EWP Options History — August 2014

In August 2014, EWP traded between $38.40 and $40.98. ATM implied volatility averaged 19.9%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 2.6% (HV 20d: 22.5%). Max pain ranged from $40.00 to $47.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 5.07.

Notable Days

  • 2014-08-14: Highest Volume — 425 contracts
  • 2014-08-05: Largest IV spike — 27.1% change
  • 2014-08-07: Highest IV Rank — 76.3%
  • 2014-08-07: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.90$38.40$40.98$40.47$40.52
Max Pain$42.85$40.00$47.00$42.00$47.00
ATM IV19.9%15.5%27.3%21.1%16.9%
Expected Move5.9%5.3%6.7%6.0%5.5%
HV 20d22.5%19.5%24.4%20.9%19.5%
HV 60d18.1%16.6%18.9%16.6%18.1%
IV Rank50.1%34.5%76.3%54.1%39.4%
IV Percentile47.6%11.1%99.2%63.1%18.3%
Term Structure0.1%-1.1%1.2%-0.7%0.8%
VWIV21.7%18.2%29.7%19.9%29.7%
Skew 25d5.0%3.4%7.4%3.4%4.3%
Skew 10d11.3%2.2%16.8%2.2%13.6%
Call IV 25d17.4%14.5%21.5%19.8%16.9%
Put IV 25d22.5%18.3%26.5%23.1%21.2%
Bid-Ask Spread %67.8751.4184.4184.0155.88
Gamma HHI0.220.180.260.230.19
Net GEX-225.2K-514.2K-79.8K-139.2K-136.2K
Net DEX4.7M2.6M7.1M3.2M3.7M
Net VEX-37.5K-42.5K-34.3K-42.5K-37.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.070.2134.421.1815.47
Total Volume114.7621242561280
Total OI6,453.5716,1996,8476,2096,565

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$40.47$42.0021.1%6.0%20.9%54.1%19.9%3.4%-0.7%-139.2K3.2M-42.5K1.1884.01N/AN/A28332,8483,361
2014-08-04$40.68$41.0019.1%5.3%20.5%47.4%22.4%5.4%0.8%-134.1K3.1M-41.8K0.0079.25N/AN/A01372,8733,373
2014-08-05$39.37$41.0024.3%6.3%22.4%65.7%21.0%4.0%-0.1%-257.9K5.8M-38.4K0.2976.23N/AN/A150432,8733,496
2014-08-06$39.23$40.0023.7%6.5%21.9%63.4%0.0%6.3%-1.1%-234.7K5.7M-38.0K1.7175.67N/AN/A7122,9883,496
2014-08-07$38.40$40.0027.3%6.7%22.1%76.3%18.2%3.7%-0.6%-231.5K7.1M-34.3K0.3466.80N/AN/A41142,9933,486
2014-08-08$39.34$40.0023.7%6.4%24.2%63.4%21.3%6.8%-0.9%-269.5K6.0M-36.5K0.2376.79N/AN/A4093,0203,484
2014-08-11$39.11$40.0023.8%6.2%24.2%63.7%20.4%7.4%-0.6%-290.6K6.1M-35.5K1.3074.69N/AN/A27353,0173,483
2014-08-12$39.39$40.0023.2%6.4%24.4%61.6%23.8%7.1%-0.4%-325.3K5.7M-36.1K26.7364.58N/AN/A154013,0183,502
2014-08-13$39.60$40.0020.2%6.0%24.2%51.0%21.1%5.3%-0.1%-386.6K5.4M-37.0K3.3368.00N/AN/A15503,0183,686
2014-08-14$39.64$40.0020.9%6.0%23.3%53.6%25.1%7.2%0.2%-469.9K5.2M-37.3K34.4284.41N/AN/A124133,0073,686
2014-08-15$39.61$40.0018.9%5.4%23.0%46.7%18.6%4.7%0.1%-514.2K5.9M-36.9K0.5078.78N/AN/A62312,9673,880
2014-08-18$39.89$0.0018.6%5.9%23.1%45.4%19.5%6.7%1.2%-167.4K4.5M-37.4K0.9077.62N/AN/A50452,7683,431
2014-08-19$39.87$42.0018.3%5.9%23.0%44.4%0.0%5.4%0.4%-181.0K4.6M-37.3K1.4376.16N/AN/A7102,8073,476
2014-08-20$39.85$42.0017.9%5.7%22.9%43.0%21.4%3.8%0.4%-193.5K4.6M-36.7K2.5851.41N/AN/A26672,8113,486
2014-08-21$40.24$47.0016.2%5.6%22.0%37.1%21.8%3.8%1.0%-173.0K4.1M-37.0K0.5656.45N/AN/A48272,8213,522
2014-08-22$39.91$47.0017.4%5.6%22.0%41.3%0.0%4.0%0.5%-192.5K4.7M-36.3K0.9053.99N/AN/A1092,8453,536
2014-08-25$40.44$47.0017.7%5.6%22.7%42.2%0.0%3.4%-0.1%-133.7K3.6M-37.2K7.0054.74N/AN/A7492,8553,534
2014-08-26$40.83$47.0015.7%5.5%23.0%35.2%0.0%3.7%0.7%-93.7K2.8M-37.8K1.9756.86N/AN/A36712,8623,574
2014-08-27$40.98$47.0015.5%5.4%22.7%34.5%0.0%4.6%1.1%-79.8K2.6M-38.5K0.2157.22N/AN/A67142,8863,632
2014-08-28$40.56$47.0017.8%5.4%19.9%42.6%0.0%4.3%-0.4%-125.0K3.5M-37.8K0.3355.64N/AN/A932,9173,642
2014-08-29$40.52$47.0016.9%5.5%19.5%39.4%29.7%4.3%0.8%-136.2K3.7M-37.3K15.4755.88N/AN/A172632,9233,642