EWP Options History — December 2014

In December 2014, EWP traded between $34.63 and $38.81. ATM implied volatility averaged 21.7%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.2% (HV 20d: 19.5%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.02.

Notable Days

  • 2014-12-16: Highest Volume — 5,983 contracts
  • 2014-12-08: Largest IV spike — 52.2% change
  • 2014-12-17: Highest IV Rank — 77.2%
  • 2014-12-17: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.64$34.63$38.81$38.42$34.63
Max Pain$36.48$36.00$37.00$37.00$36.00
ATM IV21.7%15.0%28.4%23.7%22.8%
Expected Move6.1%5.2%7.4%5.5%6.5%
HV 20d19.5%16.9%22.3%18.4%19.9%
HV 60d23.4%22.3%24.3%22.5%24.0%
IV Rank54.5%31.6%77.2%61.3%58.4%
IV Percentile68.4%8.3%98.0%84.5%79.4%
Term Structure-0.1%-3.7%2.2%-3.5%-0.3%
VWIV24.2%20.2%31.2%21.8%21.6%
Skew 25d5.3%3.5%7.9%5.3%5.5%
Skew 10d9.5%3.4%18.8%7.1%18.6%
Call IV 25d20.1%16.6%25.3%20.0%22.2%
Put IV 25d25.5%21.2%33.0%25.3%27.7%
Bid-Ask Spread %80.6842.4598.7079.4342.45
Gamma HHI0.380.280.490.310.46
Net GEX-1.1M-1.5M-931.5K-980.6K-1.0M
Net DEX19.1M11.5M25.5M12.5M25.5M
Net VEX-87.8K-95.6K-72.6K-73.1K-87.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.673.703.703.27
Total Volume3,809.8181125,9833,105141
Total OI18,374.18214,82621,74414,82619,897

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$38.42$37.0023.7%5.5%18.4%61.3%21.8%5.3%-3.5%-980.6K12.5M-73.1K3.7079.43N/AN/A6612,4442,90011,926
2014-12-02$38.53$37.0019.6%5.6%17.5%47.4%24.2%5.1%-2.9%-943.5K12.6M-74.9K3.4575.71N/AN/A7002,4152,90011,987
2014-12-03$38.81$37.0024.0%5.7%16.9%62.3%23.8%6.7%-2.9%-931.5K11.5M-75.0K3.3975.75N/AN/A7122,4153,02211,988
2014-12-04$38.23$37.0023.1%5.6%18.1%59.4%20.2%4.6%-3.7%-961.1K13.6M-73.2K2.6379.00N/AN/A1263323,17211,987
2014-12-05$38.57$37.0015.0%5.2%17.8%31.6%22.1%4.6%1.4%-947.8K12.2M-72.6K2.3280.16N/AN/A1,6603,8493,29512,152
2014-12-08$38.30$37.0022.8%5.4%17.8%58.2%22.9%4.0%-0.0%-988.5K14.2M-89.4K2.3678.08N/AN/A1,6373,8664,31613,263
2014-12-09$37.63$37.0019.1%5.6%19.0%45.7%22.6%5.3%0.3%-1.0M17.6M-90.3K1.9580.01N/AN/A1,9363,7804,36713,255
2014-12-10$37.01$37.0019.0%6.2%19.8%45.4%24.6%5.3%2.2%-987.6K19.4M-90.6K2.2779.67N/AN/A1,7994,0774,66013,260
2014-12-11$36.96$36.0022.1%6.3%18.9%56.0%26.0%5.0%0.5%-1.0M19.7M-93.6K2.4377.69N/AN/A1,6754,0774,92013,556
2014-12-12$36.17$36.0023.5%6.9%20.5%60.6%26.4%4.9%1.2%-1.0M22.7M-90.5K2.1076.86N/AN/A1,8493,8875,00813,556
2014-12-15$35.56$36.0025.9%7.3%21.2%69.0%28.5%7.7%-0.4%-977.6K24.6M-90.5K2.1173.79N/AN/A1,7423,6775,24413,625
2014-12-16$35.92$36.0025.7%7.0%21.1%68.1%31.2%5.2%-0.4%-1.1M22.9M-90.5K1.8873.36N/AN/A2,0813,9025,24213,857
2014-12-17$35.24$36.0028.4%7.4%20.4%77.2%28.9%7.9%-2.8%-1.2M25.5M-93.2K1.7085.53N/AN/A2,0493,4875,50214,673
2014-12-18$36.04$36.0021.3%6.4%22.3%53.3%27.7%4.0%1.1%-1.5M21.8M-94.8K1.6682.66N/AN/A1,8183,0265,88215,114
2014-12-19$35.60$36.0020.7%6.1%22.0%51.1%21.8%4.9%0.4%-1.4M24.3M-95.6K0.6776.32N/AN/A3152116,04215,702
2014-12-22$35.79$0.0020.7%6.1%20.9%51.2%24.7%6.3%0.2%-1.0M19.9M-95.0K1.7893.13N/AN/A1,6342,9165,27514,130
2014-12-23$35.93$37.0019.3%6.0%19.3%46.2%23.6%3.9%1.8%-1.1M19.1M-95.6K1.0091.77N/AN/A1,5991,5935,31914,311
2014-12-24$36.13$37.0019.5%5.9%19.2%47.1%23.2%4.7%1.2%-1.0M18.2M-94.7K0.9397.92N/AN/A1,7211,5935,35614,316
2014-12-26$36.12$36.0018.6%5.8%19.2%44.0%22.2%3.5%1.7%-1.0M18.0M-93.1K0.8498.70N/AN/A1,7701,4795,38314,316
2014-12-29$35.52$36.0019.6%6.0%19.7%47.2%23.8%5.2%1.8%-1.1M21.4M-90.4K0.8483.53N/AN/A1,6571,3965,44314,316
2014-12-30$35.08$36.0022.9%6.6%19.9%58.4%20.6%7.4%0.1%-1.0M23.1M-88.6K1.1593.37N/AN/A52605,48914,308
2014-12-31$34.63$36.0022.8%6.5%19.9%58.4%21.6%5.5%-0.3%-1.0M25.5M-87.1K3.2742.45N/AN/A331085,54114,356