EWP Options History — March 2015

In March 2015, EWP traded between $32.52 and $35.29. ATM implied volatility averaged 23.0%, placing in the 58.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.1% (HV 20d: 23.1%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2015-03-31: Highest Volume — 4,051 contracts
  • 2015-03-10: Largest IV spike — 14.6% change
  • 2015-03-10: Highest IV Rank — 66.5%
  • 2015-03-19: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.99$32.52$35.29$35.07$34.78
Max Pain$34.86$34.00$35.00$34.00$35.00
ATM IV23.0%21.3%25.2%21.3%24.4%
Expected Move6.5%6.1%7.0%6.1%7.0%
HV 20d23.1%18.3%26.4%25.8%25.5%
HV 60d26.9%26.0%28.0%26.3%27.5%
IV Rank58.9%53.1%66.5%53.1%63.6%
IV Percentile71.1%59.1%87.3%59.5%81.3%
Term Structure0.7%-0.4%1.8%-0.1%-0.1%
VWIV23.8%21.0%27.7%21.0%25.6%
Skew 25d5.6%3.6%8.7%5.9%8.7%
Skew 10d14.6%4.7%19.4%11.1%19.1%
Call IV 25d21.1%19.3%22.8%19.8%21.1%
Put IV 25d26.7%24.3%29.7%25.7%29.7%
Bid-Ask Spread %101.2289.72111.9093.97111.88
Gamma HHI0.300.210.400.280.39
Net GEX-1.3M-1.8M-960.2K-960.2K-1.4M
Net DEX17.8M8.7M28.5M9.8M11.4M
Net VEX-90.1K-105.9K-78.6K-105.9K-93.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.103.170.440.48
Total Volume1,478.955354,0513,0134,051
Total OI22,842.09121,16123,81522,50823,271

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$35.07$34.0021.3%6.1%25.8%53.1%21.0%5.9%-0.1%-960.2K9.8M-105.9K0.4493.97N/AN/A2,0929216,90115,607
2015-03-03$34.64$34.0021.3%6.1%26.4%53.1%21.6%3.9%0.5%-1.1M12.8M-104.1K0.42111.90N/AN/A2,1008916,90015,607
2015-03-04$34.35$34.0022.7%6.5%23.3%58.1%22.5%4.4%-0.4%-1.1M14.9M-103.3K0.45108.23N/AN/A2,1019486,98715,610
2015-03-05$34.36$35.0022.5%6.3%21.1%57.2%24.6%5.0%1.1%-1.2M15.0M-102.1K0.47104.41N/AN/A2,0439547,02315,695
2015-03-06$33.54$35.0022.6%6.2%22.3%57.6%23.6%5.0%0.7%-1.2M19.8M-98.4K0.5194.47N/AN/A2,0101,0207,24415,695
2015-03-09$33.67$35.0022.0%6.1%21.2%55.6%21.4%6.1%1.6%-1.3M20.4M-93.9K0.3893.34N/AN/A2981137,36015,822
2015-03-10$32.65$35.0025.2%6.7%23.6%66.5%25.0%6.4%0.6%-1.3M26.3M-86.6K0.7893.28N/AN/A4893797,57815,932
2015-03-11$32.54$35.0022.6%6.5%22.7%57.7%22.2%6.8%0.4%-1.4M28.5M-82.5K0.10103.88N/AN/A266267,33616,168
2015-03-12$32.83$35.0021.9%6.3%22.4%55.3%26.2%5.8%1.2%-1.5M27.1M-82.7K1.1395.09N/AN/A52597,38116,166
2015-03-13$32.52$35.0022.0%6.3%18.7%55.6%21.4%6.5%0.4%-1.4M28.1M-80.5K0.7489.72N/AN/A58437,43116,166
2015-03-16$32.86$35.0022.7%6.5%18.4%58.0%26.0%5.3%0.4%-1.5M26.4M-80.4K0.17101.06N/AN/A3057,46016,169
2015-03-17$32.85$35.0023.4%6.7%18.3%60.2%24.4%5.7%0.3%-1.5M27.3M-78.6K1.7394.64N/AN/A44767,44416,164
2015-03-18$33.37$35.0023.4%6.7%19.3%60.2%23.0%5.8%0.4%-1.5M22.9M-82.9K1.07104.91N/AN/A1631757,44516,223
2015-03-19$32.89$35.0024.5%7.0%19.8%64.1%27.2%5.5%0.6%-1.8M26.2M-78.6K3.17103.91N/AN/A1053337,51316,135
2015-03-20$34.42$35.0022.4%6.4%25.2%56.8%21.3%6.1%1.4%-1.4M13.4M-88.5K0.49102.65N/AN/A7493647,52416,291
2015-03-23$35.02$35.0022.9%6.6%25.7%58.6%23.6%4.7%1.1%-1.3M10.7M-89.1K0.22104.53N/AN/A154346,20414,961
2015-03-24$35.29$35.0022.0%6.3%25.7%55.6%22.0%3.6%1.8%-1.2M8.7M-87.1K0.2496.46N/AN/A271666,19214,969
2015-03-25$35.12$35.0023.8%6.8%25.7%61.5%23.8%5.1%0.7%-1.2M9.4M-87.9K0.2296.42N/AN/A6671466,34414,965
2015-03-26$34.93$35.0024.4%7.0%25.8%63.8%27.7%5.8%0.7%-1.3M11.4M-90.2K0.55106.13N/AN/A2,2551,2516,57815,059
2015-03-27$34.99$35.0024.2%6.9%25.8%63.0%24.8%5.8%0.6%-1.3M10.9M-92.7K0.38107.27N/AN/A5412036,95715,272
2015-03-30$35.04$35.0023.7%6.8%25.7%61.3%24.4%5.9%1.2%-1.3M9.6M-92.0K0.49108.72N/AN/A2,6701,3217,35815,419
2015-03-31$34.78$35.0024.4%7.0%25.5%63.6%25.6%8.7%-0.1%-1.4M11.4M-93.6K0.48111.88N/AN/A2,7301,3217,85015,421