EWP Options History — October 2014

In October 2014, EWP traded between $35.23 and $38.63. ATM implied volatility averaged 25.0%, placing in the 66.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.9% (HV 20d: 24.1%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 18.04.

Notable Days

  • 2014-10-15: Highest Volume — 4,013 contracts
  • 2014-10-15: Largest IV spike — 23.6% change
  • 2014-10-15: Highest IV Rank — 100.0%
  • 2014-10-16: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.26$35.23$38.63$38.63$37.81
Max Pain$41.65$40.00$42.00$42.00$42.00
ATM IV25.0%20.1%35.1%20.1%21.6%
Expected Move6.5%6.0%7.7%6.0%6.0%
HV 20d24.1%12.7%32.3%13.1%32.1%
HV 60d20.4%17.4%22.1%17.6%21.7%
IV Rank66.6%50.7%100.0%50.7%54.1%
IV Percentile87.9%61.5%100.0%61.5%73.0%
Term Structure-0.3%-3.7%1.5%-0.7%0.9%
VWIV26.2%22.6%29.4%22.6%26.3%
Skew 25d5.8%2.3%8.7%3.5%6.2%
Skew 10d11.2%0.8%17.3%0.8%12.0%
Call IV 25d22.0%18.5%30.1%19.0%19.9%
Put IV 25d27.8%22.5%38.1%22.5%26.1%
Bid-Ask Spread %62.8054.5971.2558.0864.88
Gamma HHI0.310.210.530.210.33
Net GEX-1.1M-1.4M-904.5K-993.2K-1.2M
Net DEX19.6M14.5M29.2M15.8M16.9M
Net VEX-80.6K-87.7K-74.7K-77.0K-87.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.041.13157.5866.785.07
Total Volume2,012.783204,0136103,489
Total OI14,494.73913,21917,79213,47815,350

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$38.63$42.0020.1%6.0%13.1%50.7%22.6%3.5%-0.7%-993.2K15.8M-77.0K66.7858.08N/AN/A96013,20910,269
2014-10-02$37.92$42.0021.2%6.1%13.8%54.7%24.8%2.3%0.2%-1.1M19.0M-79.6K1.1365.69N/AN/A2442763,21210,835
2014-10-03$37.88$42.0021.5%6.2%12.7%55.8%0.0%3.9%-0.3%-1.1M18.9M-82.6K4.0062.35N/AN/A4163,41610,899
2014-10-06$38.44$42.0022.7%6.2%13.7%59.8%0.0%6.1%0.2%-1.1M17.3M-80.9K70.0064.82N/AN/A21403,41410,899
2014-10-07$37.35$42.0024.6%6.4%16.3%66.6%24.0%5.8%0.0%-1.2M20.9M-78.0K4.7158.42N/AN/A421983,41410,981
2014-10-08$38.28$42.0021.4%6.2%19.2%55.3%25.1%5.6%0.3%-1.2M17.8M-80.1K3.8262.90N/AN/A3991,5263,39711,012
2014-10-09$36.94$42.0023.6%6.4%22.4%63.3%26.1%6.2%-0.1%-1.1M22.1M-76.4K3.9959.08N/AN/A3891,5533,49110,929
2014-10-10$36.79$42.0025.9%6.5%22.4%71.3%26.7%5.8%-0.8%-1.0M22.0M-76.9K4.2254.59N/AN/A3701,5603,51510,943
2014-10-13$36.63$42.0027.9%6.6%22.4%78.2%27.0%6.3%-1.5%-1.1M22.7M-74.7K5.6656.44N/AN/A3572,0213,52111,081
2014-10-14$37.06$42.0028.4%6.6%23.0%79.9%25.5%6.1%-1.6%-1.2M21.7M-76.2K5.6558.30N/AN/A3572,0183,51111,226
2014-10-15$36.17$42.0035.1%7.6%23.9%100.0%29.4%8.7%-2.9%-904.5K24.1M-74.9K8.4459.78N/AN/A4253,5883,50411,229
2014-10-16$35.23$42.0033.6%7.7%24.6%94.9%25.9%8.0%-3.7%-1.4M29.2M-76.5K157.5860.81N/AN/A121,8913,44713,523
2014-10-17$36.09$42.0028.4%6.9%27.0%77.5%27.9%7.4%-2.3%-1.3M27.3M-78.1K20.6271.25N/AN/A581,1963,45714,335
2014-10-20$36.63$42.0026.5%6.9%27.9%70.9%28.4%8.1%1.0%-1.0M18.8M-85.2K6.1860.23N/AN/A3842,3741,54511,674
2014-10-21$37.16$40.0025.0%6.5%28.5%65.8%27.4%5.5%0.7%-1.1M17.4M-87.7K4.9757.53N/AN/A4372,1721,65812,061
2014-10-22$36.85$40.0025.8%6.4%28.5%68.6%27.1%5.8%0.0%-1.1M18.2M-86.4K5.6059.75N/AN/A4042,2631,71512,164
2014-10-23$37.40$40.0024.3%6.4%29.0%63.3%25.3%5.3%0.4%-1.1M16.4M-85.0K5.8369.61N/AN/A3562,0771,75912,187
2014-10-24$37.81$40.0022.3%6.1%29.2%56.4%25.5%4.6%1.5%-1.1M15.9M-83.6K5.8369.53N/AN/A3622,1121,77512,251
2014-10-27$37.22$42.0025.2%6.4%29.0%66.4%26.6%5.6%1.1%-1.1M17.7M-83.4K5.7467.83N/AN/A3622,0781,77312,284
2014-10-28$38.23$42.0022.2%6.0%30.8%56.1%26.2%5.9%1.3%-1.0M14.5M-81.9K6.1966.56N/AN/A3382,0921,77312,296
2014-10-29$37.15$42.0023.3%6.3%32.3%60.1%26.4%5.3%0.6%-1.1M17.8M-80.9K5.6765.36N/AN/A3682,0851,77112,381
2014-10-30$37.30$42.0024.0%6.2%31.7%62.3%26.7%5.6%-0.3%-1.2M17.8M-80.9K7.3370.56N/AN/A3952,8941,80712,486
2014-10-31$37.81$42.0021.6%6.0%32.1%54.1%26.3%6.2%0.9%-1.2M16.9M-87.0K5.0764.88N/AN/A5752,9141,84113,509