EWP Options History — September 2015

In September 2015, EWP traded between $29.13 and $31.95. ATM implied volatility averaged 29.7%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 7.4% (HV 20d: 22.3%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.58.

Notable Days

  • 2015-09-18: Highest Volume — 5,487 contracts
  • 2015-09-22: Largest IV spike — 28.9% change
  • 2015-09-01: Highest IV Rank — 70.6%
  • 2015-09-01: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.42$29.13$31.95$31.12$29.69
Max Pain$34.00$34.00$34.00$34.00$34.00
ATM IV29.7%24.3%34.7%34.7%25.6%
Expected Move8.4%7.0%9.9%9.9%7.3%
HV 20d22.3%19.2%26.4%19.5%23.5%
HV 60d24.4%22.6%25.8%25.1%22.6%
IV Rank52.6%33.4%70.6%70.6%38.1%
IV Percentile83.0%52.8%96.4%96.4%63.9%
Term Structure-2.2%-7.5%4.1%-4.5%0.4%
VWIV26.1%17.5%32.0%32.0%29.5%
Skew 25d7.0%2.2%15.4%7.7%2.2%
Skew 10d16.2%-3.7%27.7%20.6%16.3%
Call IV 25d26.4%22.6%31.9%31.5%28.8%
Put IV 25d33.4%29.2%39.2%39.2%31.1%
Bid-Ask Spread %95.8481.90116.0599.72102.93
Gamma HHI0.250.210.360.230.25
Net GEX-704.3K-1.5M-419.8K-898.0K-552.3K
Net DEX25.5M21.6M28.0M25.1M24.6M
Net VEX-49.8K-65.9K-42.1K-65.9K-49.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.580.3634.501.500.39
Total Volume2,582.6672505,4872,8153,049
Total OI18,425.76216,89819,11919,11918,350

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$31.12$34.0034.7%9.9%19.5%70.6%32.0%7.7%-4.5%-898.0K25.1M-65.9K1.5099.72N/AN/A1,1241,6916,20512,914
2015-09-02$31.23$34.0032.8%9.4%19.2%63.9%31.7%4.1%-2.9%-859.8K24.2M-61.7K1.1998.81N/AN/A9171,0876,29512,233
2015-09-03$30.81$34.0029.6%7.4%19.3%52.3%24.6%5.4%-0.8%-835.8K25.3M-56.8K1.2395.27N/AN/A1,0571,3016,31612,172
2015-09-04$30.36$34.0032.9%8.2%19.5%64.3%23.8%9.3%-0.9%-615.5K28.0M-46.5K0.9392.80N/AN/A9328666,56212,180
2015-09-08$30.87$34.0031.2%8.1%19.6%58.2%18.3%9.4%-3.7%-774.1K26.9M-48.4K2.4781.90N/AN/A721786,58512,120
2015-09-09$30.76$34.0026.9%7.7%19.6%42.8%20.2%7.3%-2.9%-815.1K25.4M-53.3K1.1192.63N/AN/A9009966,65512,249
2015-09-10$31.04$34.0028.7%8.2%20.2%49.2%24.9%5.1%-1.4%-746.4K26.2M-50.8K0.8989.30N/AN/A1,0108966,68212,129
2015-09-11$30.86$34.0025.1%7.2%20.1%36.3%25.4%3.2%0.2%-700.4K26.8M-48.3K0.8689.90N/AN/A1,0188726,76912,133
2015-09-14$30.53$34.0027.7%7.9%20.2%45.7%25.9%7.8%-2.7%-629.7K26.9M-46.1K1.1891.79N/AN/A1,0121,1906,77712,134
2015-09-15$30.83$34.0027.4%7.9%20.9%44.6%19.9%10.3%-4.0%-678.5K27.7M-44.3K34.5095.71N/AN/A227596,78012,301
2015-09-16$31.31$34.0026.5%7.6%22.0%41.2%24.6%4.1%-2.4%-777.1K26.1M-47.9K1.9493.28N/AN/A9791,9036,79912,146
2015-09-17$31.95$34.0033.3%9.5%23.5%65.6%31.8%15.4%-7.5%-956.4K21.6M-59.8K1.50116.05N/AN/A1,0751,6176,79912,118
2015-09-18$30.97$34.0027.3%7.8%24.7%44.1%23.8%7.6%-4.4%-1.5M26.2M-47.0K1.4796.41N/AN/A2,2193,2686,87412,140
2015-09-21$30.54$34.0024.3%7.0%24.4%33.4%17.5%5.4%4.1%-692.8K23.0M-51.3K0.6596.16N/AN/A2,0401,3365,14911,749
2015-09-22$29.49$34.0031.3%9.0%26.4%58.6%27.7%7.4%-0.8%-466.4K25.0M-43.6K0.3696.67N/AN/A2,0307395,32511,798
2015-09-23$29.35$34.0031.1%8.9%26.4%57.9%28.7%6.3%-2.0%-481.6K25.0M-45.5K0.4395.86N/AN/A2,0718905,46511,915
2015-09-24$29.26$34.0030.0%8.6%25.0%53.9%29.4%6.9%-0.7%-500.6K25.8M-42.1K0.4799.72N/AN/A2,1881,0195,50912,250
2015-09-25$29.21$34.0032.5%9.3%24.5%62.8%28.3%5.4%-2.3%-476.4K25.3M-45.8K0.3792.29N/AN/A2,5769505,60512,266
2015-09-28$29.13$34.0032.4%9.3%24.4%62.3%30.8%8.5%-3.4%-419.8K25.7M-44.9K0.3695.96N/AN/A2,4328705,92112,236
2015-09-29$29.41$34.0031.6%9.1%25.0%59.7%29.3%7.7%-3.8%-440.5K25.5M-47.4K0.4099.39N/AN/A2,2058805,95712,379
2015-09-30$29.69$34.0025.6%7.3%23.5%38.1%29.5%2.2%0.4%-552.3K24.6M-49.6K0.39102.93N/AN/A2,1968535,98012,370