EWP Options History — January 2016

In January 2016, EWP traded between $24.95 and $27.90. ATM implied volatility averaged 30.2%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 6.1% (HV 20d: 24.2%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.90.

Notable Days

  • 2016-01-15: Highest Volume — 4,486 contracts
  • 2016-01-13: Largest IV drop — 32.5% change
  • 2016-01-12: Highest IV Rank — 93.3%
  • 2016-01-20: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.23$24.95$27.90$27.90$26.01
Max Pain$27.11$27.00$29.00$29.00$27.00
ATM IV30.2%25.8%41.2%33.7%25.9%
Expected Move7.9%7.1%9.2%7.1%7.4%
HV 20d24.2%22.4%26.8%23.8%26.8%
HV 60d20.0%18.1%22.5%18.2%22.4%
IV Rank50.4%32.9%93.3%64.2%33.3%
IV Percentile82.6%65.1%99.2%95.6%65.1%
Term Structure-0.9%-3.2%1.5%0.1%-1.0%
VWIV26.9%22.0%32.4%25.3%23.0%
Skew 25d6.7%1.8%9.0%4.3%6.7%
Skew 10d14.8%4.5%29.5%14.7%4.5%
Call IV 25d24.6%21.9%30.0%23.9%21.9%
Put IV 25d31.3%27.5%37.2%28.2%28.6%
Bid-Ask Spread %98.0490.73117.7995.23102.66
Gamma HHI0.340.230.500.400.26
Net GEX-351.4K-735.1K-161.7K-581.6K-191.2K
Net DEX12.5M4.7M20.8M16.0M4.7M
Net VEX-25.8K-32.3K-22.8K-32.3K-26.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.212.540.211.15
Total Volume2,817.2111,2534,4863,6931,395
Total OI11,310.1585,37616,61215,7276,197

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$27.90$29.0033.7%7.1%23.8%64.2%25.3%4.3%0.1%-581.6K16.0M-32.3K0.2195.23N/AN/A3,0536406,1299,598
2016-01-05$27.64$27.0030.5%7.2%22.5%51.5%25.2%6.1%-1.1%-735.1K16.9M-30.8K0.2791.47N/AN/A3,1778726,2629,581
2016-01-06$27.09$27.0033.1%7.7%22.8%61.5%26.3%7.0%-2.0%-684.5K18.9M-28.6K0.2890.73N/AN/A3,1318716,3899,779
2016-01-07$26.86$27.0033.3%8.2%22.4%62.6%30.2%7.5%-3.0%-605.9K19.4M-27.4K0.3994.14N/AN/A3,1001,2196,4149,778
2016-01-08$26.44$27.0032.2%8.2%22.4%58.1%29.4%6.5%-1.5%-601.6K19.6M-26.7K0.3194.55N/AN/A3,1559726,4179,982
2016-01-11$26.57$27.0033.8%7.8%22.7%64.5%29.9%7.6%-1.8%-432.7K20.5M-24.8K0.2395.11N/AN/A3,1517166,5019,966
2016-01-12$26.79$27.0041.2%7.2%22.9%93.3%28.4%5.8%0.9%-570.8K19.8M-25.8K0.3295.91N/AN/A3,0859916,5389,869
2016-01-13$26.23$27.0027.8%8.0%23.6%40.8%27.8%3.9%-1.6%-447.7K19.7M-25.7K0.3299.92N/AN/A3,0399636,55310,059
2016-01-14$26.53$27.0025.8%7.4%23.7%32.9%28.7%7.5%-0.3%-245.2K20.8M-24.0K0.2896.45N/AN/A3,0298586,5789,979
2016-01-15$25.61$27.0029.9%8.6%24.2%49.0%30.2%8.4%-1.2%-167.9K20.4M-22.8K0.4297.99N/AN/A3,1541,3326,5789,745
2016-01-19$25.54$27.0028.2%8.1%24.3%42.3%28.7%8.4%0.5%-176.5K5.1M-23.8K2.54100.74N/AN/A4131,0491,5833,793
2016-01-20$24.95$27.0032.3%9.2%24.8%58.4%32.4%6.2%-0.6%-161.7K5.5M-22.9K2.4197.57N/AN/A4261,0281,6083,804
2016-01-21$25.26$27.0030.2%8.7%22.8%50.4%24.1%9.0%-0.6%-178.2K5.6M-22.8K1.9696.88N/AN/A4248291,6163,815
2016-01-22$25.97$27.0026.5%7.6%25.3%36.0%24.2%8.5%0.7%-180.0K4.7M-24.7K1.2495.44N/AN/A7178891,7403,826
2016-01-25$25.35$27.0029.0%8.3%24.3%45.5%22.0%5.7%-1.1%-173.4K5.1M-23.6K1.2496.55N/AN/A7409142,0333,890
2016-01-26$25.98$27.0026.5%7.6%26.6%35.9%22.0%8.7%-1.7%-185.6K4.9M-24.8K1.20100.78N/AN/A6307562,0583,914
2016-01-27$25.80$27.0027.2%7.8%26.6%38.4%27.0%7.2%1.5%-170.3K4.7M-25.9K1.18117.79N/AN/A6507642,0544,083
2016-01-28$25.87$27.0027.3%7.8%26.6%38.9%26.1%1.8%-3.2%-186.3K4.9M-26.2K1.15102.84N/AN/A6507452,0744,110
2016-01-29$26.01$27.0025.9%7.4%26.8%33.3%23.0%6.7%-1.0%-191.2K4.7M-26.3K1.15102.66N/AN/A6507452,0744,123