EWP Options History — August 2015

In August 2015, EWP traded between $31.40 and $34.76. ATM implied volatility averaged 25.8%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 9.2% (HV 20d: 16.6%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 3.21.

Notable Days

  • 2015-08-20: Highest Volume — 5,676 contracts
  • 2015-08-12: Largest IV spike — 24.1% change
  • 2015-08-25: Highest IV Rank — 77.1%
  • 2015-08-25: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.33$31.40$34.76$34.36$32.05
Max Pain$34.86$34.00$35.00$34.00$34.00
ATM IV25.8%17.4%36.5%20.1%29.9%
Expected Move7.5%5.5%10.5%5.8%8.6%
HV 20d16.6%12.6%24.3%23.7%17.6%
HV 60d25.0%24.1%25.7%25.7%24.5%
IV Rank38.8%8.6%77.1%18.6%53.5%
IV Percentile61.9%5.6%98.0%19.4%90.1%
Term Structure-1.0%-4.8%2.1%1.2%-1.1%
VWIV25.4%17.0%40.2%18.2%27.3%
Skew 25d7.0%3.2%25.8%3.2%13.3%
Skew 10d9.9%-3.7%37.6%4.9%17.6%
Call IV 25d23.3%16.7%32.2%19.4%22.9%
Put IV 25d30.4%21.3%58.0%22.6%36.2%
Bid-Ask Spread %99.9587.56120.41103.6495.59
Gamma HHI0.410.280.530.450.28
Net GEX-1.8M-2.4M-1.1M-1.9M-1.3M
Net DEX27.0M19.0M36.0M21.5M26.6M
Net VEX-119.7K-145.9K-77.8K-139.2K-77.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.211.0014.7214.722.66
Total Volume2,678.817395,6767393,764
Total OI26,742.95220,43330,79426,88820,433

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$34.36$34.0020.1%5.8%23.7%18.6%18.2%3.2%1.2%-1.9M21.5M-139.2K14.72103.64N/AN/A476925,54821,340
2015-08-04$33.88$35.0019.2%5.5%24.3%15.1%17.7%3.2%2.1%-2.0M25.5M-137.0K2.1295.72N/AN/A6151,3015,59121,740
2015-08-05$34.18$35.0019.1%5.5%23.3%15.0%17.0%4.7%1.2%-2.0M23.7M-136.6K2.6798.49N/AN/A6161,6465,60621,877
2015-08-06$34.24$35.0018.3%5.7%22.3%11.9%20.2%3.8%2.0%-2.1M23.8M-136.3K2.6394.99N/AN/A5791,5205,60722,091
2015-08-07$34.23$35.0018.9%5.8%12.6%14.2%20.4%4.0%1.3%-2.1M23.9M-136.4K2.5487.56N/AN/A5491,3925,60822,245
2015-08-10$34.76$35.0017.4%5.7%13.7%8.6%21.1%4.4%0.9%-1.9M19.0M-130.7K3.24105.46N/AN/A5251,6995,62322,250
2015-08-11$34.46$35.0021.3%6.2%14.1%22.8%23.4%4.4%1.0%-2.0M22.0M-132.3K1.1994.72N/AN/A1,3011,5505,61822,449
2015-08-12$34.46$35.0026.5%7.6%14.0%41.2%27.3%4.8%-1.6%-2.0M23.6M-145.9K1.47101.24N/AN/A1,8232,6746,81323,981
2015-08-13$34.04$35.0025.5%7.3%13.5%37.7%27.3%5.9%-0.8%-2.0M25.1M-142.9K3.4893.34N/AN/A6502,2656,83123,558
2015-08-14$33.91$35.0024.7%7.1%13.5%34.8%25.0%5.9%0.2%-2.1M27.0M-138.9K2.5698.12N/AN/A5711,4626,77923,439
2015-08-17$33.77$35.0025.1%7.2%13.3%36.2%25.3%9.6%-0.6%-2.2M29.1M-135.5K2.97102.24N/AN/A6651,9756,77923,701
2015-08-18$33.48$35.0027.6%7.9%13.5%45.2%24.8%6.3%-3.2%-2.3M30.5M-130.9K1.69100.96N/AN/A8291,3996,88523,531
2015-08-19$33.51$35.0025.3%7.3%13.5%37.1%26.6%6.0%-0.9%-2.3M30.8M-128.8K4.59102.54N/AN/A1577206,69323,513
2015-08-20$32.80$35.0029.6%8.5%15.1%52.6%26.1%3.5%-4.7%-2.4M36.0M-120.3K5.0499.63N/AN/A9394,7376,69623,399
2015-08-21$32.21$35.0031.6%9.0%15.6%59.5%30.0%5.5%-1.1%-1.5M35.4M-101.1K5.9599.29N/AN/A7254,3176,84421,039
2015-08-24$31.57$35.0035.1%10.1%16.7%72.2%40.2%25.8%-3.2%-1.1M28.2M-96.0K2.21120.41N/AN/A8621,9015,44716,207
2015-08-25$31.40$35.0036.5%10.5%15.5%77.1%33.7%9.3%-4.8%-1.2M27.5M-90.0K1.19104.17N/AN/A1,0961,3065,65915,659
2015-08-26$32.01$35.0031.1%8.9%17.7%58.0%27.9%6.8%-2.7%-1.3M29.8M-84.2K1.00108.05N/AN/A9239225,97715,493
2015-08-27$32.31$35.0029.9%8.6%17.8%53.6%26.5%8.7%-2.5%-1.4M28.3M-88.0K1.1098.04N/AN/A9591,0565,97615,467
2015-08-28$32.27$34.0028.7%8.2%17.7%49.1%27.0%8.5%-3.4%-1.5M29.1M-84.2K2.4294.66N/AN/A1,0322,4946,09915,511
2015-08-31$32.05$34.0029.9%8.6%17.6%53.5%27.3%13.3%-1.1%-1.3M26.6M-77.8K2.6695.59N/AN/A1,0282,7366,20414,229