EWP Options History — October 2016

In October 2016, EWP traded between $26.05 and $27.48. ATM implied volatility averaged 20.6%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.2% (HV 20d: 16.4%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.84.

Notable Days

  • 2016-10-18: Highest Volume — 5,003 contracts
  • 2016-10-12: Largest IV spike — 62.1% change
  • 2016-10-12: Highest IV Rank — 31.3%
  • 2016-10-12: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.78$26.05$27.48$26.74$27.48
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV20.6%17.6%28.5%20.0%22.1%
Expected Move6.0%5.1%8.2%5.7%6.3%
HV 20d16.4%12.4%20.3%20.2%12.4%
HV 60d15.8%14.6%16.6%16.6%14.6%
IV Rank15.7%9.7%31.3%14.5%18.5%
IV Percentile19.3%1.2%79.0%10.3%33.7%
Term Structure2.7%-1.9%28.8%2.0%-0.7%
VWIV21.9%16.8%31.5%17.6%17.9%
Skew 25d4.9%1.0%10.2%3.7%2.4%
Skew 10d8.1%-2.1%65.6%3.9%2.6%
Call IV 25d18.1%13.2%25.3%16.5%16.7%
Put IV 25d23.0%18.3%31.8%20.2%19.1%
Bid-Ask Spread %104.1864.91120.18112.4464.91
Gamma HHI0.230.180.320.280.23
Net GEX25.5K-169.3K286.0K258.5K-156.6K
Net DEX1.9M931.1K2.6M1.1M2.3M
Net VEX-13.3K-15.6K-10.6K-14.8K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.840.2413.550.2811.32
Total Volume3,398.1431,7435,0033,2852,021
Total OI8,759.8574,28111,5689,8604,545

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$26.74$26.0020.0%5.7%20.2%14.5%17.6%3.7%2.0%258.5K1.1M-14.8K0.28112.44N/AN/A2,5757105,2144,646
2016-10-04$26.58$26.0019.8%5.7%20.0%14.0%18.4%3.9%2.1%200.1K1.4M-14.6K0.25101.89N/AN/A2,5766375,2144,646
2016-10-05$26.88$26.0018.1%5.2%20.3%10.7%17.9%3.3%2.9%286.0K1.0M-14.0K0.25114.93N/AN/A2,5766375,2154,648
2016-10-06$26.72$26.0018.9%6.2%19.5%12.2%17.7%5.4%1.6%285.5K1.1M-14.0K0.2499.98N/AN/A2,6016375,2164,648
2016-10-07$26.35$26.0019.7%6.5%19.3%13.8%25.1%4.1%2.2%59.5K2.0M-12.5K0.2599.29N/AN/A2,6016395,2334,648
2016-10-10$26.41$26.0020.5%6.4%19.4%15.3%26.5%4.3%3.6%63.3K2.0M-11.9K0.2597.03N/AN/A2,6016395,2334,650
2016-10-11$26.20$26.0017.6%5.7%17.0%9.7%23.1%3.4%4.2%9.8K2.2M-10.6K0.32101.63N/AN/A2,6358435,2334,650
2016-10-12$26.17$26.0028.5%8.2%17.0%31.3%31.5%6.4%-1.9%-12.1K2.4M-13.2K0.34117.53N/AN/A2,6338925,2664,628
2016-10-13$26.05$26.0026.2%7.5%16.9%26.6%26.5%4.3%-1.3%-11.6K2.6M-12.8K0.67104.69N/AN/A2,9351,9775,2724,678
2016-10-14$26.22$26.0022.2%6.4%15.9%18.8%27.0%7.7%1.0%49.3K2.5M-14.6K0.61104.43N/AN/A2,9351,7785,5645,688
2016-10-17$26.22$26.0022.5%6.5%15.9%19.4%22.3%4.7%0.6%30.6K2.6M-14.0K0.69109.17N/AN/A2,9352,0255,5645,648
2016-10-18$26.64$26.0019.5%5.6%16.9%13.3%21.9%4.1%0.9%61.9K2.2M-14.5K0.68106.30N/AN/A2,9802,0235,5645,948
2016-10-19$26.84$26.0017.7%5.1%15.2%9.9%23.4%10.2%2.8%171.4K1.5M-15.6K0.68120.18N/AN/A2,9802,0155,6195,949
2016-10-20$27.05$26.0019.5%5.6%15.0%13.4%20.8%5.8%1.7%163.3K1.2M-13.8K0.59107.42N/AN/A2,9501,7435,6195,949
2016-10-21$27.05$26.0018.9%5.4%14.4%12.2%16.8%4.3%4.1%-169.3K931.1K-13.1K0.65102.55N/AN/A2,6751,7435,6145,948
2016-10-24$27.42$26.0021.1%6.1%14.5%16.6%22.5%4.2%28.8%-144.8K2.4M-12.5K11.91103.87N/AN/A1351,6085803,701
2016-10-25$27.20$26.0019.7%5.6%14.9%13.7%20.3%6.8%0.6%-149.3K2.4M-12.5K12.09106.16N/AN/A1351,6326023,702
2016-10-26$27.22$26.0020.0%5.7%14.6%14.4%22.6%6.4%1.1%-150.8K2.4M-12.9K11.88103.01N/AN/A1371,6286023,728
2016-10-27$27.38$26.0018.7%5.4%13.7%11.8%23.0%6.8%0.9%-146.1K2.3M-12.8K13.20103.75N/AN/A1371,8086123,728
2016-10-28$27.46$26.0022.1%6.3%12.6%18.5%18.1%1.0%-1.1%-163.9K2.2M-12.5K13.55106.65N/AN/A1371,8576123,933
2016-10-31$27.48$26.0022.1%6.3%12.4%18.5%17.9%2.4%-0.7%-156.6K2.3M-12.3K11.3264.91N/AN/A1641,8576123,933