EWP Options History — June 2015

In June 2015, EWP traded between $33.48 and $36.45. ATM implied volatility averaged 26.3%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 3.1% (HV 20d: 23.3%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.95.

Notable Days

  • 2015-06-01: Highest Volume — 5,893 contracts
  • 2015-06-29: Largest IV spike — 29.2% change
  • 2015-06-29: Highest IV Rank — 89.5%
  • 2015-06-29: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.04$33.48$36.45$34.73$33.57
Max Pain$35.27$35.00$36.00$36.00$36.00
ATM IV26.3%19.6%33.2%25.1%32.7%
Expected Move7.4%5.6%9.5%7.2%9.4%
HV 20d23.3%21.0%29.7%22.6%28.7%
HV 60d20.4%18.3%22.6%21.3%22.5%
IV Rank61.8%28.1%89.5%65.4%87.0%
IV Percentile78.5%26.6%98.4%80.6%97.6%
Term Structure-2.1%-5.9%0.4%-1.8%-4.7%
VWIV28.5%21.2%36.3%27.4%33.2%
Skew 25d6.7%3.9%8.7%5.5%5.8%
Skew 10d11.4%0.7%19.3%10.5%5.6%
Call IV 25d23.5%20.1%30.7%23.0%30.7%
Put IV 25d30.2%24.9%36.5%28.5%36.5%
Bid-Ask Spread %97.7590.34103.0197.2495.52
Gamma HHI0.180.130.250.170.22
Net GEX-470.6K-1.3M369.0K-241.5K-380.9K
Net DEX4.5M-4.8M10.4M5.3M7.9M
Net VEX-58.6K-71.1K-43.8K-61.4K-50.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.804.974.972.51
Total Volume2,7193245,8935,8933,103
Total OI19,130.95516,88920,97016,92317,662

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$34.73$36.0025.1%7.2%22.6%65.4%27.4%5.5%-1.8%-241.5K5.3M-61.4K4.9797.24N/AN/A9874,9068,0688,855
2015-06-02$35.40$36.0026.9%7.7%23.7%71.3%26.9%4.5%-3.3%-539.7K3.6M-71.1K1.4996.38N/AN/A1301948,16312,214
2015-06-03$35.73$36.0025.6%7.3%22.1%66.8%30.2%4.7%-3.7%-463.7K2.2M-71.0K4.3494.08N/AN/A8603,7358,22412,351
2015-06-04$35.03$35.0028.2%7.1%22.8%75.7%33.3%7.1%-2.0%-792.4K7.0M-71.1K3.6190.34N/AN/A8753,1598,25512,589
2015-06-05$34.74$35.0028.5%7.2%22.9%76.7%28.1%7.0%-0.9%-886.5K9.2M-69.2K1.2592.40N/AN/A8861,1088,26112,691
2015-06-08$34.70$35.0028.4%7.1%21.1%69.8%34.0%6.7%-1.2%-1.0M9.5M-64.5K1.3494.83N/AN/A8531,1438,26812,682
2015-06-09$34.61$35.0028.0%6.9%21.0%68.4%30.4%7.7%-0.9%-989.9K9.7M-64.3K3.0898.39N/AN/A9742,9988,32012,650
2015-06-10$35.47$35.0024.8%7.1%23.0%54.7%26.4%8.4%-2.0%-508.2K3.1M-61.8K2.8299.25N/AN/A1,1053,1128,21911,265
2015-06-11$35.57$35.0022.5%6.4%22.7%44.5%29.0%7.6%0.0%-529.3K3.1M-61.3K1.1399.25N/AN/A1,0861,2298,15711,423
2015-06-12$35.16$35.0026.7%7.7%22.2%62.6%30.9%7.3%-2.8%-673.6K6.0M-61.9K1.0894.16N/AN/A1,0991,1868,16811,422
2015-06-15$34.70$35.0027.3%7.8%22.5%65.0%29.7%8.3%-2.1%-948.7K8.6M-58.7K1.0295.44N/AN/A9851,0018,18011,490
2015-06-16$34.63$35.0027.5%7.9%22.3%65.9%28.1%7.2%-2.4%-1.0M9.3M-55.5K1.1197.09N/AN/A1,0031,1128,28811,519
2015-06-17$34.50$35.0026.2%7.5%22.3%60.7%25.1%8.6%-1.7%-1.3M10.4M-50.3K1.72101.83N/AN/A1,0131,7418,27311,652
2015-06-18$35.12$35.0024.4%7.0%23.3%52.7%26.8%7.9%-0.7%-704.7K3.9M-52.2K1.14103.01N/AN/A1,2661,4478,39111,628
2015-06-19$35.24$35.0026.3%7.5%23.3%60.7%27.0%8.7%-1.9%-81.1K3.3M-55.1K1.3199.67N/AN/A1,1931,5588,71611,767
2015-06-22$36.45$35.0023.2%6.7%25.9%47.0%22.3%7.3%-1.2%369.0K-4.8M-52.1K1.79102.17N/AN/A6441,1508,2548,635
2015-06-23$36.06$35.0019.6%5.6%22.1%28.1%26.5%4.8%0.4%264.9K-2.8M-52.5K1.8899.49N/AN/A6421,2048,3988,757
2015-06-24$35.63$35.0022.7%6.5%22.1%39.3%21.2%3.9%-1.5%246.9K-2.6M-43.8K0.8098.45N/AN/A1,4701,1738,3698,841
2015-06-25$35.13$36.0025.8%7.4%22.7%53.8%31.5%6.2%-3.0%53.3K740.0K-55.3K1.27102.62N/AN/A9461,2018,3118,861
2015-06-26$35.33$36.0025.7%7.4%22.5%53.5%23.6%6.4%-3.0%112.3K-325.2K-54.7K1.2396.16N/AN/A9701,1978,3728,880
2015-06-29$33.48$35.0033.2%9.5%29.7%89.5%36.3%5.6%-5.9%-350.9K7.4M-50.6K1.93102.72N/AN/A7421,4328,5218,871
2015-06-30$33.57$36.0032.7%9.4%28.7%87.0%33.2%5.8%-4.7%-380.9K7.9M-50.9K2.5195.52N/AN/A8832,2208,6019,061