40.41$41.97$41.44$41.97
Max Pain$40.43$38.00$41.00$38.00$41.00
ATM IV18.8%16.0%21.3%18.6%18.3%
Expected Move5.5%5.0%6.1%5.3%5.2%
HV 20d17.0%14.8%19.1%19.1%14.8%
HV 60d21.1%18.0%22.5%22.5%18.0%
IV Rank19.2%11.8%25.7%18.7%17.6%
IV Percentile17.4%3.6%40.9%11.5%10.3%
Term Structure0.6%-2.0%2.4%1.2%-1.5%
VWIV19.6%17.0%23.3%19.8%18.5%
Skew 25d3.3%2.0%4.6%2.2%2.5%
Skew 10d6.3%1.1%10.4%5.5%1.6%
Call IV 25d18.0%16.5%19.2%17.6%17.6%
Put IV 25d21.3%19.7%23.1%19.8%20.2%
Bid-Ask Spread %50.3428.0599.7899.7872.92
Gamma HHI0.310.230.420.240.39
Net GEX371.8K-32.4K1.0M220.8K494.1K
Net DEX-4.0M-7.4M-756.6K-5.1M-7.4M
Net VEX-62.6K-74.4K-55.5K-63.2K-73.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.076.810.480.93
Total Volume241.905371,23515177
Total OI11,3398,33312,28112,04611,356

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$41.44$38.0018.6%5.3%19.1%18.7%19.8%2.2%1.2%220.8K-5.1M-63.2K0.4899.78N/AN/A102494,5437,503
2014-04-02$41.31$38.0018.4%5.3%19.1%18.0%17.9%2.0%1.3%197.7K-4.5M-64.0K3.9388.10N/AN/A572244,5357,454
2014-04-03$41.74$38.0017.5%5.0%18.3%15.7%18.2%2.3%1.3%273.1K-6.1M-62.8K0.1594.20N/AN/A103154,5687,527
2014-04-04$41.51$40.0017.1%5.4%18.0%14.5%20.0%2.9%1.0%321.6K-5.6M-62.2K2.3233.99N/AN/A22514,6107,530
2014-04-07$41.69$41.0018.6%5.7%18.0%18.5%0.0%3.1%1.2%316.5K-5.8M-61.8K0.1828.05N/AN/A6851254,5297,550
2014-04-08$41.45$41.0018.6%5.9%17.8%18.6%0.0%3.4%1.7%337.6K-4.8M-62.4K0.0732.55N/AN/A450334,5527,615
2014-04-09$41.89$41.0016.0%5.3%18.1%11.8%18.7%3.0%2.4%457.9K-6.5M-59.9K0.6728.77N/AN/A33224,5457,609
2014-04-10$40.77$41.0020.1%5.8%18.3%22.6%20.2%4.1%1.0%318.3K-2.2M-62.9K1.0930.56N/AN/A47514,5467,628
2014-04-11$40.41$41.0021.3%6.1%18.6%25.7%20.1%3.6%1.3%250.2K-881.1K-62.6K0.6832.29N/AN/A28194,5807,653
2014-04-14$40.56$41.0020.4%5.9%17.7%23.4%21.4%3.9%1.8%453.4K-1.0M-60.6K0.2834.17N/AN/A53154,5677,669
2014-04-15$40.60$41.0019.9%5.7%17.3%22.1%23.3%4.6%1.6%505.5K-1.3M-59.6K0.6337.89N/AN/A139884,6017,680
2014-04-16$41.20$41.0019.5%5.6%16.5%21.0%19.6%3.4%1.7%956.1K-4.0M-57.9K3.1043.94N/AN/A20624,5297,716
2014-04-17$41.19$41.0019.1%5.5%16.4%19.7%20.0%3.1%1.9%1.0M-4.1M-57.2K0.2249.89N/AN/A322704,5197,756
2014-04-21$41.26$40.0018.7%5.4%15.5%18.8%17.0%3.5%1.4%-32.4K-756.6K-55.5K0.4736.22N/AN/A116553,2555,078
2014-04-22$41.64$40.0017.6%5.0%15.6%15.8%19.8%3.0%-0.5%15.7K-1.7M-55.5K6.8144.27N/AN/A211433,3665,127
2014-04-23$41.71$41.0018.0%5.2%15.6%16.9%18.7%3.5%-1.1%340.0K-4.7M-65.3K2.5657.63N/AN/A641644,8215,259
2014-04-24$41.68$41.0018.4%5.3%15.6%18.1%0.0%3.6%-1.0%343.3K-4.7M-64.8K2.8860.51N/AN/A33954,8165,336
2014-04-25$41.32$41.0020.5%5.9%16.1%23.6%20.5%3.8%-0.2%282.4K-3.1M-64.9K1.5441.23N/AN/A61944,8235,277
2014-04-28$41.30$41.0020.1%5.8%15.5%22.5%18.5%4.4%-2.0%285.1K-3.0M-63.1K0.2656.71N/AN/A9832524,8075,336
2014-04-29$41.70$41.0018.9%5.4%15.6%19.2%20.0%4.2%-1.9%464.0K-6.4M-74.4K1.8553.37N/AN/A13245,7745,574
2014-04-30$41.97$41.0018.3%5.2%14.8%17.6%18.5%2.5%-1.5%494.1K-7.4M-73.7K0.9372.92N/AN/A40375,7805,576