EWP Options History — October 2015

In October 2015, EWP traded between $29.65 and $32.62. ATM implied volatility averaged 21.8%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.2% (HV 20d: 22.0%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.23.

Notable Days

  • 2015-10-16: Highest Volume — 3,504 contracts
  • 2015-10-12: Largest IV spike — 29.8% change
  • 2015-10-01: Highest IV Rank — 51.8%
  • 2015-10-01: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.86$29.65$32.62$29.65$31.48
Max Pain$30.45$30.00$34.00$34.00$31.00
ATM IV21.8%18.9%29.4%29.4%21.1%
Expected Move6.3%5.4%8.4%8.4%6.0%
HV 20d22.0%16.7%26.6%23.5%16.7%
HV 60d21.1%20.5%22.4%22.3%20.8%
IV Rank24.6%14.0%51.8%51.8%21.9%
IV Percentile24.5%4.0%83.7%83.7%17.1%
Term Structure1.0%-5.7%7.6%-5.7%0.8%
VWIV22.9%18.5%28.8%28.8%21.0%
Skew 25d5.7%3.5%8.1%3.8%7.1%
Skew 10d12.1%4.6%20.5%20.5%4.8%
Call IV 25d19.2%15.5%27.1%27.1%15.5%
Put IV 25d24.8%22.2%30.9%30.8%22.6%
Bid-Ask Spread %101.8492.43112.66110.76107.59
Gamma HHI0.240.160.440.290.17
Net GEX-522.9K-1.1M-129.7K-478.7K-234.1K
Net DEX12.4M3.1M24.9M24.6M5.5M
Net VEX-49.0K-57.0K-41.8K-48.6K-42.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.383.730.401.08
Total Volume2,240.7272963,5042,9721,330
Total OI15,203.81810,16119,37918,39310,981

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$29.65$34.0029.4%8.4%23.5%51.8%28.8%3.8%-5.7%-478.7K24.6M-48.6K0.40110.76N/AN/A2,1278456,01512,378
2015-10-02$30.37$34.0023.5%6.7%24.9%30.7%21.7%6.7%7.0%-561.9K24.9M-49.7K0.46107.11N/AN/A2,1059636,01812,681
2015-10-05$31.25$30.0025.7%7.0%26.3%38.4%26.1%5.9%0.3%-721.9K22.4M-54.4K1.7793.39N/AN/A1071896,07712,912
2015-10-06$31.66$30.0021.2%6.5%26.1%22.3%23.7%5.7%0.4%-792.3K21.1M-54.8K0.4592.43N/AN/A1,8458356,15513,011
2015-10-07$32.11$30.0024.7%6.8%26.4%35.0%23.7%4.7%-0.5%-959.9K18.1M-57.0K0.4793.88N/AN/A1,8538706,16012,878
2015-10-08$32.36$30.0018.9%6.5%26.4%14.2%24.2%8.1%0.9%-1.0M18.2M-55.2K0.4894.74N/AN/A1,8378806,13012,930
2015-10-09$32.62$30.0019.3%6.0%26.3%15.6%26.2%6.6%0.5%-1.1M15.9M-55.5K0.4798.92N/AN/A1,7888416,13012,969
2015-10-12$32.42$30.0025.1%6.4%26.0%36.2%24.0%3.5%1.0%-1.1M16.2M-53.0K0.4799.99N/AN/A1,7888416,13012,983
2015-10-13$31.96$30.0023.5%6.5%26.6%30.7%21.9%5.7%-0.1%-883.1K19.1M-50.7K0.40100.84N/AN/A2,0878286,13012,983
2015-10-14$32.15$30.0021.9%6.3%26.1%24.8%18.5%7.5%1.9%-840.0K18.2M-50.1K0.38106.68N/AN/A2,1338136,42912,950
2015-10-15$32.27$30.0021.8%6.3%25.2%24.5%21.5%5.3%0.1%-839.2K16.3M-50.9K0.48107.43N/AN/A2,0991,0136,48012,395
2015-10-16$32.52$30.0019.4%5.6%22.3%16.0%25.8%5.2%1.9%-254.3K15.3M-49.7K0.9598.37N/AN/A1,8011,7036,41412,607
2015-10-19$32.22$30.0021.6%6.2%21.9%23.8%25.7%5.5%7.6%-218.8K3.7M-46.6K3.73102.10N/AN/A3681,3743,1986,963
2015-10-20$31.99$30.0021.1%6.0%17.3%22.0%23.0%3.6%1.4%-224.9K4.6M-45.3K3.6696.30N/AN/A3751,3743,2436,964
2015-10-21$32.07$30.0020.3%5.8%17.0%19.3%23.8%7.6%1.6%-223.2K4.1M-46.2K1.2899.86N/AN/A1,0631,3603,2646,964
2015-10-22$32.28$30.0021.2%6.1%16.8%22.5%19.9%5.4%-0.7%-166.0K3.4M-47.1K2.29102.87N/AN/A5911,3543,6776,964
2015-10-23$32.22$30.0018.9%5.4%16.8%14.0%20.0%4.2%1.3%-156.9K3.4M-45.9K2.15103.56N/AN/A6181,3293,8516,969
2015-10-26$32.22$30.0020.3%5.8%16.7%19.3%19.8%6.7%0.5%-150.9K3.9M-45.4K2.38110.92N/AN/A6181,4693,8816,991
2015-10-27$31.71$30.0020.8%6.0%18.2%20.9%20.7%4.8%0.0%-193.7K4.8M-44.5K1.07100.13N/AN/A6186623,8816,991
2015-10-28$31.80$30.0020.1%5.8%18.0%18.4%22.4%4.8%2.5%-129.7K3.1M-43.5K1.07112.66N/AN/A6186603,8746,998
2015-10-29$31.59$31.0020.5%5.9%18.3%19.9%20.4%6.4%-0.5%-228.8K5.8M-41.8K1.07100.04N/AN/A6396853,8747,011
2015-10-30$31.48$31.0021.1%6.0%16.7%21.9%21.0%7.1%0.8%-234.1K5.5M-42.8K1.08107.59N/AN/A6396913,9257,056