EWP Options History — June 2016

In June 2016, EWP traded between $23.07 and $28.00. ATM implied volatility averaged 31.9%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.3% (HV 20d: 31.6%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 6.70.

Notable Days

  • 2016-06-23: Highest Volume — 3,438 contracts
  • 2016-06-28: Largest IV drop — 21.3% change
  • 2016-06-27: Highest IV Rank — 56.9%
  • 2016-06-27: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.30$23.07$28.00$27.76$24.95
Max Pain$29.05$27.00$30.00$27.00$29.00
ATM IV31.9%21.3%43.3%21.3%32.0%
Expected Move9.1%6.1%12.4%6.1%9.2%
HV 20d31.6%15.0%70.1%17.2%70.1%
HV 60d25.7%18.5%43.3%20.6%43.3%
IV Rank32.3%9.4%56.9%9.4%32.5%
IV Percentile78.1%21.8%99.6%21.8%82.1%
Term Structure-3.0%-10.4%12.9%1.8%0.1%
VWIV32.5%21.3%46.0%21.3%29.0%
Skew 25d6.2%-6.3%14.2%1.1%7.4%
Skew 10d14.7%-31.2%29.0%-3.0%12.7%
Call IV 25d30.4%19.2%75.8%23.0%28.5%
Put IV 25d36.6%24.1%69.5%24.1%35.9%
Bid-Ask Spread %99.4692.84111.82109.62103.14
Gamma HHI0.370.180.460.460.24
Net GEX-460.2K-560.9K-160.5K-503.3K-346.5K
Net DEX8.0M4.6M12.1M5.3M9.8M
Net VEX-22.3K-27.8K-14.5K-21.8K-21.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.702.5211.648.082.52
Total Volume2,395.1821,4063,4382,2252,391
Total OI7,676.0916,7398,6806,7408,536

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$27.76$27.0021.3%6.1%17.2%9.4%21.3%1.1%1.8%-503.3K5.3M-21.8K8.08109.62N/AN/A2451,9809235,817
2016-06-02$27.92$29.0023.0%6.9%16.4%13.2%25.4%4.4%-3.5%-503.6K4.9M-21.4K9.3099.79N/AN/A2452,2789235,816
2016-06-03$27.80$29.0025.5%6.8%16.2%18.5%25.2%4.8%-2.0%-524.8K5.5M-23.5K11.49100.15N/AN/A2152,4709236,116
2016-06-06$27.86$29.0024.9%7.1%15.8%17.3%29.0%7.2%-1.9%-507.8K5.3M-22.9K11.3496.97N/AN/A2182,4739246,117
2016-06-07$28.00$29.0025.6%6.9%15.5%18.7%26.3%9.0%-1.7%-504.1K4.6M-22.2K11.3597.68N/AN/A2182,4759286,121
2016-06-08$28.00$29.0024.4%7.0%15.0%16.1%29.1%5.3%-2.4%-520.9K4.8M-21.7K11.4994.82N/AN/A2172,4949286,124
2016-06-09$27.63$29.0024.5%7.0%15.1%16.3%30.3%8.6%-1.5%-551.7K5.8M-22.4K11.4997.89N/AN/A2172,4949326,151
2016-06-10$26.46$29.0028.8%8.3%21.6%25.6%30.5%1.1%-5.4%-549.9K7.9M-21.3K6.63102.77N/AN/A2171,4389326,151
2016-06-13$25.87$29.0031.5%9.0%22.6%31.3%32.1%14.2%-8.2%-560.9K9.8M-19.5K2.9195.41N/AN/A4711,3699326,321
2016-06-14$25.47$29.0033.4%9.6%22.3%35.5%33.3%6.8%-4.5%-474.9K10.9M-20.9K3.6896.49N/AN/A5021,8491,1936,593
2016-06-15$25.62$29.0034.8%10.0%22.6%38.6%35.8%1.6%-8.1%-510.4K10.1M-24.3K4.11111.82N/AN/A5032,0651,2516,830
2016-06-16$25.87$29.0036.1%10.4%23.1%41.4%37.5%10.5%-6.8%-522.1K11.0M-23.5K3.35100.67N/AN/A5141,7201,2526,988
2016-06-17$26.39$29.0037.2%10.7%24.4%43.6%39.3%7.5%-9.0%-469.8K9.5M-26.0K3.9895.59N/AN/A4901,9481,2627,050
2016-06-20$26.96$29.0035.5%10.2%25.6%40.0%40.5%6.5%3.2%-508.5K7.3M-27.8K5.6393.30N/AN/A2381,3391,2626,893
2016-06-21$27.17$29.0035.9%10.3%25.7%41.0%37.3%8.2%-5.3%-544.9K7.4M-27.0K5.1193.48N/AN/A2621,3391,2686,893
2016-06-22$26.65$30.0039.7%11.4%25.5%49.2%37.3%11.3%-8.6%-464.5K6.6M-27.3K4.7992.84N/AN/A2431,1631,2386,893
2016-06-23$27.67$30.0036.1%10.4%27.8%41.4%35.7%9.1%-10.4%-521.6K5.1M-25.9K11.64106.38N/AN/A2723,1661,2386,919
2016-06-24$23.28$30.0039.8%11.4%66.9%49.3%46.0%-6.3%12.9%-344.6K12.1M-20.4K5.0998.46N/AN/A4862,4761,2367,444
2016-06-27$23.07$29.0043.3%12.4%66.9%56.9%38.7%4.1%-3.5%-160.5K11.5M-14.5K4.9399.32N/AN/A4752,3411,4666,326
2016-06-28$23.81$29.0034.1%9.8%68.5%37.0%30.3%5.0%-0.4%-235.4K10.9M-16.4K5.66101.84N/AN/A3772,1321,4926,343
2016-06-29$24.43$29.0034.3%9.8%69.6%37.4%24.7%9.1%-1.1%-293.3K10.5M-18.3K2.9499.76N/AN/A6781,9911,4946,435
2016-06-30$24.95$29.0032.0%9.2%70.1%32.5%29.0%7.4%0.1%-346.5K9.8M-21.5K2.52103.14N/AN/A6801,7111,7816,755