EWP Options History — November 2015

In November 2015, EWP traded between $30.04 and $31.94. ATM implied volatility averaged 21.7%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 7.5% (HV 20d: 14.2%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 9.45.

Notable Days

  • 2015-11-05: Highest Volume — 3,917 contracts
  • 2015-11-18: Largest IV drop — 22.2% change
  • 2015-11-17: Highest IV Rank — 41.7%
  • 2015-11-17: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.76$30.04$31.94$31.85$30.45
Max Pain$31.70$31.00$33.00$31.00$31.00
ATM IV21.7%19.6%26.6%22.0%21.7%
Expected Move6.2%5.6%7.6%6.3%6.2%
HV 20d14.2%11.9%16.1%14.0%15.8%
HV 60d20.5%19.4%21.4%20.9%19.4%
IV Rank24.3%16.6%41.7%25.2%24.1%
IV Percentile26.8%9.1%72.2%26.6%25.8%
Term Structure-0.1%-1.7%1.8%-1.5%0.8%
VWIV22.7%13.7%27.5%24.7%13.7%
Skew 25d5.6%0.6%8.8%6.5%0.6%
Skew 10d13.9%-0.1%22.3%9.5%16.1%
Call IV 25d17.8%15.3%21.8%17.3%16.7%
Put IV 25d23.4%17.3%25.7%23.7%17.3%
Bid-Ask Spread %101.5892.49112.81100.59105.90
Gamma HHI0.220.160.280.170.25
Net GEX-259.1K-544.2K328.3K-184.2K-414.3K
Net DEX7.6M3.4M10.4M4.5M8.8M
Net VEX-35.3K-43.7K-29.6K-40.6K-30.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.450.0290.001.0730.10
Total Volume1,848.3573,9171,376311
Total OI12,770.510,82114,15210,97611,149

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$31.85$31.0022.0%6.3%14.0%25.2%24.7%6.5%-1.5%-184.2K4.5M-40.6K1.07100.59N/AN/A6657113,9207,056
2015-11-03$31.94$31.0019.6%5.6%13.2%16.6%20.4%4.9%-0.3%-191.4K4.7M-41.7K1.07102.19N/AN/A6657114,0027,033
2015-11-04$31.54$31.0021.5%6.2%13.0%23.4%18.7%6.9%-1.0%-193.2K4.9M-39.8K0.21105.56N/AN/A3,1526693,9897,033
2015-11-05$31.40$33.0021.4%6.1%12.6%23.0%24.6%5.4%0.1%328.3K3.4M-43.7K0.2592.49N/AN/A3,1407776,4877,149
2015-11-06$31.30$33.0021.0%6.1%12.1%21.7%0.0%4.4%-0.3%151.4K5.6M-43.0K0.0098.16N/AN/A076,4877,309
2015-11-09$30.91$33.0022.1%5.8%12.6%25.4%22.2%7.8%1.2%31.6K6.5M-39.3K12.00100.43N/AN/A2246,4877,312
2015-11-10$30.75$33.0021.0%5.8%11.9%21.7%25.1%6.3%-0.2%-157.5K8.0M-36.8K0.3897.33N/AN/A1,9397286,4857,326
2015-11-11$30.98$33.0022.1%6.3%12.0%25.5%24.1%7.6%0.2%60.1K6.4M-40.0K0.46112.81N/AN/A1,9398836,4847,328
2015-11-12$30.18$33.0023.1%6.6%14.6%29.1%24.7%6.1%-1.7%-459.6K9.5M-34.9K0.5296.14N/AN/A1,8629636,4887,532
2015-11-13$30.04$33.0021.5%6.2%14.0%23.4%22.6%5.3%1.0%-517.5K10.4M-32.9K0.43104.43N/AN/A1,8788076,4887,531
2015-11-16$30.31$31.0023.1%6.6%14.5%29.0%0.0%8.3%-0.3%-544.2K10.1M-31.7K90.00104.11N/AN/A21806,5117,528
2015-11-17$30.34$31.0026.6%7.6%14.5%41.7%23.3%2.1%-1.1%-416.1K8.8M-33.0K0.53104.74N/AN/A1,9191,0256,5117,531
2015-11-18$30.67$31.0020.7%5.9%15.2%20.5%21.8%3.3%1.8%-335.6K8.5M-33.2K0.53105.49N/AN/A1,9191,0106,5617,591
2015-11-19$30.92$31.0019.7%5.6%15.3%17.0%22.0%3.5%1.7%-379.6K7.5M-31.0K0.5298.31N/AN/A1,9241,0106,5617,551
2015-11-20$30.44$31.0021.2%6.1%16.1%22.3%20.8%3.5%-0.8%-311.7K7.8M-29.6K0.54101.04N/AN/A1,9001,0256,5667,551
2015-11-23$30.26$31.0021.4%6.1%16.1%23.1%0.0%7.1%-0.1%-387.8K9.0M-31.6K0.02102.46N/AN/A5713,4527,369
2015-11-24$30.41$31.0022.1%6.3%15.6%25.5%27.5%8.8%0.4%-406.9K9.4M-31.4K38.00100.93N/AN/A51903,5097,369
2015-11-25$30.18$31.0021.8%6.2%15.6%24.4%24.0%6.8%-1.6%-446.9K10.1M-30.8K1.45100.14N/AN/A6048763,5147,559
2015-11-27$30.35$31.0021.5%6.2%15.7%23.4%25.0%6.5%0.2%-407.5K8.9M-30.5K1.4398.39N/AN/A6118763,5427,559
2015-11-30$30.45$31.0021.7%6.2%15.8%24.1%13.7%0.6%0.8%-414.3K8.8M-30.1K30.10105.90N/AN/A103013,5927,557