EWP Options History — April 2015

In April 2015, EWP traded between $34.41 and $36.21. ATM implied volatility averaged 24.1%, placing in the 62.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.7% (HV 20d: 19.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2015-04-15: Highest Volume — 9,094 contracts
  • 2015-04-29: Largest IV spike — 15.9% change
  • 2015-04-30: Highest IV Rank — 81.3%
  • 2015-04-30: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.31$34.41$36.21$35.20$35.84
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV24.1%20.7%29.6%24.1%29.6%
Expected Move7.0%6.0%8.5%6.9%8.5%
HV 20d19.4%13.4%26.2%25.6%14.4%
HV 60d25.0%21.3%26.0%26.0%21.3%
IV Rank62.6%51.0%81.3%62.9%81.3%
IV Percentile74.1%50.8%97.6%79.4%97.6%
Term Structure0.0%-2.8%2.1%1.1%-2.5%
VWIV25.2%21.5%27.7%24.8%27.5%
Skew 25d5.7%3.7%8.1%5.3%3.7%
Skew 10d12.8%7.2%19.3%11.7%17.9%
Call IV 25d22.5%19.6%28.8%22.8%28.8%
Put IV 25d28.2%25.1%33.0%28.1%32.5%
Bid-Ask Spread %96.7083.90112.82112.8290.37
Gamma HHI0.340.150.770.380.15
Net GEX-1.1M-6.0M133.3K-1.2M127.7K
Net DEX4.0M-3.1M28.9M8.1M-3.1M
Net VEX-83.6K-93.3K-74.2K-92.7K-82.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.102.890.531.83
Total Volume4,109.3332859,0944,2713,404
Total OI21,156.8114,53329,55123,50616,332

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$35.20$35.0024.1%6.9%25.6%62.9%24.8%5.3%1.1%-1.2M8.1M-92.7K0.53112.82N/AN/A2,7861,4858,08515,421
2015-04-02$35.82$35.0020.7%6.6%26.2%51.0%25.2%4.7%1.7%-1.0M3.1M-93.3K0.5790.90N/AN/A2,5461,4648,36715,553
2015-04-06$36.21$35.0021.1%6.8%24.5%52.5%24.7%4.2%0.3%-643.0K-310.3K-89.0K0.5693.89N/AN/A2,3291,3078,46115,565
2015-04-07$35.72$35.0022.8%6.7%25.2%58.1%24.9%3.9%0.7%-1.0M1.4M-86.4K0.7698.43N/AN/A2,3261,7708,66815,564
2015-04-08$35.51$35.0022.7%6.5%22.2%57.9%26.8%6.2%1.1%-1.4M4.5M-90.7K0.1091.36N/AN/A258278,67416,059
2015-04-09$35.30$35.0023.7%6.8%22.3%61.3%25.7%4.5%0.4%-1.7M6.7M-90.1K0.6498.35N/AN/A2,6491,6898,87616,086
2015-04-10$35.08$35.0021.0%6.0%22.6%52.3%21.8%5.9%2.1%-2.3M8.9M-88.6K0.6994.96N/AN/A2,6201,8129,13816,090
2015-04-13$35.15$35.0021.9%6.3%22.0%55.4%22.7%4.3%0.9%-2.6M7.7M-86.1K0.7297.72N/AN/A2,4361,7659,34416,376
2015-04-14$35.30$35.0022.8%6.5%21.9%58.1%24.9%5.9%0.9%-2.6M5.7M-85.4K0.7396.33N/AN/A2,3551,7099,37816,611
2015-04-15$35.38$35.0022.6%6.5%21.9%57.7%24.3%5.4%1.4%-2.3M4.2M-84.0K2.87102.19N/AN/A2,3526,7429,39416,606
2015-04-16$35.25$35.0022.3%6.4%21.5%56.6%24.3%5.5%0.2%-6.0M10.2M-91.1K2.8990.21N/AN/A2,2466,4839,60819,943
2015-04-17$34.66$35.0024.4%7.0%21.8%63.7%27.1%6.7%-0.3%-71.9K28.9M-77.4K0.9183.90N/AN/A2,4782,2479,60918,919
2015-04-20$34.41$35.0026.9%7.7%15.1%72.3%27.0%5.8%-1.2%-108.7K2.8M-76.0K0.7588.10N/AN/A2,3401,7567,2007,333
2015-04-21$34.59$35.0024.9%7.1%13.8%65.3%26.3%7.7%-0.2%-65.6K2.4M-74.6K0.6898.55N/AN/A2,3431,6027,4337,405
2015-04-22$34.63$35.0024.2%6.9%13.4%63.1%27.7%6.4%-0.0%-30.9K2.2M-75.6K0.8098.90N/AN/A2,0921,6647,5797,414
2015-04-23$34.96$35.0025.5%7.3%13.9%67.5%25.5%5.2%-1.0%24.4K371.3K-77.4K1.95100.51N/AN/A8701,6937,6027,477
2015-04-24$35.27$35.0025.8%7.4%14.1%68.4%26.8%6.8%-1.2%54.8K-765.6K-78.3K1.7192.55N/AN/A9811,6817,6317,533
2015-04-27$35.60$35.0024.4%7.0%14.4%63.7%22.1%8.1%-0.8%95.8K-2.7M-74.2K1.87102.58N/AN/A1,0992,0527,6597,532
2015-04-28$35.97$35.0024.9%7.1%14.8%65.5%21.5%6.9%-0.1%133.3K-2.9M-80.8K2.03102.62N/AN/A1,0582,1437,9127,915
2015-04-29$35.66$35.0028.9%8.3%14.9%79.0%27.6%6.2%-2.8%98.9K-2.3M-81.6K1.74105.52N/AN/A1,3262,3117,9278,014
2015-04-30$35.84$35.0029.6%8.5%14.4%81.3%27.5%3.7%-2.5%127.7K-3.1M-82.1K1.8390.37N/AN/A1,2022,2028,1618,171