EWP Options History — May 2016

In May 2016, EWP traded between $27.14 and $28.92. ATM implied volatility averaged 25.2%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.1% (HV 20d: 20.1%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 5.88.

Notable Days

  • 2016-05-27: Highest Volume — 2,987 contracts
  • 2016-05-05: Largest IV spike — 169.7% change
  • 2016-05-05: Highest IV Rank — 100.0%
  • 2016-05-03: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.69$27.14$28.92$28.92$27.93
Max Pain$27.29$27.00$29.00$29.00$27.00
ATM IV25.2%16.9%63.3%23.2%22.8%
Expected Move6.7%4.9%7.5%6.7%6.5%
HV 20d20.1%18.5%23.5%21.1%20.1%
HV 60d21.6%20.4%24.1%23.3%20.5%
IV Rank18.9%0.0%100.0%23.0%12.6%
IV Percentile44.0%0.0%100.0%41.7%35.3%
Term Structure0.7%-2.2%2.2%-0.3%0.7%
VWIV25.5%19.8%29.9%23.1%21.1%
Skew 25d4.5%-0.6%12.9%3.7%-0.6%
Skew 10d8.4%-1.6%18.9%0.4%0.3%
Call IV 25d21.2%15.1%25.5%19.4%23.3%
Put IV 25d25.8%20.9%29.2%23.0%22.7%
Bid-Ask Spread %107.6294.99126.14112.43112.75
Gamma HHI0.470.440.560.440.45
Net GEX-311.8K-461.6K-221.2K-221.2K-461.6K
Net DEX3.9M2.3M4.7M2.3M4.4M
Net VEX-19.6K-21.6K-15.7K-20.4K-21.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.884.3411.195.5511.19
Total Volume1,686.2381,2762,9871,6642,987
Total OI5,412.9525,1506,7405,1506,740

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$28.92$29.0023.2%6.7%21.1%23.0%23.1%3.7%-0.3%-221.2K2.3M-20.4K5.55112.43N/AN/A2541,4108804,270
2016-05-03$28.07$29.0026.0%7.5%22.5%33.9%19.8%0.7%-2.2%-263.6K3.0M-20.6K5.3499.93N/AN/A2641,4108814,284
2016-05-04$27.63$29.0023.5%6.7%23.5%23.9%23.3%1.5%0.9%-262.4K3.7M-20.2K5.35109.68N/AN/A2641,4128914,284
2016-05-05$27.40$27.0063.3%6.0%21.5%100.0%29.6%12.9%1.4%-311.1K4.2M-20.8K4.66118.56N/AN/A2641,2298914,286
2016-05-06$27.66$27.0022.0%6.6%20.6%10.2%26.0%4.8%2.0%-287.3K4.0M-19.8K5.0697.04N/AN/A2431,2298914,288
2016-05-09$27.42$27.0025.4%7.2%20.7%17.6%27.0%4.4%1.7%-280.5K4.0M-19.6K5.0694.99N/AN/A2431,2299084,288
2016-05-10$27.74$27.0023.4%6.7%20.8%13.2%26.9%4.2%-0.8%-271.0K3.8M-19.6K6.73104.31N/AN/A2411,6229084,288
2016-05-11$27.38$27.0024.3%7.0%19.5%15.0%26.8%4.3%1.2%-315.3K4.5M-21.5K6.7999.58N/AN/A2391,6229084,656
2016-05-12$27.45$27.0024.1%6.9%19.6%14.7%27.9%4.0%0.6%-314.5K4.2M-21.2K5.1397.95N/AN/A2391,2279134,656
2016-05-13$27.14$27.0023.1%6.6%20.0%12.5%26.3%3.6%1.8%-313.8K4.6M-20.8K5.13116.02N/AN/A2391,2279134,661
2016-05-16$27.48$27.0023.5%6.7%20.3%13.3%29.9%6.9%1.0%-326.9K4.5M-20.2K5.13119.10N/AN/A2391,2279134,661
2016-05-17$27.43$27.0025.0%7.2%19.5%16.6%28.2%7.0%1.0%-309.4K4.4M-20.3K5.1398.03N/AN/A2391,2279134,661
2016-05-18$27.36$27.0024.4%7.0%18.6%15.3%27.0%6.3%1.7%-321.3K4.4M-20.3K4.34122.22N/AN/A2391,0379134,661
2016-05-19$27.21$27.0024.7%7.1%18.6%16.0%25.0%2.5%1.2%-322.9K4.7M-19.9K5.97104.72N/AN/A2401,4329124,664
2016-05-20$27.36$27.0024.4%7.0%18.6%15.3%24.9%3.6%-0.0%-326.8K4.3M-18.9K5.62103.80N/AN/A2551,4329124,555
2016-05-23$27.23$27.0025.4%7.3%18.6%17.6%25.8%2.4%0.0%-330.9K4.5M-18.2K4.9699.92N/AN/A2401,1919054,318
2016-05-24$27.77$27.0021.3%6.1%18.5%8.5%25.7%12.2%2.2%-338.7K3.9M-18.3K4.96119.47N/AN/A2401,1919204,321
2016-05-25$28.42$27.0021.4%6.1%20.4%8.9%24.4%4.3%1.2%-297.7K2.8M-17.2K5.03101.85N/AN/A2391,2039214,321
2016-05-26$28.26$27.0021.7%6.2%20.0%9.4%21.6%5.8%-0.5%-310.0K2.7M-17.0K5.10101.60N/AN/A2391,2209284,330
2016-05-27$28.17$27.0016.9%4.9%20.0%0.0%26.2%1.0%0.9%-361.6K2.6M-15.7K11.19126.14N/AN/A2452,7429174,341
2016-05-31$27.93$27.0022.8%6.5%20.1%12.6%21.1%-0.6%0.7%-461.6K4.4M-21.6K11.19112.75N/AN/A2452,7429235,817