EWP Options History — August 2016

In August 2016, EWP traded between $25.24 and $26.59. ATM implied volatility averaged 23.5%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 7.5% (HV 20d: 16.0%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 4.55.

Notable Days

  • 2016-08-12: Highest Volume — 2,677 contracts
  • 2016-08-08: Largest IV spike — 25.8% change
  • 2016-08-03: Highest IV Rank — 24.4%
  • 2016-08-03: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.15$25.24$26.59$25.86$26.52
Max Pain$25.87$25.00$26.00$25.00$26.00
ATM IV23.5%19.3%28.3%25.9%19.3%
Expected Move6.8%5.5%8.1%7.4%5.5%
HV 20d16.0%9.0%22.5%22.5%9.0%
HV 60d42.9%42.6%43.2%43.1%42.7%
IV Rank14.1%5.0%24.4%19.4%5.0%
IV Percentile35.9%2.4%69.8%56.0%2.4%
Term Structure0.9%-1.9%2.8%-0.8%2.8%
VWIV23.8%19.0%32.0%32.0%23.9%
Skew 25d4.1%-0.5%6.6%3.6%6.1%
Skew 10d6.2%-2.8%18.1%16.2%11.9%
Call IV 25d20.7%16.6%28.8%22.7%18.6%
Put IV 25d24.8%17.8%29.2%26.3%24.7%
Bid-Ask Spread %102.3595.32132.30104.06107.30
Gamma HHI0.220.180.270.180.23
Net GEX-158.7K-258.0K-56.2K-130.6K-191.3K
Net DEX2.6M1.7M3.4M2.4M2.7M
Net VEX-19.7K-23.6K-16.8K-20.1K-19.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.550.008.707.551.61
Total Volume1,191.21782,6771,582991
Total OI6,200.3485,5557,4025,6046,328

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$25.86$25.0025.9%7.4%22.5%19.4%32.0%3.6%-0.8%-130.6K2.4M-20.1K7.55104.06N/AN/A1851,3971,2724,332
2016-08-02$25.39$25.0027.3%7.8%20.1%22.3%29.1%0.4%0.6%-156.6K3.0M-19.5K7.1499.06N/AN/A1851,3211,2814,332
2016-08-03$25.24$25.0028.3%8.1%20.3%24.4%28.0%2.8%-0.3%-191.5K3.4M-19.3K8.43105.10N/AN/A1461,2311,2814,330
2016-08-04$25.43$26.0025.6%8.0%20.1%18.7%27.8%4.1%-1.9%-166.2K3.0M-19.5K8.43100.54N/AN/A1461,2311,2814,330
2016-08-05$25.73$26.0019.7%7.0%18.5%6.0%24.3%4.2%0.4%-56.2K2.3M-18.4K8.4395.32N/AN/A1461,2311,2814,330
2016-08-08$25.84$26.0024.8%7.0%18.2%17.0%25.0%5.7%0.4%-112.8K2.4M-18.2K8.4395.44N/AN/A1461,2311,2814,330
2016-08-09$26.07$26.0027.3%6.7%15.9%22.4%24.1%6.4%1.9%-107.4K2.2M-18.3K4.2698.44N/AN/A1516441,2814,330
2016-08-10$26.36$26.0023.5%6.7%16.3%14.1%23.9%4.3%0.9%-63.0K1.8M-17.2K5.2695.32N/AN/A1316891,2764,331
2016-08-11$26.45$26.0022.7%6.5%16.1%12.5%25.7%4.4%2.1%-59.5K1.7M-16.8K8.2598.69N/AN/A1311,0811,2754,280
2016-08-12$26.51$26.0022.0%6.3%15.9%11.0%23.0%4.5%-0.3%-74.1K1.7M-17.4K4.99106.80N/AN/A4472,2301,2804,480
2016-08-15$26.59$26.0021.9%6.3%15.9%10.7%23.2%2.2%1.5%-137.6K2.2M-21.2K6.0997.24N/AN/A3662,2301,3505,821
2016-08-16$26.47$26.0023.0%6.6%15.6%13.1%23.8%2.9%1.8%-142.9K2.2M-20.2K2.4695.34N/AN/A3648951,3205,821
2016-08-17$26.32$26.0024.3%7.0%15.5%15.9%20.9%4.8%-0.0%-170.8K2.5M-20.9K8.70103.45N/AN/A504351,3185,808
2016-08-18$26.37$26.0022.0%6.3%15.5%11.0%20.7%6.6%2.2%-186.8K2.3M-21.0K1.67102.63N/AN/A351,3686,016
2016-08-19$26.09$26.0022.1%6.3%16.1%11.1%19.0%3.7%1.3%-193.9K2.8M-21.0K2.5399.17N/AN/A4151,0501,3706,032
2016-08-22$26.17$26.0022.8%6.5%16.0%12.5%23.6%5.7%1.3%-193.0K3.3M-20.6K2.58102.52N/AN/A4221,0901,1384,709
2016-08-23$26.37$26.0021.9%6.3%16.1%10.8%19.8%5.7%1.0%-209.9K3.0M-20.6K1.41102.99N/AN/A4225951,1445,209
2016-08-24$26.38$26.0022.7%6.5%15.1%12.4%19.7%1.7%0.9%-206.4K2.9M-20.3K0.00103.46N/AN/A1001,1445,194
2016-08-25$26.32$26.0022.0%6.3%14.5%11.0%20.9%-0.5%2.0%-218.1K3.0M-20.3K1.58102.34N/AN/A3765951,1345,204
2016-08-26$26.25$26.0025.6%7.3%13.2%18.6%22.9%5.6%-1.0%-216.5K2.9M-23.6K1.61132.30N/AN/A3826141,1345,199
2016-08-29$26.26$26.0022.8%6.5%11.8%12.7%22.9%4.1%1.3%-258.0K3.1M-19.3K1.62101.42N/AN/A3806141,1345,191
2016-08-30$26.37$26.0022.8%6.5%9.4%12.7%23.6%5.7%1.9%-206.8K2.9M-19.5K1.62105.05N/AN/A3806141,1375,191
2016-08-31$26.52$26.0019.3%5.5%9.0%5.0%23.9%6.1%2.8%-191.3K2.7M-19.0K1.61107.30N/AN/A3806111,1375,191