EWP Options History — December 2015

In December 2015, EWP traded between $28.18 and $30.91. ATM implied volatility averaged 22.8%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.6% (HV 20d: 20.2%). 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 8 of 22 days. Put/call ratio averaged 9.01.

Notable Days

  • 2015-12-18: Highest Volume — 5,669 contracts
  • 2015-12-07: Largest IV spike — 25.9% change
  • 2015-12-14: Highest IV Rank — 36.4%
  • 2015-12-14: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.51$28.18$30.91$30.84$28.32
Max Pain$32.05$30.00$34.00$31.00$30.00
ATM IV22.8%18.8%26.7%20.2%25.5%
Expected Move6.5%5.4%7.6%5.8%7.3%
HV 20d20.2%16.0%24.5%16.0%23.6%
HV 60d19.1%17.4%20.0%19.3%18.3%
IV Rank22.9%5.5%36.4%18.8%32.0%
IV Percentile39.2%3.2%72.2%11.1%65.5%
Term Structure-0.0%-2.9%4.5%-0.4%-2.0%
VWIV22.6%14.6%26.9%22.2%14.6%
Skew 25d6.5%2.4%9.2%6.1%8.7%
Skew 10d9.4%-2.5%19.8%5.5%11.8%
Call IV 25d19.8%14.5%24.4%14.5%19.5%
Put IV 25d26.3%19.8%30.1%20.5%28.3%
Bid-Ask Spread %100.0192.40113.97100.8099.74
Gamma HHI0.270.180.400.220.36
Net GEX-597.3K-1.0M-133.3K-441.9K-519.4K
Net DEX12.4M8.0M15.7M8.0M13.8M
Net VEX-39.8K-44.9K-30.1K-30.1K-34.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.010.00133.67133.670.20
Total Volume3,282.77345,6692,0203,550
Total OI14,328.27311,45715,67811,45715,678

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$30.84$31.0020.2%5.8%16.0%18.8%0.0%6.1%-0.4%-441.9K8.0M-30.1K133.67100.80N/AN/A152,0053,6007,857
2015-12-02$30.29$31.0022.8%6.5%16.9%28.2%22.2%2.4%0.1%-528.6K10.5M-44.9K8.20101.89N/AN/A4153,4013,6059,859
2015-12-03$30.41$33.0018.8%5.8%16.6%13.9%26.0%5.1%2.6%-593.5K10.2M-44.9K6.82103.90N/AN/A4352,9663,60610,009
2015-12-04$30.91$33.0019.3%5.6%17.8%15.7%23.8%7.6%1.1%-726.6K10.3M-42.4K5.9399.96N/AN/A4942,9273,63110,079
2015-12-07$30.40$33.0024.3%6.3%18.6%33.6%19.0%9.2%-0.6%-680.5K11.5M-43.5K0.0093.67N/AN/A403,58110,079
2015-12-08$29.86$33.0023.2%6.3%19.1%22.8%24.1%8.4%1.0%-782.6K13.4M-41.7K5.8592.40N/AN/A4972,9053,58110,081
2015-12-09$29.97$34.0021.6%6.2%19.2%16.5%23.6%9.1%-0.5%-737.8K12.6M-41.3K5.25100.91N/AN/A4972,6103,58210,091
2015-12-10$29.79$34.0022.9%6.6%19.0%21.5%24.6%7.3%-0.1%-797.3K13.1M-42.1K5.2595.84N/AN/A4972,6103,58210,096
2015-12-11$29.31$34.0025.9%7.4%17.6%33.6%26.9%6.0%-2.2%-827.4K14.3M-41.5K4.9293.81N/AN/A5002,4613,58210,096
2015-12-14$29.21$34.0026.7%7.6%17.5%36.4%25.7%7.6%-1.7%-884.1K15.7M-40.1K4.52101.06N/AN/A5652,5523,60110,234
2015-12-15$29.54$34.0024.4%7.0%17.7%27.5%26.2%8.1%-0.9%-908.0K14.1M-40.6K4.9894.22N/AN/A5122,5523,66810,412
2015-12-16$30.08$34.0021.4%6.1%19.0%15.7%26.5%8.7%2.1%-1.0M12.9M-37.8K4.98113.97N/AN/A5122,5523,66810,412
2015-12-17$29.75$34.0018.8%5.4%18.9%5.5%23.5%7.2%4.5%-954.0K12.4M-37.0K5.0797.28N/AN/A4972,5223,66810,412
2015-12-18$29.31$33.0023.3%6.7%19.1%23.1%19.1%8.2%-0.5%-659.7K14.7M-36.1K0.9293.95N/AN/A2,9522,7173,69210,411
2015-12-21$28.18$30.0026.3%7.5%22.7%35.0%25.1%2.4%-0.7%-403.4K13.5M-41.2K0.20101.73N/AN/A2,9165736,0689,267
2015-12-22$28.43$30.0023.6%6.8%23.2%24.3%22.8%5.0%1.8%-433.1K13.7M-39.7K0.25111.64N/AN/A2,9217286,0199,319
2015-12-23$29.02$30.0023.7%6.8%24.5%24.8%19.7%6.9%-2.9%-295.5K11.6M-41.2K0.2699.60N/AN/A2,9047466,0519,511
2015-12-24$29.11$30.0020.5%5.9%24.5%12.5%19.3%7.0%0.8%-133.3K10.9M-41.3K0.2697.29N/AN/A2,9047466,0699,552
2015-12-28$28.86$30.0022.8%6.5%24.4%21.2%21.3%2.8%-1.5%-292.5K11.7M-38.2K0.2697.96N/AN/A2,9257546,0699,552
2015-12-29$28.94$30.0023.0%6.6%24.4%22.0%19.9%5.4%-0.5%-243.3K11.7M-37.9K0.26103.40N/AN/A2,9257546,0949,552
2015-12-30$28.77$30.0022.5%6.4%23.8%20.0%21.0%3.9%-0.2%-287.3K11.5M-36.4K0.27105.15N/AN/A2,9257786,0949,552
2015-12-31$28.32$30.0025.5%7.3%23.6%32.0%14.6%8.7%-2.0%-519.4K13.8M-34.7K0.2099.74N/AN/A2,9625886,0949,584