EWP Options History — January 2015

In January 2015, EWP traded between $32.26 and $35.06. ATM implied volatility averaged 26.1%, placing in the 69.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 1.2% (HV 20d: 24.9%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2015-01-29: Highest Volume — 4,354 contracts
  • 2015-01-12: Largest IV spike — 22.1% change
  • 2015-01-12: Highest IV Rank — 97.3%
  • 2015-01-12: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.12$32.26$35.06$35.06$32.65
Max Pain$33.40$33.00$36.00$36.00$33.00
ATM IV26.1%21.9%34.3%23.3%23.9%
Expected Move7.4%6.3%8.7%6.7%6.8%
HV 20d24.9%20.4%31.2%20.4%31.2%
HV 60d22.9%21.2%24.6%23.5%23.7%
IV Rank69.5%55.4%97.3%60.0%61.9%
IV Percentile86.8%67.1%99.6%81.3%82.9%
Term Structure-1.1%-3.3%0.6%0.6%-0.3%
VWIV26.0%21.8%29.5%25.3%25.4%
Skew 25d5.9%3.0%8.8%5.6%3.4%
Skew 10d12.5%6.0%21.4%9.7%6.0%
Call IV 25d24.1%20.0%27.4%22.2%23.9%
Put IV 25d29.9%24.6%33.9%27.8%27.3%
Bid-Ask Spread %94.5780.67109.0482.09102.79
Gamma HHI0.240.130.460.460.20
Net GEX-370.1K-1.1M-75.2K-1.1M-330.4K
Net DEX22.4M10.6M33.1M23.8M15.7M
Net VEX-80.1K-87.9K-71.1K-87.9K-73.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.053.440.730.43
Total Volume2,466.4754,3542,8973,757
Total OI20,385.5516,91224,09119,98818,281

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$35.06$36.0023.3%6.7%20.4%60.0%25.3%5.6%0.6%-1.1M23.8M-87.9K0.7382.09N/AN/A1,6781,2195,55714,431
2015-01-05$33.52$36.0028.0%8.0%24.6%76.1%26.1%8.8%-3.0%-856.0K30.5M-75.6K0.0587.85N/AN/A2,2601095,55714,431
2015-01-06$32.96$35.0028.9%8.4%24.2%79.2%29.5%7.3%-2.8%-511.1K30.0M-80.0K2.8384.49N/AN/A1845217,67614,462
2015-01-07$33.26$33.0027.6%8.3%24.9%74.6%29.5%6.9%-2.8%-530.8K29.4M-84.4K3.4496.93N/AN/A1655677,75814,637
2015-01-08$32.81$33.0023.3%7.3%24.7%60.0%27.4%5.8%-0.5%-502.1K31.7M-78.5K0.8195.60N/AN/A1,9591,5777,92114,924
2015-01-09$32.36$33.0028.1%8.0%24.6%76.2%23.9%8.1%-2.1%-484.8K33.1M-72.7K0.6395.46N/AN/A2,5381,5937,93514,914
2015-01-12$32.26$33.0034.3%8.7%24.6%97.3%29.3%6.4%-3.3%-369.9K31.8M-76.3K0.7287.61N/AN/A2,2271,6008,72014,922
2015-01-13$32.31$33.0031.7%8.6%24.1%88.5%29.1%6.9%-3.1%-342.6K31.6M-76.5K0.7391.35N/AN/A2,1431,5759,03014,939
2015-01-14$32.66$33.0027.9%8.0%24.4%75.5%28.9%7.1%-1.8%-328.4K30.8M-79.7K0.7795.86N/AN/A2,0921,6099,02614,941
2015-01-15$32.39$33.0029.8%8.5%23.8%82.2%28.6%6.1%-2.3%-324.6K31.5M-76.7K0.7780.67N/AN/A2,0791,5999,09714,976
2015-01-16$32.74$33.0028.4%8.2%23.8%77.5%26.0%6.8%-1.8%-295.1K30.6M-79.6K0.8788.45N/AN/A4063549,12314,968
2015-01-20$33.39$33.0026.3%7.5%23.5%70.1%23.7%6.3%-0.1%-216.3K12.2M-85.2K0.07100.91N/AN/A12186,88210,030
2015-01-21$33.65$33.0024.1%6.9%23.6%62.6%25.8%5.1%0.6%-195.1K11.5M-86.1K2.5989.49N/AN/A561456,91710,027
2015-01-22$33.77$33.0022.7%6.5%23.5%58.0%24.3%4.4%0.3%-171.9K11.0M-85.8K0.6189.53N/AN/A2,2771,3836,95210,041
2015-01-23$33.12$33.0023.9%6.8%24.1%61.9%24.6%3.0%-0.3%-222.0K13.0M-81.4K0.6191.63N/AN/A1,9611,1977,40410,047
2015-01-26$33.73$33.0021.9%6.3%25.1%55.4%21.8%3.5%-0.1%-123.7K10.7M-84.0K0.33105.91N/AN/A170567,48110,070
2015-01-27$33.78$33.0022.1%6.3%25.2%56.0%22.2%5.6%0.3%-75.2K10.6M-85.0K0.10109.04N/AN/A6877,62910,124
2015-01-28$32.52$33.0022.8%6.5%27.7%58.2%24.2%4.9%0.3%-326.3K16.1M-71.1K0.53107.12N/AN/A2,4241,2907,68410,134
2015-01-29$33.54$33.0022.9%6.6%30.2%58.6%24.4%5.5%-0.5%-132.8K12.2M-81.6K0.49108.67N/AN/A2,9301,4247,77110,292
2015-01-30$32.65$33.0023.9%6.8%31.2%61.9%25.4%3.4%-0.3%-330.4K15.7M-73.2K0.43102.79N/AN/A2,6281,1297,76210,519