EWP Options History — February 2016

In February 2016, EWP traded between $24.28 and $26.36. ATM implied volatility averaged 31.2%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 0.6% (HV 20d: 31.8%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 2.96.

Notable Days

  • 2016-02-19: Highest Volume — 2,140 contracts
  • 2016-02-08: Largest IV spike — 18.7% change
  • 2016-02-11: Highest IV Rank — 80.4%
  • 2016-02-11: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.16$24.28$26.36$26.36$25.05
Max Pain$25.60$25.00$27.00$27.00$25.00
ATM IV31.2%23.4%37.9%26.4%32.0%
Expected Move9.0%6.7%10.9%7.6%9.2%
HV 20d31.8%27.3%33.8%27.3%30.6%
HV 60d25.6%22.6%27.0%22.6%26.8%
IV Rank54.2%23.8%80.4%35.3%57.5%
IV Percentile83.0%43.7%98.0%67.5%86.5%
Term Structure-1.4%-3.6%0.9%-0.3%-0.0%
VWIV33.5%25.5%40.0%25.5%30.3%
Skew 25d6.8%1.2%10.3%7.4%7.6%
Skew 10d18.3%1.7%30.7%7.7%12.3%
Call IV 25d28.5%22.0%35.7%22.0%26.9%
Put IV 25d35.3%29.4%41.2%29.4%34.5%
Bid-Ask Spread %96.2187.09107.06101.72100.12
Gamma HHI0.230.200.260.250.26
Net GEX-221.6K-285.4K-187.5K-191.7K-213.3K
Net DEX5.9M4.4M7.1M4.4M5.8M
Net VEX-24.4K-27.6K-21.9K-26.1K-23.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.962.673.692.932.75
Total Volume1,689.61,4622,1401,4771,709
Total OI6,859.656,2127,1546,2126,991

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$26.36$27.0026.4%7.6%27.3%35.3%25.5%7.4%-0.3%-191.7K4.4M-26.1K2.93101.72N/AN/A3761,1012,0894,123
2016-02-02$25.31$27.0028.5%8.2%30.1%43.8%28.5%1.2%0.5%-212.2K5.4M-25.7K3.01100.36N/AN/A3761,1312,0934,479
2016-02-03$25.51$27.0023.4%6.7%30.4%23.8%29.6%5.8%-1.0%-245.3K6.0M-24.9K3.11107.06N/AN/A3561,1062,0934,486
2016-02-04$26.04$25.0025.6%7.5%30.9%32.3%25.7%9.8%-1.1%-236.6K5.2M-26.6K2.9793.11N/AN/A3731,1092,1184,572
2016-02-05$26.00$25.0026.6%8.7%30.8%36.3%30.5%4.8%-3.2%-206.5K4.7M-27.6K2.8391.86N/AN/A4251,2032,1404,576
2016-02-08$25.08$26.0031.6%8.9%32.8%55.8%32.5%6.1%-1.9%-238.7K6.3M-25.0K2.8789.39N/AN/A4301,2362,0854,679
2016-02-09$24.64$26.0033.8%9.3%33.1%64.4%34.8%7.6%-1.8%-218.6K6.9M-23.1K2.7292.59N/AN/A4651,2642,1534,687
2016-02-10$24.93$26.0032.3%9.2%33.3%58.4%33.7%9.4%-2.2%-215.8K6.0M-25.1K2.7092.93N/AN/A4651,2572,1984,620
2016-02-11$24.28$26.0037.9%10.9%33.7%80.4%37.3%7.4%-3.6%-192.1K6.9M-21.9K3.6187.09N/AN/A4421,5952,1984,625
2016-02-12$24.47$26.0036.8%10.5%33.6%76.0%36.2%5.5%-2.2%-218.4K7.1M-23.3K3.2391.87N/AN/A4391,4172,2234,853
2016-02-16$25.03$26.0033.9%9.7%32.7%65.0%33.8%6.8%-1.6%-259.5K6.3M-24.8K2.9495.44N/AN/A4471,3142,2234,868
2016-02-17$25.63$25.0031.7%9.1%33.8%56.1%35.9%10.3%-0.6%-285.4K5.7M-25.6K2.9896.48N/AN/A4401,3092,2534,882
2016-02-18$25.13$25.0034.6%9.9%33.5%67.4%33.2%7.6%-3.0%-271.8K5.8M-25.0K2.7497.89N/AN/A4551,2482,2624,892
2016-02-19$24.95$25.0032.3%9.3%33.3%58.7%39.8%8.0%-1.0%-187.5K6.9M-23.7K3.6994.09N/AN/A4561,6842,2774,871
2016-02-22$25.32$25.0032.0%9.2%32.2%57.4%40.0%6.7%-2.3%-200.9K5.6M-23.8K2.6792.99N/AN/A4201,1202,0834,699
2016-02-23$24.95$25.0031.4%9.0%31.4%55.0%38.9%4.7%-0.3%-203.2K5.6M-23.2K2.86104.92N/AN/A4221,2062,1424,700
2016-02-24$24.63$25.0031.8%9.1%30.2%56.7%36.8%9.9%-2.7%-214.0K6.5M-22.1K2.90100.83N/AN/A4261,2352,1694,800
2016-02-25$24.97$25.0030.5%8.7%30.7%51.3%39.7%5.8%0.9%-212.5K6.0M-23.9K2.8795.19N/AN/A4291,2332,1944,800
2016-02-26$25.01$25.0030.6%8.8%30.7%52.1%27.9%4.4%-1.0%-208.4K5.7M-23.8K2.9098.18N/AN/A4291,2442,1974,800
2016-02-29$25.05$25.0032.0%9.2%30.6%57.5%30.3%7.6%-0.0%-213.3K5.8M-23.1K2.75100.12N/AN/A4561,2532,1974,794