EWP Options History — July 2014

In July 2014, EWP traded between $40.64 and $43.30. ATM implied volatility averaged 17.3%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.4% (HV 20d: 15.9%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 8.55.

Notable Days

  • 2014-07-25: Highest Volume — 712 contracts
  • 2014-07-23: Largest IV drop — 13.8% change
  • 2014-07-22: Highest IV Rank — 47.6%
  • 2014-07-22: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.76$40.64$43.30$43.07$40.91
Max Pain$42.14$42.00$43.00$43.00$42.00
ATM IV17.3%14.5%19.2%15.3%18.6%
Expected Move5.0%4.2%5.5%4.4%5.3%
HV 20d15.9%13.0%20.9%15.0%20.9%
HV 60d14.4%13.5%16.5%13.8%16.5%
IV Rank41.0%31.2%47.6%34.1%45.3%
IV Percentile21.0%6.7%37.7%9.1%32.1%
Term Structure0.9%-0.3%2.2%1.2%-0.0%
VWIV17.2%13.8%22.6%13.8%18.5%
Skew 25d3.8%-2.2%7.2%1.0%3.3%
Skew 10d6.5%1.2%13.7%4.0%7.6%
Call IV 25d15.4%13.5%18.4%15.0%18.4%
Put IV 25d19.2%12.1%22.3%16.0%21.7%
Bid-Ask Spread %81.9753.6198.7691.1785.64
Gamma HHI0.240.200.400.240.23
Net GEX-132.0K-712.3K139.3K70.5K-80.3K
Net DEX1.5M-2.0M4.8M-1.3M2.1M
Net VEX-40.8K-44.3K-37.9K-43.1K-44.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.550.04101.500.290.68
Total Volume130.455071218126
Total OI8,483.3185,09710,83210,2806,144

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$43.07$43.0015.3%4.4%15.0%34.1%13.8%1.0%1.2%70.5K-1.3M-43.1K0.2991.17N/AN/A1442,6747,606
2014-07-02$43.10$43.0015.4%4.4%14.9%34.2%15.6%2.9%1.4%109.7K-1.3M-42.3K0.8788.60N/AN/A15132,6777,610
2014-07-03$43.30$43.0015.6%4.5%13.3%35.0%0.0%-2.2%1.5%139.3K-2.0M-42.3K0.0098.76N/AN/A002,6877,622
2014-07-07$42.56$42.0016.8%4.8%13.0%39.0%17.1%3.0%1.0%62.1K-78.6K-41.3K101.5083.42N/AN/A22032,6877,622
2014-07-08$41.75$42.0016.8%5.0%14.1%39.0%22.6%4.2%2.2%-150.6K2.1M-41.0K1.7777.01N/AN/A26462,6897,815
2014-07-09$42.14$42.0017.4%4.9%14.6%41.4%15.9%4.3%1.7%-113.2K1.2M-41.6K1.2477.57N/AN/A25312,6957,813
2014-07-10$41.33$42.0018.2%5.2%15.3%44.2%16.6%3.9%1.8%-404.3K3.4M-39.8K2.1872.59N/AN/A28612,6997,827
2014-07-11$41.28$42.0017.8%5.1%15.3%42.6%16.7%2.4%1.9%-269.4K3.5M-39.7K1.9479.98N/AN/A17332,7097,861
2014-07-14$41.41$42.0018.1%5.2%15.4%43.8%0.0%3.7%1.4%-250.2K2.9M-39.4K1.6290.72N/AN/A13212,7237,875
2014-07-15$41.10$42.0018.5%5.3%15.5%45.2%22.1%6.3%0.8%-415.8K3.7M-39.1K32.3396.64N/AN/A61942,7307,895
2014-07-16$41.47$42.0018.3%5.3%16.0%44.5%0.0%2.5%0.5%-278.2K2.8M-39.4K1.3991.17N/AN/A18252,7358,087
2014-07-17$40.64$42.0018.8%5.4%15.3%46.2%19.1%3.0%0.7%-505.4K4.8M-37.9K0.1684.48N/AN/A77122,7378,087
2014-07-18$41.00$42.0018.7%5.4%16.0%45.9%18.9%7.2%0.3%-712.3K4.1M-38.0K2.5380.92N/AN/A1884762,7468,086
2014-07-21$40.85$42.0018.5%5.3%16.0%45.2%18.5%5.3%0.6%-123.7K2.5M-38.7K0.5376.11N/AN/A19102,0953,002
2014-07-22$41.13$42.0019.2%5.5%16.4%47.6%18.0%4.9%-0.1%-91.8K2.1M-39.2K2.9453.61N/AN/A18532,1143,012
2014-07-23$41.21$42.0016.5%4.7%16.3%38.2%16.7%4.2%0.8%-91.1K2.0M-39.1K0.0067.01N/AN/A022,1303,065
2014-07-24$42.01$42.0014.5%4.2%17.3%31.2%14.7%4.9%2.1%-31.9K636.4K-39.5K1.3268.70N/AN/A19252,1303,066
2014-07-25$42.18$42.0016.3%4.7%17.3%37.3%15.4%4.0%0.7%-19.1K296.8K-38.9K0.0476.73N/AN/A683292,1493,060
2014-07-28$42.07$42.0017.0%4.9%17.3%39.7%14.8%6.1%-0.1%70.4K-97.9K-43.9K0.6384.27N/AN/A32202,8093,074
2014-07-29$41.86$42.0017.4%5.0%17.4%41.4%0.0%3.1%-0.1%70.1K-230.6K-43.9K0.0087.29N/AN/A0512,8103,064
2014-07-30$42.27$42.0017.2%4.9%17.6%40.5%15.6%5.5%-0.3%110.9K-799.5K-44.2K0.0091.04N/AN/A02352,8103,105
2014-07-31$40.91$42.0018.6%5.3%20.9%45.3%18.5%3.3%-0.0%-80.3K2.1M-44.3K0.6885.64N/AN/A75512,8103,334