EWP Options History — March 2016

In March 2016, EWP traded between $25.77 and $28.08. ATM implied volatility averaged 23.5%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.7% (HV 20d: 24.3%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.04.

Notable Days

  • 2016-03-11: Highest Volume — 1,825 contracts
  • 2016-03-03: Largest IV drop — 31.8% change
  • 2016-03-02: Highest IV Rank — 45.4%
  • 2016-03-08: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.20$25.77$28.08$25.77$27.24
Max Pain$25.91$25.00$26.00$25.00$26.00
ATM IV23.5%19.7%28.9%28.9%22.0%
Expected Move7.1%5.7%13.7%8.3%6.3%
HV 20d24.3%20.1%32.0%32.0%20.4%
HV 60d27.5%26.8%28.6%27.4%26.8%
IV Rank24.1%9.3%45.4%45.1%18.0%
IV Percentile37.7%8.3%74.6%74.2%28.2%
Term Structure-1.1%-46.7%3.5%-0.4%2.3%
VWIV25.3%19.8%46.7%24.9%23.2%
Skew 25d5.8%-0.2%15.1%9.6%0.3%
Skew 10d12.8%-5.7%32.1%18.3%4.0%
Call IV 25d20.9%16.7%24.3%19.4%19.5%
Put IV 25d26.7%19.8%35.1%29.0%19.8%
Bid-Ask Spread %97.6412.60125.07102.90108.24
Gamma HHI0.350.260.450.270.41
Net GEX-173.4K-258.0K-18.6K-215.9K-250.1K
Net DEX3.0M762.1K5.2M5.2M3.1M
Net VEX-24.5K-29.7K-22.2K-23.4K-22.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.041.602.872.872.29
Total Volume1,629.1361,2831,8251,6901,511
Total OI7,325.9556,7578,0207,0237,058

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$25.77$25.0028.9%8.3%32.0%45.1%24.9%9.6%-0.4%-215.9K5.2M-23.4K2.87102.90N/AN/A4371,2532,2384,785
2016-03-02$26.17$25.0028.9%8.3%28.9%45.4%28.7%7.5%-2.3%-215.4K4.6M-24.1K2.19102.42N/AN/A5681,2422,2524,785
2016-03-03$26.52$26.0019.7%7.1%29.1%9.3%27.2%7.0%-0.2%-173.0K4.1M-24.4K2.0198.09N/AN/A5351,0762,2974,804
2016-03-04$26.59$26.0021.0%7.1%28.2%14.3%28.2%8.1%-0.2%-166.7K3.8M-25.1K2.0794.84N/AN/A5211,0782,2984,927
2016-03-07$26.55$26.0023.9%7.3%28.2%25.5%26.8%6.5%0.4%-180.5K4.1M-23.9K2.0796.08N/AN/A5211,0802,2994,927
2016-03-08$26.41$26.0027.8%13.7%24.8%40.9%46.7%15.1%-46.7%-132.3K3.3M-29.7K1.91125.07N/AN/A5691,0842,2745,184
2016-03-09$26.41$26.0027.6%7.9%23.6%40.3%29.2%6.6%-1.6%-186.8K3.9M-25.2K1.9196.52N/AN/A5691,0842,2745,183
2016-03-10$27.02$26.0025.5%7.3%24.5%31.7%27.6%4.5%2.2%-126.7K2.9M-25.7K2.42101.98N/AN/A5331,2892,2745,183
2016-03-11$28.03$26.0025.2%7.2%24.3%30.8%22.9%5.2%0.9%-89.8K1.9M-26.9K1.7796.19N/AN/A6591,1662,3145,401
2016-03-14$28.01$26.0023.0%6.6%24.5%22.1%21.4%4.5%1.5%-30.4K1.7M-26.2K1.6812.60N/AN/A6371,0692,4575,468
2016-03-15$27.51$26.0022.0%6.3%25.2%18.1%20.7%5.9%2.8%-83.3K2.5M-25.7K1.7569.71N/AN/A6311,1062,4645,460
2016-03-16$27.69$26.0021.7%6.2%24.2%17.1%26.2%-0.2%0.6%-81.4K2.1M-24.7K1.75117.36N/AN/A6311,1062,5145,502
2016-03-17$27.91$26.0021.1%6.0%22.6%14.5%20.3%5.2%2.9%-18.6K1.8M-24.5K1.74100.22N/AN/A6351,1062,5145,502
2016-03-18$28.08$26.0021.3%6.1%22.1%15.5%20.6%4.8%2.8%-194.2K762.1K-24.6K1.60101.30N/AN/A6811,0932,5195,501
2016-03-21$27.96$26.0021.8%6.2%22.1%17.2%22.7%3.5%1.0%-196.4K2.2M-23.9K1.68101.28N/AN/A4788051,9514,806
2016-03-22$27.75$26.0021.1%6.1%21.4%14.7%19.8%1.8%2.1%-214.0K2.6M-23.5K2.1097.38N/AN/A4791,0051,9704,809
2016-03-23$27.35$26.0024.8%7.1%21.6%29.0%23.4%6.9%-1.2%-233.1K2.9M-24.0K2.15106.36N/AN/A4791,0311,9485,009
2016-03-24$27.11$26.0022.9%6.6%21.9%21.7%21.5%5.5%2.3%-256.1K3.7M-23.3K2.1998.26N/AN/A4791,0501,9485,039
2016-03-28$27.22$26.0024.7%7.1%21.9%28.8%24.0%4.1%0.6%-253.4K3.4M-23.3K2.19107.87N/AN/A4791,0501,9485,063
2016-03-29$27.48$26.0022.7%6.5%21.9%20.7%23.7%6.7%2.8%-257.7K3.3M-22.2K2.19109.55N/AN/A4791,0491,9435,063
2016-03-30$27.61$26.0019.8%5.7%20.1%9.4%26.4%9.0%3.5%-258.0K2.9M-22.6K2.29103.88N/AN/A4591,0491,9435,073
2016-03-31$27.24$26.0022.0%6.3%20.4%18.0%23.2%0.3%2.3%-250.1K3.1M-22.6K2.29108.24N/AN/A4591,0521,9855,073