EWP Options History — February 2015

In February 2015, EWP traded between $32.74 and $35.21. ATM implied volatility averaged 24.8%, placing in the 65.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 7.5% (HV 20d: 32.2%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.53.

Notable Days

  • 2015-02-04: Highest Volume — 8,054 contracts
  • 2015-02-04: Largest IV spike — 17.2% change
  • 2015-02-09: Highest IV Rank — 79.6%
  • 2015-02-11: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.10$32.74$35.21$32.89$34.94
Max Pain$33.53$32.00$34.00$33.00$34.00
ATM IV24.8%20.9%29.1%24.3%20.9%
Expected Move7.1%6.0%8.0%7.0%6.0%
HV 20d32.2%28.0%34.4%30.9%28.0%
HV 60d26.1%23.7%27.1%23.7%26.3%
IV Rank65.0%51.7%79.6%63.3%51.7%
IV Percentile82.6%57.5%97.6%84.9%57.5%
Term Structure-0.5%-1.8%2.0%-0.5%0.5%
VWIV25.3%20.7%29.0%24.1%20.7%
Skew 25d5.5%2.5%7.2%4.5%5.5%
Skew 10d11.6%6.2%16.7%7.5%10.4%
Call IV 25d22.9%19.2%26.1%22.4%19.2%
Put IV 25d28.3%24.4%32.7%26.8%24.7%
Bid-Ask Spread %95.2484.48110.27100.64110.27
Gamma HHI0.220.150.300.200.28
Net GEX-373.2K-999.6K931.7K-326.9K-966.3K
Net DEX12.5M-1.1M19.7M15.2M10.5M
Net VEX-108.1K-119.2K-73.5K-73.5K-109.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.3514.7114.710.44
Total Volume4,435.1587298,0542,8123,014
Total OI22,79118,32925,97918,32922,505

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$32.89$33.0024.3%7.0%30.9%63.3%24.1%4.5%-0.5%-326.9K15.2M-73.5K14.71100.64N/AN/A1792,6337,80910,520
2015-02-03$34.12$33.0021.2%6.1%29.9%52.8%22.0%2.5%2.0%-155.8K12.1M-105.2K0.7996.52N/AN/A4,4443,5007,92813,136
2015-02-04$33.24$33.0024.8%7.1%30.8%65.2%25.1%3.9%-0.6%-367.4K15.7M-101.9K0.7698.98N/AN/A4,5713,4838,22213,138
2015-02-05$33.79$32.0024.1%7.0%31.2%62.6%26.3%6.0%-0.6%-126.3K12.9M-109.7K0.7988.33N/AN/A4,4603,5359,02613,144
2015-02-06$33.17$32.0026.0%7.5%31.5%69.0%26.5%5.2%-0.3%-312.0K15.9M-102.7K1.3585.73N/AN/A2,9663,9968,61713,216
2015-02-09$32.74$33.0029.1%8.0%31.5%79.6%27.7%7.0%-1.5%-572.0K19.7M-99.3K0.7587.56N/AN/A2,7092,0248,58313,853
2015-02-10$33.30$33.0028.6%7.9%32.0%78.0%27.9%7.0%-1.8%-432.1K17.0M-107.1K0.7795.74N/AN/A2,6982,0668,55514,339
2015-02-11$32.81$34.0028.0%8.0%32.5%76.1%28.0%6.3%-0.8%-598.3K19.3M-107.0K0.9684.48N/AN/A2,4442,3488,55514,628
2015-02-12$33.93$34.0025.1%7.2%34.4%66.3%27.0%5.4%-0.8%-298.1K15.2M-112.3K0.8299.46N/AN/A2,3701,9378,54315,359
2015-02-13$34.41$34.0026.4%7.6%34.4%70.4%27.8%5.3%-1.6%38.7K11.1M-116.5K0.9194.63N/AN/A2,3202,1038,53015,572
2015-02-17$34.51$34.0025.0%7.2%34.3%65.9%27.1%6.3%-1.2%289.3K10.8M-111.6K0.6798.98N/AN/A2,3821,5888,54915,732
2015-02-18$34.55$34.0025.4%7.3%33.7%67.0%24.4%7.2%-0.5%565.3K10.1M-111.5K0.51101.84N/AN/A2,9861,5378,47715,900
2015-02-19$34.57$34.0025.4%7.3%33.6%67.3%29.0%6.2%-1.2%931.7K8.1M-119.2K2.98100.27N/AN/A1835469,73616,013
2015-02-20$35.21$34.0025.4%7.3%34.1%67.0%25.2%4.6%-0.8%-852.3K-1.1M-116.3K0.3695.57N/AN/A1,0873879,60416,375
2015-02-23$34.81$34.0024.6%7.1%33.6%64.4%25.1%4.7%-0.1%-956.1K11.9M-114.9K0.3588.56N/AN/A2,8669896,48615,610
2015-02-24$35.11$34.0022.6%6.5%33.2%57.6%23.4%4.8%-0.3%-955.3K10.1M-112.4K0.3591.59N/AN/A2,8389976,44115,652
2015-02-25$35.01$34.0022.1%6.3%33.2%55.9%20.8%6.2%0.2%-997.0K10.5M-112.1K0.4693.93N/AN/A2,0999686,57615,605
2015-02-26$34.88$34.0021.8%6.2%29.8%54.9%21.9%5.1%-0.4%-999.6K11.2M-110.5K0.4496.51N/AN/A2,0949216,88815,607
2015-02-27$34.94$34.0020.9%6.0%28.0%51.7%20.7%5.5%0.5%-966.3K10.5M-109.9K0.44110.27N/AN/A2,0939216,89815,607