EWP Options History — July 2016

In July 2016, EWP traded between $24.06 and $26.27. ATM implied volatility averaged 30.8%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 27.6% (HV 20d: 58.4%). Max pain ranged from $24.00 to $29.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 3.73.

Notable Days

  • 2016-07-13: Highest Volume — 2,612 contracts
  • 2016-07-05: Largest IV spike — 38.8% change
  • 2016-07-11: Highest IV Rank — 56.2%
  • 2016-07-06: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.39$24.06$26.27$25.05$26.27
Max Pain$24.70$24.00$29.00$29.00$25.00
ATM IV30.8%25.6%43.0%30.6%25.7%
Expected Move8.1%7.3%9.6%8.8%7.4%
HV 20d58.4%21.6%71.6%70.2%21.6%
HV 60d43.3%43.0%43.6%43.0%43.0%
IV Rank29.9%18.6%56.2%29.5%18.9%
IV Percentile74.0%54.8%99.2%77.4%54.8%
Term Structure-1.3%-5.3%0.6%-1.1%0.4%
VWIV29.8%22.6%33.6%25.6%31.1%
Skew 25d4.5%2.1%9.7%2.1%3.3%
Skew 10d11.4%6.0%17.9%16.3%17.3%
Call IV 25d26.5%21.5%31.2%28.8%21.5%
Put IV 25d31.0%24.8%40.2%30.9%24.8%
Bid-Ask Spread %98.6692.21111.61100.84107.16
Gamma HHI0.190.140.310.280.18
Net GEX-208.1K-508.7K-74.4K-385.7K-126.2K
Net DEX6.1M2.2M10.7M9.2M2.2M
Net VEX-19.9K-21.8K-18.0K-21.8K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.731.297.622.457.43
Total Volume1,695.659552,6122,4131,585
Total OI6,950.74,5619,5938,4845,603

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$25.05$29.0030.6%8.8%70.2%29.5%25.6%2.1%-1.1%-385.7K9.2M-21.8K2.45100.84N/AN/A6991,7141,7526,732
2016-07-05$24.25$24.0042.5%9.4%70.8%55.1%33.5%6.4%-3.3%-285.8K9.9M-19.9K1.9594.44N/AN/A7591,4801,8606,732
2016-07-06$24.19$24.0039.3%9.6%70.7%48.3%33.6%9.7%-3.5%-226.5K10.7M-18.3K2.9098.41N/AN/A5081,4741,8806,748
2016-07-07$24.06$25.0040.4%9.3%70.6%50.6%32.1%3.1%-2.5%-232.7K10.6M-18.0K2.8992.21N/AN/A5081,4671,9106,743
2016-07-08$24.70$25.0036.4%8.5%71.6%41.9%31.3%3.3%-1.5%-284.1K9.9M-19.0K1.3293.42N/AN/A5577361,9106,749
2016-07-11$24.96$25.0043.0%8.8%70.4%56.2%31.6%6.7%-5.3%-280.9K9.7M-18.3K1.2992.43N/AN/A5577211,9596,738
2016-07-12$25.64$25.0033.0%7.9%70.7%34.7%30.3%4.0%-1.0%-404.5K8.5M-18.4K3.1797.32N/AN/A5791,8371,9596,741
2016-07-13$25.63$25.0027.5%7.9%70.5%22.8%31.1%3.5%-1.9%-487.4K9.9M-21.1K3.5595.31N/AN/A5742,0381,9067,585
2016-07-14$25.86$25.0028.8%8.3%70.5%25.6%32.7%4.5%-2.2%-508.7K9.7M-21.4K3.7696.31N/AN/A4881,8371,9017,692
2016-07-15$25.71$24.0028.4%8.1%70.5%24.7%32.5%5.5%-2.4%-74.4K10.7M-20.4K3.1499.29N/AN/A5861,8401,8887,692
2016-07-18$25.67$24.0026.7%7.7%70.1%21.1%30.0%3.4%-1.2%-81.6K2.2M-19.8K3.88111.61N/AN/A3081,1961,2223,339
2016-07-19$25.47$24.0027.1%7.8%69.6%21.8%30.2%4.5%-0.1%-83.9K2.3M-19.7K2.2794.36N/AN/A3097011,2263,340
2016-07-20$25.73$24.0026.6%7.6%69.6%20.8%30.6%5.1%0.1%-90.4K2.5M-21.2K2.2595.82N/AN/A3117011,2293,545
2016-07-21$25.74$24.0025.6%7.3%69.4%18.6%24.2%3.8%0.6%-81.6K2.4M-20.1K3.24102.11N/AN/A2317481,2293,548
2016-07-22$25.76$24.0026.5%7.6%67.8%20.6%22.6%4.0%0.2%-78.9K2.4M-20.3K3.6195.84N/AN/A2077481,2493,590
2016-07-25$25.63$24.0026.9%7.7%24.8%21.5%25.4%4.4%0.4%-83.0K2.5M-19.9K3.8895.90N/AN/A1987691,2493,590
2016-07-26$25.64$24.0027.3%7.8%24.4%22.4%27.6%3.9%-1.3%-84.1K2.6M-19.6K7.39109.65N/AN/A1981,4641,2503,611
2016-07-27$26.08$25.0026.7%7.6%22.8%21.0%30.3%5.9%0.1%-143.6K2.4M-20.7K7.62103.17N/AN/A1941,4791,2504,303
2016-07-28$25.81$25.0026.9%7.7%21.9%21.6%29.0%2.5%-0.7%-139.0K2.6M-20.6K6.6597.55N/AN/A2101,3971,2534,311
2016-07-29$26.27$25.0025.7%7.4%21.6%18.9%31.1%3.3%0.4%-126.2K2.2M-20.5K7.43107.16N/AN/A1881,3971,2714,332