EWP Options History — September 2014

In September 2014, EWP traded between $38.83 and $41.64. ATM implied volatility averaged 17.7%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.4% (HV 20d: 13.4%). Max pain ranged from $41.00 to $47.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 35.89.

Notable Days

  • 2014-09-18: Highest Volume — 7,172 contracts
  • 2014-09-29: Largest IV spike — 19.7% change
  • 2014-09-29: Highest IV Rank — 51.3%
  • 2014-09-29: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.22$38.83$41.64$40.55$38.90
Max Pain$42.67$41.00$47.00$47.00$42.00
ATM IV17.7%15.6%20.2%18.1%19.9%
Expected Move5.6%5.4%6.0%5.5%6.0%
HV 20d13.4%11.9%19.4%19.4%13.9%
HV 60d17.8%17.5%18.2%17.7%17.9%
IV Rank42.5%34.9%51.3%43.6%49.9%
IV Percentile29.3%11.9%65.1%27.4%58.7%
Term Structure0.8%-0.4%3.0%-0.0%-0.4%
VWIV21.4%18.1%28.4%23.7%20.9%
Skew 25d3.8%2.8%5.1%3.5%3.4%
Skew 10d10.0%4.6%15.1%15.1%4.6%
Call IV 25d16.7%15.4%19.5%18.2%18.9%
Put IV 25d20.5%19.1%23.5%21.8%22.3%
Bid-Ask Spread %59.7956.0366.9756.7256.03
Gamma HHI0.250.150.740.190.20
Net GEX-998.8K-5.6M-93.1K-135.6K-953.9K
Net DEX8.8M2.7M15.2M3.6M14.7M
Net VEX-64.2K-81.8K-37.1K-37.1K-79.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio35.890.00396.805.040.05
Total Volume730.571137,17213923
Total OI11,521.4766,84318,4106,84313,480

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$40.55$47.0018.1%5.5%19.4%43.6%0.0%3.5%-0.0%-135.6K3.6M-37.1K5.0456.72N/AN/A231162,9393,904
2014-09-03$41.00$47.0018.0%5.5%15.5%43.5%23.7%5.1%-0.4%-93.1K2.7M-38.0K102.3256.36N/AN/A222,2512,9484,019
2014-09-04$41.19$47.0017.3%5.4%15.4%41.0%20.2%3.3%-0.1%-214.4K4.0M-56.4K8.9866.97N/AN/A1029162,9386,236
2014-09-05$41.64$42.0015.6%5.4%12.8%34.9%18.6%3.9%3.0%-243.7K3.4M-59.1K0.1261.20N/AN/A306382,9807,071
2014-09-08$40.96$41.0018.4%5.6%12.4%44.9%18.7%3.8%1.1%-334.8K5.2M-58.7K48.6058.37N/AN/A52433,0327,081
2014-09-09$40.58$42.0016.1%5.4%12.8%36.6%18.1%4.0%1.4%-464.7K6.7M-59.9K0.4857.63N/AN/A23113,0367,196
2014-09-10$40.60$42.0016.0%5.5%12.6%36.4%27.6%2.8%1.6%-489.4K6.7M-58.9K2.2159.12N/AN/A14313,0527,196
2014-09-11$40.32$42.0018.2%5.6%12.9%44.2%18.6%4.5%0.9%-534.4K7.4M-58.4K0.0558.35N/AN/A4323,0467,216
2014-09-12$40.29$42.0018.0%5.6%12.9%43.4%0.0%3.6%1.2%-556.8K7.5M-57.5K20.1459.82N/AN/A71413,0837,217
2014-09-15$40.09$42.0018.4%5.6%13.1%44.8%0.0%4.6%1.0%-659.7K8.3M-56.4K396.8062.14N/AN/A51,9843,0857,343
2014-09-16$40.19$42.0018.1%5.6%12.9%43.9%0.0%4.0%1.2%-2.0M10.8M-58.9K1.6057.99N/AN/A583,0859,114
2014-09-17$40.33$42.0018.0%5.7%12.9%43.4%19.6%3.9%1.5%-2.2M9.9M-57.9K1.2059.23N/AN/A2212663,0859,116
2014-09-18$40.59$42.0016.9%5.5%13.1%39.5%23.6%4.3%1.7%-1.5M6.9M-57.4K129.4061.60N/AN/A557,1173,2649,281
2014-09-19$40.38$42.0017.4%5.6%12.8%41.3%0.0%3.3%2.0%-5.6M11.8M-81.8K0.0059.56N/AN/A2403,26415,146
2014-09-22$40.18$42.0017.2%5.4%12.6%40.5%0.0%3.1%0.7%-727.6K10.3M-77.0K0.1862.11N/AN/A148262,8739,627
2014-09-23$39.65$42.0017.7%5.4%12.5%42.4%0.0%4.1%0.4%-750.3K11.3M-77.9K15.0861.62N/AN/A243623,0059,628
2014-09-24$39.70$42.0017.2%5.4%11.9%40.4%28.4%4.0%0.2%-808.4K12.2M-78.4K10.4061.70N/AN/A424373,0259,856
2014-09-25$39.21$42.0019.0%5.6%12.3%47.0%18.9%3.8%0.0%-947.9K14.1M-78.5K0.0262.39N/AN/A11723,05310,355
2014-09-26$39.54$42.0016.9%5.7%12.5%39.5%0.0%3.5%0.8%-869.3K12.9M-80.4K0.0859.16N/AN/A3633,16410,355
2014-09-29$38.83$42.0020.2%6.0%13.8%51.3%20.9%4.0%-0.2%-977.4K15.2M-80.1K10.9257.48N/AN/A121313,20010,357
2014-09-30$38.90$42.0019.9%6.0%13.9%49.9%0.0%3.4%-0.4%-953.9K14.7M-79.2K0.0556.03N/AN/A2213,21010,270