EWP Options History — May 2015

In May 2015, EWP traded between $34.61 and $36.92. ATM implied volatility averaged 26.1%, placing in the 68.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 7.8% (HV 20d: 18.2%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 3.97.

Notable Days

  • 2015-05-01: Highest Volume — 3,444 contracts
  • 2015-05-13: Largest IV drop — 26.2% change
  • 2015-05-12: Highest IV Rank — 100.0%
  • 2015-05-01: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.91$34.61$36.92$36.28$34.86
Max Pain$36.00$35.00$37.00$35.00$36.00
ATM IV26.1%21.0%35.4%29.4%23.1%
Expected Move7.0%6.0%8.4%8.4%6.6%
HV 20d18.2%13.4%23.2%13.7%23.1%
HV 60d20.3%19.5%21.4%20.7%21.3%
IV Rank68.8%51.6%100.0%80.7%58.5%
IV Percentile71.7%39.7%100.0%97.2%60.3%
Term Structure-0.8%-2.3%0.0%-2.3%-1.2%
VWIV24.7%20.1%29.9%29.9%22.3%
Skew 25d4.6%3.9%5.8%5.8%4.5%
Skew 10d9.6%4.6%17.6%6.2%11.3%
Call IV 25d22.7%19.3%26.7%26.7%21.7%
Put IV 25d27.3%23.7%32.5%32.5%26.3%
Bid-Ask Spread %91.4676.57104.9992.05100.36
Gamma HHI0.150.140.170.150.17
Net GEX62.9K-211.7K273.1K169.5K-194.4K
Net DEX-2.1M-8.4M4.7M-4.2M4.2M
Net VEX-71.1K-82.3K-59.7K-82.3K-63.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.970.3747.631.411.69
Total Volume1,978.051823,4443,4442,831
Total OI16,588.7515,31217,70616,45916,853

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$36.28$35.0029.4%8.4%13.7%80.7%29.9%5.8%-2.3%169.5K-4.2M-82.3K1.4192.05N/AN/A1,4322,0128,2178,242
2015-05-04$36.06$35.0031.0%7.8%13.4%86.1%0.0%5.5%-1.2%132.9K-3.6M-78.3K0.5076.57N/AN/A171868,1008,314
2015-05-05$35.15$35.0032.8%8.2%15.5%92.3%28.9%5.5%-1.6%-13.6K263.1K-78.3K0.7176.83N/AN/A1,0927778,1448,400
2015-05-06$35.60$35.0030.1%7.6%16.1%83.2%28.0%5.1%-0.4%60.5K-1.4M-78.6K0.7480.33N/AN/A1,0157518,3498,490
2015-05-07$35.50$35.0031.8%8.1%15.9%89.0%27.1%4.9%-1.4%63.8K-1.1M-76.9K0.7086.08N/AN/A1,0837598,3578,505
2015-05-08$36.32$35.0026.8%7.3%17.6%71.9%27.7%4.4%-0.3%196.3K-5.4M-75.8K9.0578.98N/AN/A383448,4408,507
2015-05-11$36.04$36.0031.5%7.4%17.9%87.9%28.7%4.6%-0.9%140.5K-4.2M-72.9K47.6390.94N/AN/A83818,4428,563
2015-05-12$36.02$36.0035.4%7.6%17.9%100.0%27.2%5.1%-1.5%107.4K-4.0M-72.2K1.2088.92N/AN/A1,0701,2798,4508,817
2015-05-13$36.39$37.0026.2%7.5%18.2%68.8%26.0%4.8%-0.9%118.1K-5.8M-74.1K1.0582.71N/AN/A1,0551,1098,5229,108
2015-05-14$36.92$37.0023.7%6.8%18.7%60.4%24.6%4.7%-0.4%273.1K-8.4M-72.0K1.1383.02N/AN/A1,1241,2748,5979,109
2015-05-15$36.86$37.0023.2%6.6%17.3%58.8%24.1%4.0%0.0%197.7K-6.5M-70.6K1.6684.44N/AN/A9081,5118,2509,050
2015-05-18$36.43$37.0023.6%6.8%17.7%60.3%23.6%4.6%-0.0%103.5K-3.2M-70.3K0.37102.18N/AN/A188707,2818,031
2015-05-19$36.20$37.0022.5%6.5%18.0%56.5%22.2%4.2%-0.6%80.8K-3.0M-70.4K3.67104.28N/AN/A391437,4168,100
2015-05-20$36.32$37.0021.8%6.3%18.0%54.2%21.5%3.9%-0.2%102.7K-2.7M-67.3K0.60104.99N/AN/A1,4808937,4218,204
2015-05-21$36.48$36.0021.9%6.3%17.8%54.4%20.9%4.9%-0.2%233.4K-4.4M-70.7K0.7999.26N/AN/A1,4821,1648,1078,282
2015-05-22$35.94$36.0021.0%6.0%18.6%51.6%20.8%4.1%-0.4%90.2K-1.6M-66.5K0.72104.53N/AN/A1,4381,0377,7268,144
2015-05-26$34.61$36.0022.6%6.5%22.8%56.9%24.2%3.9%-1.2%-208.0K4.7M-59.7K1.8098.20N/AN/A1,0801,9487,7318,222
2015-05-27$35.12$36.0021.3%6.1%23.2%52.4%20.9%4.1%-0.6%-211.7K3.9M-61.3K2.0897.79N/AN/A1,0892,2687,8308,790
2015-05-28$35.19$36.0021.3%6.1%23.0%52.6%20.1%4.3%-0.5%-185.5K3.5M-61.3K1.9296.78N/AN/A1,0722,0607,9088,756
2015-05-29$34.86$36.0023.1%6.6%23.1%58.5%22.3%4.5%-1.2%-194.4K4.2M-63.5K1.69100.36N/AN/A1,0521,7798,0698,784