EWP Options History — May 2014

In May 2014, EWP traded between $41.26 and $42.80. ATM implied volatility averaged 15.5%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.2% (HV 20d: 12.3%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.43.

Notable Days

  • 2014-05-15: Highest Volume — 461 contracts
  • 2014-05-30: Largest IV spike — 68.6% change
  • 2014-05-06: Highest IV Rank — 21.2%
  • 2014-05-01: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.99$41.26$42.80$42.06$42.80
Max Pain$41.90$41.00$42.00$41.00$42.00
ATM IV15.5%7.0%19.6%18.1%14.4%
Expected Move4.1%2.0%5.2%5.2%4.1%
HV 20d12.3%9.2%14.7%14.7%12.8%
HV 60d16.6%15.5%17.7%17.7%15.5%
IV Rank12.4%0.0%21.2%17.3%17.3%
IV Percentile7.4%0.0%26.6%9.5%4.0%
Term Structure3.3%-1.3%11.7%-0.5%1.4%
VWIV17.0%9.5%22.5%18.1%13.9%
Skew 25d3.8%-0.5%5.8%3.7%-0.5%
Skew 10d6.8%3.0%9.6%4.1%3.0%
Call IV 25d15.5%13.7%17.6%16.5%14.1%
Put IV 25d19.2%13.6%21.7%20.2%13.6%
Bid-Ask Spread %36.8516.2072.1571.3540.87
Gamma HHI0.460.380.590.380.59
Net GEX673.1K464.0K976.8K506.4K976.8K
Net DEX-7.6M-11.8M-3.7M-7.7M-11.8M
Net VEX-64.7K-73.2K-55.0K-73.2K-55.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.430.0222.500.770.56
Total Volume113.476184612350
Total OI11,775.1911,41312,25811,41312,258

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$42.06$41.0018.1%5.2%14.7%17.3%0.0%3.7%-0.5%506.4K-7.7M-73.2K0.7771.35N/AN/A13105,8165,597
2014-05-02$41.96$41.0018.0%5.2%14.3%16.9%18.1%3.5%-1.3%520.6K-7.6M-72.7K5.8872.15N/AN/A8475,8295,607
2014-05-05$41.98$42.0018.9%4.8%14.2%19.3%18.5%3.8%3.2%547.2K-7.8M-70.5K2.0520.28N/AN/A37765,8305,638
2014-05-06$42.13$42.0019.6%5.0%14.1%21.2%18.2%5.4%2.9%535.2K-8.2M-70.0K0.6722.48N/AN/A30205,8125,705
2014-05-07$42.08$42.0018.9%4.9%14.0%19.2%0.0%4.6%2.1%569.2K-7.9M-69.8K3.5016.20N/AN/A4145,8145,714
2014-05-08$42.30$42.0018.3%5.0%13.6%17.9%17.4%2.5%1.3%627.6K-9.2M-68.3K0.2927.25N/AN/A52155,8135,716
2014-05-09$41.88$42.0016.9%3.6%9.8%14.1%16.6%5.5%2.7%581.0K-7.2M-68.8K0.0217.79N/AN/A4415,7995,716
2014-05-12$42.19$42.0018.6%4.7%9.2%18.5%15.1%5.8%3.1%681.7K-8.7M-66.1K0.1620.13N/AN/A5085,8385,717
2014-05-13$42.06$42.0017.0%2.3%9.4%14.4%21.6%5.1%11.7%795.7K-9.6M-64.3K0.6224.19N/AN/A29185,9145,719
2014-05-14$42.17$42.0014.8%3.3%9.4%8.6%20.3%4.9%3.8%804.2K-9.3M-64.8K2.3527.05N/AN/A17405,9355,726
2014-05-15$41.26$42.0017.2%4.9%11.5%14.9%17.0%1.4%-1.2%464.0K-4.4M-64.7K7.8735.81N/AN/A524095,9425,761
2014-05-16$41.71$42.0014.9%4.3%12.1%8.8%17.6%5.7%2.7%634.5K-5.6M-65.9K1.6231.11N/AN/A47765,9656,114
2014-05-19$41.48$42.0015.3%4.4%12.3%9.9%15.0%3.9%4.4%622.5K-4.4M-63.8K0.4931.90N/AN/A99495,7625,935
2014-05-20$41.39$42.0015.6%4.5%11.9%10.6%15.4%3.6%0.8%622.5K-3.7M-62.9K1.5139.06N/AN/A801215,8115,976
2014-05-21$41.79$42.0014.3%4.1%12.4%7.1%17.7%3.3%2.4%690.1K-5.7M-63.2K5.6445.68N/AN/A502825,8316,056
2014-05-22$41.66$42.0014.2%4.1%12.4%7.0%18.5%3.6%1.9%741.0K-5.2M-63.8K6.1445.97N/AN/A221355,8776,042
2014-05-23$41.76$42.0016.4%4.7%12.0%12.8%17.6%0.8%0.2%825.9K-5.1M-61.4K7.7448.27N/AN/A191475,8756,177
2014-05-27$42.38$42.008.9%2.5%13.0%0.0%12.4%4.5%7.8%769.8K-9.4M-58.4K0.3048.95N/AN/A113345,8146,324
2014-05-28$42.41$42.007.0%2.0%12.6%0.0%22.5%4.0%11.6%785.5K-10.6M-55.5K22.5045.06N/AN/A2455,9266,328
2014-05-29$42.44$42.008.5%2.4%12.5%3.5%9.5%3.7%7.5%834.0K-10.2M-56.5K1.2542.25N/AN/A8105,9286,322
2014-05-30$42.80$42.0014.4%4.1%12.8%17.3%13.9%-0.5%1.4%976.8K-11.8M-55.0K0.5640.87N/AN/A32185,9366,322