EWP Options History — November 2014

In November 2014, EWP traded between $36.31 and $38.61. ATM implied volatility averaged 22.8%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 1.6% (HV 20d: 24.4%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 4.55.

Notable Days

  • 2014-11-12: Highest Volume — 3,584 contracts
  • 2014-11-28: Largest IV drop — 19.3% change
  • 2014-11-04: Highest IV Rank — 68.2%
  • 2014-11-13: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.24$36.31$38.61$37.27$38.61
Max Pain$37.16$37.00$40.00$37.00$37.00
ATM IV22.8%16.5%25.7%25.0%16.5%
Expected Move5.8%5.2%6.4%6.2%5.2%
HV 20d24.4%18.8%32.0%32.0%18.8%
HV 60d21.8%21.3%22.8%21.3%22.7%
IV Rank58.3%36.7%68.2%65.6%36.7%
IV Percentile77.2%17.5%93.7%91.3%17.5%
Term Structure-1.5%-2.6%0.9%0.9%-2.1%
VWIV23.8%17.7%26.9%26.4%17.7%
Skew 25d5.1%3.7%6.4%5.2%5.1%
Skew 10d8.4%3.3%13.8%8.7%13.8%
Call IV 25d21.0%18.3%24.1%23.1%18.6%
Put IV 25d26.1%23.2%29.6%28.3%23.7%
Bid-Ask Spread %74.2764.9382.3866.8080.95
Gamma HHI0.350.300.410.360.32
Net GEX-1.2M-1.5M-956.2K-1.2M-956.2K
Net DEX17.8M11.6M22.1M17.9M11.6M
Net VEX-80.6K-88.2K-73.1K-87.3K-74.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.550.0018.065.0114.86
Total Volume2,495.474223,5843,463111
Total OI15,935.52614,20117,07315,54414,723

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$37.27$37.0025.0%6.2%32.0%65.6%26.4%5.2%0.9%-1.2M17.9M-87.3K5.0166.80N/AN/A5762,8872,04113,503
2014-11-04$36.87$37.0025.7%6.3%30.6%68.2%26.9%4.7%-1.0%-1.2M19.3M-88.0K4.6164.93N/AN/A5862,7042,04213,553
2014-11-05$36.89$37.0024.6%6.2%29.1%64.3%26.7%4.3%0.8%-1.2M19.2M-88.2K4.7166.97N/AN/A5772,7182,06413,611
2014-11-06$36.60$37.0023.8%6.2%26.4%61.6%26.1%3.7%0.8%-1.3M20.3M-85.4K3.9269.38N/AN/A6112,3982,06613,622
2014-11-07$36.31$37.0024.9%6.3%26.5%65.4%26.5%5.9%-2.1%-1.4M22.0M-85.1K3.3573.06N/AN/A7082,3732,09413,799
2014-11-10$36.63$37.0024.8%6.1%26.6%64.9%25.7%5.6%-2.3%-1.3M20.6M-84.9K2.7573.07N/AN/A9222,5352,19113,907
2014-11-11$36.98$40.0021.4%5.9%26.5%53.6%24.6%6.2%-1.3%-1.3M18.4M-73.1K2.2972.93N/AN/A1,0842,4801,93912,405
2014-11-12$36.42$37.0024.1%6.1%25.6%62.8%24.7%5.1%-2.2%-1.4M21.8M-82.7K2.2972.91N/AN/A1,0912,4932,67714,184
2014-11-13$36.37$37.0025.0%6.4%23.6%65.7%26.3%6.4%-2.5%-1.5M22.1M-83.0K2.8979.17N/AN/A8812,5432,69814,213
2014-11-14$36.57$37.0022.3%5.7%22.1%56.7%21.8%5.2%-1.7%-1.5M20.9M-82.8K18.0674.14N/AN/A173072,73414,302
2014-11-17$37.00$37.0023.6%5.8%21.9%61.1%25.0%5.9%-1.9%-1.2M18.7M-79.6K3.0176.22N/AN/A8752,6342,75114,303
2014-11-18$37.74$37.0022.1%5.5%22.4%55.9%25.1%4.7%-2.6%-1.0M15.3M-79.6K2.9872.16N/AN/A8832,6322,76114,242
2014-11-19$37.46$37.0022.8%5.7%22.4%58.2%18.5%4.5%-2.2%-969.9K16.3M-77.6K1.2073.23N/AN/A10122,78714,243
2014-11-20$36.86$37.0022.6%5.7%22.5%57.4%24.2%4.9%-2.5%-1.1M18.7M-77.2K4.9281.53N/AN/A5232,5722,79014,222
2014-11-21$37.55$37.0021.4%5.4%23.2%53.6%24.3%5.1%-1.1%-1.1M16.0M-77.3K5.3472.10N/AN/A5222,7852,84114,232
2014-11-24$38.30$37.0022.0%5.5%23.5%55.6%19.1%4.8%-2.3%-989.0K13.5M-75.5K0.1079.58N/AN/A252252,53911,662
2014-11-25$38.61$37.0020.6%5.2%21.7%50.9%23.3%5.0%-1.8%-956.8K12.0M-75.0K4.2479.53N/AN/A5532,3442,73211,682
2014-11-26$38.53$37.0020.4%5.2%18.8%50.1%19.5%4.8%-2.2%-969.3K12.6M-73.6K0.0082.38N/AN/A19002,79711,823
2014-11-28$38.61$37.0016.5%5.2%18.8%36.7%17.7%5.1%-2.1%-956.2K11.6M-74.9K14.8680.95N/AN/A71042,90011,823