EWP Options History — April 2016

In April 2016, EWP traded between $25.80 and $29.36. ATM implied volatility averaged 22.9%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.6% (HV 20d: 21.3%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.35.

Notable Days

  • 2016-04-15: Highest Volume — 2,130 contracts
  • 2016-04-04: Largest IV spike — 21.8% change
  • 2016-04-12: Highest IV Rank — 42.5%
  • 2016-04-11: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.72$25.80$29.36$27.01$28.84
Max Pain$26.95$26.00$27.00$26.00$27.00
ATM IV22.9%18.7%28.2%19.6%21.5%
Expected Move6.6%5.4%7.9%5.6%6.2%
HV 20d21.3%19.5%23.8%20.3%21.4%
HV 60d25.9%23.6%27.5%26.8%23.6%
IV Rank21.7%5.4%42.5%8.7%16.4%
IV Percentile34.2%2.8%71.0%7.1%25.4%
Term Structure0.2%-3.1%2.8%2.8%1.1%
VWIV26.0%19.9%32.0%20.5%22.2%
Skew 25d4.7%0.4%7.5%0.4%1.5%
Skew 10d13.0%1.6%31.9%31.9%1.6%
Call IV 25d20.9%16.8%24.4%24.2%19.4%
Put IV 25d25.6%20.9%29.6%24.6%20.9%
Bid-Ask Spread %104.8393.45129.69109.75114.94
Gamma HHI0.420.300.500.390.47
Net GEX-241.7K-305.3K-190.8K-282.5K-212.6K
Net DEX3.1M1.6M5.2M3.8M2.0M
Net VEX-20.3K-21.8K-19.1K-21.6K-19.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.352.095.482.195.48
Total Volume1,544.5241,1952,1301,5411,653
Total OI6,007.6674,5207,2487,0614,913

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$27.01$26.0019.6%5.6%20.3%8.7%20.5%0.4%2.8%-282.5K3.8M-21.6K2.19109.75N/AN/A4831,0581,9855,076
2016-04-04$26.83$27.0023.8%7.1%20.4%25.4%29.7%7.1%0.5%-277.3K3.8M-21.8K2.13108.60N/AN/A4831,0302,0095,080
2016-04-05$26.25$27.0026.8%7.6%21.9%36.9%28.6%7.5%0.1%-292.9K4.6M-20.9K2.0993.45N/AN/A4831,0112,0095,080
2016-04-06$26.46$27.0022.1%7.6%22.1%18.7%27.6%5.1%-0.5%-285.0K4.5M-20.3K2.10120.02N/AN/A4831,0122,0095,082
2016-04-07$25.80$27.0026.7%7.6%23.8%36.5%27.2%5.0%0.3%-305.3K5.2M-19.4K2.1496.22N/AN/A4831,0352,0095,082
2016-04-08$26.36$27.0025.6%7.7%23.6%32.4%28.5%6.0%-0.1%-294.6K4.4M-20.5K2.1496.53N/AN/A4831,0352,0095,075
2016-04-11$26.64$27.0026.1%7.9%19.5%34.2%29.0%7.3%-0.4%-266.9K3.8M-20.2K2.1495.18N/AN/A4831,0352,0095,075
2016-04-12$26.89$27.0028.2%7.2%20.0%42.5%28.4%5.7%0.9%-285.9K3.9M-20.1K2.1499.22N/AN/A4831,0352,0105,075
2016-04-13$27.56$27.0023.2%6.6%21.2%22.7%30.6%5.4%1.2%-250.2K2.9M-20.7K2.93106.70N/AN/A4921,4411,9985,075
2016-04-14$27.57$27.0023.2%6.7%21.0%22.9%29.0%5.1%1.7%-243.4K2.7M-21.1K2.81103.94N/AN/A5121,4411,9995,249
2016-04-15$27.60$27.0023.6%6.8%20.8%24.6%28.5%4.2%0.2%-217.0K2.5M-21.3K2.21108.62N/AN/A6631,4671,9995,243
2016-04-18$27.83$27.0023.4%6.7%20.9%23.8%30.3%4.2%-2.0%-225.4K3.5M-20.3K4.20101.44N/AN/A2309657583,762
2016-04-19$28.22$27.0021.6%6.2%21.5%16.6%32.0%7.5%-0.1%-216.6K2.8M-19.9K3.9698.97N/AN/A2499867713,775
2016-04-20$28.62$27.0018.7%5.4%21.8%5.4%20.8%3.3%0.9%-202.4K2.4M-19.3K4.65114.54N/AN/A2581,1997903,790
2016-04-21$28.67$27.0020.0%5.7%20.9%10.5%21.8%2.3%1.3%-204.1K2.2M-20.6K4.65100.20N/AN/A2581,1998714,003
2016-04-22$28.81$27.0019.9%5.7%20.5%9.9%19.9%3.8%1.0%-204.9K2.3M-20.8K4.64102.47N/AN/A2581,1978714,003
2016-04-25$28.58$27.0020.9%6.0%20.9%13.7%22.5%2.1%0.0%-215.3K2.5M-20.4K4.3898.81N/AN/A2731,1968714,014
2016-04-26$29.15$27.0021.2%6.1%21.7%15.2%24.0%4.5%0.5%-192.1K1.8M-19.9K4.4597.85N/AN/A2681,1938914,015
2016-04-27$29.36$27.0021.1%6.1%21.7%14.6%20.6%6.1%-3.1%-190.8K1.6M-19.1K4.45129.69N/AN/A2681,1938734,040
2016-04-28$28.97$27.0023.3%6.7%21.7%23.3%24.1%4.6%-1.2%-211.3K2.0M-19.6K4.45104.21N/AN/A2681,1938734,040
2016-04-29$28.84$27.0021.5%6.2%21.4%16.4%22.2%1.5%1.1%-212.6K2.0M-19.3K5.48114.94N/AN/A2551,3988734,040