EWP Options History — July 2015

In July 2015, EWP traded between $32.09 and $35.01. ATM implied volatility averaged 26.9%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 5.2% (HV 20d: 32.0%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 3.45.

Notable Days

  • 2015-07-24: Highest Volume — 14,633 contracts
  • 2015-07-15: Largest IV drop — 20.8% change
  • 2015-07-06: Highest IV Rank — 100.0%
  • 2015-07-02: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.14$32.09$35.01$33.57$34.21
Max Pain$34.05$33.00$35.00$35.00$34.00
ATM IV26.9%18.1%42.9%32.4%20.4%
Expected Move6.8%5.2%9.6%9.3%5.9%
HV 20d32.0%26.8%36.3%28.4%27.5%
HV 60d25.4%22.3%26.5%22.4%25.7%
IV Rank46.7%12.5%100.0%85.7%19.6%
IV Percentile54.4%11.5%100.0%97.2%21.0%
Term Structure-1.5%-7.6%1.4%-5.6%1.0%
VWIV26.1%18.8%38.5%33.1%20.3%
Skew 25d4.6%2.7%7.1%5.2%2.8%
Skew 10d9.0%1.5%16.3%8.4%8.8%
Call IV 25d21.9%16.8%32.6%30.6%19.1%
Put IV 25d26.5%20.4%37.1%35.8%21.9%
Bid-Ask Spread %97.2080.27111.2397.7794.07
Gamma HHI0.260.140.460.200.45
Net GEX-648.9K-1.9M117.3K-520.9K-1.8M
Net DEX7.8M-2.2M23.4M9.5M22.1M
Net VEX-70.7K-143.4K-47.1K-57.0K-141.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.451.1120.332.281.36
Total Volume3,646.6361,58914,6332,6031,589
Total OI20,594.45511,51426,90919,44926,824

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$33.57$35.0032.4%9.3%28.4%85.7%33.1%5.2%-5.6%-520.9K9.5M-57.0K2.2897.77N/AN/A7941,8099,12110,328
2015-07-02$33.54$35.0033.5%9.6%27.7%90.8%38.5%4.5%-7.0%-509.2K9.6M-57.0K2.23106.28N/AN/A8691,9379,15910,309
2015-07-06$32.35$34.0038.3%8.6%30.2%100.0%28.7%5.5%-3.8%-753.7K15.4M-48.0K2.2480.27N/AN/A7331,6459,37110,458
2015-07-07$32.66$34.0038.9%9.3%30.5%100.0%34.9%7.1%-7.6%-795.4K15.0M-47.1K2.74103.24N/AN/A9172,5179,69410,530
2015-07-08$32.09$34.0042.9%9.0%30.9%100.0%32.7%6.7%-5.1%-860.1K17.0M-53.9K2.2183.56N/AN/A1,0322,2769,91812,071
2015-07-09$32.79$34.0042.3%8.6%30.6%97.8%32.8%6.1%-4.1%-794.5K12.8M-58.4K1.9085.29N/AN/A1,2202,32010,06012,299
2015-07-10$34.52$33.0037.1%7.5%36.3%79.8%32.0%5.1%-3.2%-133.8K253.0K-59.2K3.5989.30N/AN/A7782,79610,65212,397
2015-07-13$34.45$34.0034.4%7.2%36.1%70.2%29.9%4.6%-2.6%-420.0K2.2M-53.6K1.7296.87N/AN/A1,3312,29110,69612,929
2015-07-14$34.55$34.0027.9%6.0%35.9%47.1%25.7%4.5%-0.5%-478.1K1.1M-48.5K1.7899.05N/AN/A1,2932,30510,70612,914
2015-07-15$34.47$34.0022.1%6.3%35.9%26.6%26.4%4.6%-0.0%-528.0K2.1M-47.9K2.0688.85N/AN/A1,3182,72010,70012,973
2015-07-16$34.99$34.0019.4%5.6%36.3%17.1%24.7%4.1%0.4%-1.1M-1.7M-47.3K4.0797.30N/AN/A7082,88010,65213,369
2015-07-17$34.81$34.0018.7%5.4%35.7%14.7%22.1%3.9%1.3%25.8K2.8M-48.3K3.44101.70N/AN/A8052,77210,68713,970
2015-07-20$34.96$34.0018.4%5.3%35.7%13.8%19.6%4.2%0.8%52.4K-1.9M-48.8K1.27102.27N/AN/A8861,1224,7926,722
2015-07-21$34.92$34.0018.1%5.2%33.4%12.5%18.8%2.7%0.6%114.9K-2.2M-48.1K1.2693.10N/AN/A8801,1105,0246,778
2015-07-22$35.01$34.0018.7%5.4%33.3%14.7%23.9%2.7%0.9%93.5K-2.1M-51.4K1.5299.20N/AN/A7271,1085,1046,936
2015-07-23$34.87$34.0018.1%5.2%33.1%12.5%19.4%3.5%0.9%117.3K-2.2M-49.1K1.11100.38N/AN/A7888715,1946,941
2015-07-24$34.41$34.0021.0%6.0%33.0%22.9%22.1%4.1%-0.3%-4.2K-483.5K-49.5K20.33111.23N/AN/A68613,9475,2186,955
2015-07-27$34.33$34.0024.6%7.1%32.9%34.6%23.5%5.2%-0.9%-1.1M14.0M-118.9K6.15102.30N/AN/A9235,6745,29316,860
2015-07-28$34.77$34.0022.1%6.3%26.8%25.6%23.2%5.5%0.1%-1.4M16.1M-135.7K5.44106.38N/AN/A6883,7465,47419,734
2015-07-29$34.64$34.0020.8%6.0%26.9%20.8%22.4%4.9%0.4%-1.5M18.0M-143.3K5.10108.29N/AN/A5862,9865,44120,916
2015-07-30$34.13$34.0020.9%6.0%27.5%21.3%20.4%3.8%1.4%-1.9M23.4M-143.4K2.0391.75N/AN/A6091,2345,48221,427
2015-07-31$34.21$34.0020.4%5.9%27.5%19.6%20.3%2.8%1.0%-1.8M22.1M-141.7K1.3694.07N/AN/A6729175,51521,309