EWP Options History — June 2014

In June 2014, EWP traded between $42.50 and $44.34. ATM implied volatility averaged 15.0%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.7% (HV 20d: 14.3%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.00.

Notable Days

  • 2014-06-04: Highest Volume — 3,526 contracts
  • 2014-06-06: Largest IV spike — 155.6% change
  • 2014-06-11: Highest IV Rank — 100.0%
  • 2014-06-16: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.44$42.50$44.34$42.74$42.82
Max Pain$41.62$41.00$43.00$42.00$43.00
ATM IV15.0%5.7%34.1%16.1%15.6%
Expected Move4.1%1.6%4.8%4.6%4.5%
HV 20d14.3%12.7%16.1%12.7%14.9%
HV 60d14.3%13.5%15.6%15.0%13.8%
IV Rank29.6%0.0%100.0%21.4%35.0%
IV Percentile10.7%0.0%100.0%7.5%10.7%
Term Structure3.3%-0.3%13.2%0.0%1.4%
VWIV15.5%4.9%19.9%15.1%15.4%
Skew 25d3.6%-3.2%6.8%1.3%5.5%
Skew 10d7.4%0.5%12.9%7.1%9.8%
Call IV 25d14.2%10.7%15.9%14.9%11.5%
Put IV 25d17.8%12.7%20.6%16.1%17.0%
Bid-Ask Spread %75.7946.07106.7649.9591.08
Gamma HHI0.350.220.560.550.27
Net GEX439.6K2.7K940.6K879.6K69.7K
Net DEX-8.6M-13.0M-520.1K-10.9M-520.1K
Net VEX-47.2K-54.7K-38.2K-54.4K-43.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.0214.841.530.06
Total Volume442.81193,5268119
Total OI11,706.33310,28113,26012,25710,281

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$42.74$42.0016.1%4.6%12.7%21.4%15.1%1.3%0.0%879.6K-10.9M-54.4K1.5349.95N/AN/A32495,9306,327
2014-06-03$42.53$42.0016.5%4.7%12.9%22.1%15.3%-3.2%-0.3%940.6K-10.2M-53.6K2.1162.24N/AN/A28595,9466,344
2014-06-04$42.50$42.006.1%1.7%12.9%0.0%4.9%4.8%13.2%845.0K-10.8M-52.0K0.0246.07N/AN/A3,455715,9716,352
2014-06-05$43.34$42.005.7%1.6%14.5%0.0%8.8%4.5%10.5%272.6K-8.9M-40.9K0.7765.11N/AN/A2411854,1886,339
2014-06-06$44.08$41.0014.5%4.6%15.5%20.1%15.5%3.5%2.5%230.7K-10.8M-39.8K2.3062.37N/AN/A2455634,3096,476
2014-06-09$44.34$41.0015.4%4.8%14.9%22.1%19.1%4.0%2.7%326.2K-12.4M-38.2K0.8275.64N/AN/A4443664,4626,790
2014-06-10$43.99$41.0016.2%4.5%15.2%24.0%19.9%4.5%3.6%356.5K-11.4M-46.0K1.3970.30N/AN/A821144,8446,892
2014-06-11$43.40$41.0034.1%4.7%16.1%100.0%18.0%4.1%2.6%366.1K-8.2M-48.6K2.5970.55N/AN/A862234,8606,989
2014-06-12$43.46$41.0016.5%4.7%16.1%38.0%15.7%3.7%3.2%397.0K-10.1M-46.8K0.0372.70N/AN/A14244,9376,978
2014-06-13$43.51$41.0012.0%3.5%13.6%22.4%18.7%3.8%3.0%492.4K-10.1M-46.9K2.4574.37N/AN/A1202945,0666,980
2014-06-16$43.41$41.0016.9%4.8%13.3%39.6%18.0%5.3%2.6%483.0K-8.6M-47.0K2.3666.59N/AN/A11265,1286,871
2014-06-17$43.42$41.0016.6%4.8%13.0%38.6%18.8%4.9%2.7%539.5K-9.3M-45.2K14.8479.11N/AN/A851,2615,1266,881
2014-06-18$44.20$41.0014.5%4.2%14.0%31.1%19.1%4.5%3.8%394.3K-12.1M-54.7K4.1478.23N/AN/A14585,1718,065
2014-06-19$44.21$41.0012.1%3.5%13.9%22.5%18.3%4.0%3.9%406.1K-13.0M-51.6K0.3197.32N/AN/A42135,1598,101
2014-06-20$44.00$41.0012.4%3.6%14.0%23.6%0.0%6.8%3.4%440.9K-11.4M-54.1K0.89106.76N/AN/A35315,1398,113
2014-06-23$43.99$41.0013.4%3.8%14.0%27.2%13.4%4.1%3.1%902.7K-10.6M-45.0K3.1378.21N/AN/A1043264,4967,286
2014-06-24$43.58$42.0015.2%4.4%13.8%33.5%10.5%1.6%1.2%772.9K-8.9M-48.7K0.2497.05N/AN/A212514,5807,568
2014-06-25$42.89$43.0015.4%4.4%15.2%34.2%14.8%2.7%2.1%53.1K-705.8K-45.4K1.2281.38N/AN/A45552,6787,604
2014-06-26$42.97$43.0015.2%4.3%15.2%33.4%16.1%2.7%2.0%59.6K-956.7K-44.4K0.7382.44N/AN/A37272,6937,591
2014-06-27$42.80$43.0014.8%4.3%15.0%32.2%14.4%1.7%2.2%2.7K-585.3K-44.9K0.0284.15N/AN/A4312,7167,606
2014-06-30$42.82$43.0015.6%4.5%14.9%35.0%15.4%5.5%1.4%69.7K-520.1K-43.6K0.0691.08N/AN/A1812,6757,606