EWP Options History — November 2016

In November 2016, EWP traded between $24.98 and $27.32. ATM implied volatility averaged 25.3%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 10.5% (HV 20d: 14.7%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 8.27.

Notable Days

  • 2016-11-17: Highest Volume — 2,640 contracts
  • 2016-11-02: Largest IV spike — 42.2% change
  • 2016-11-02: Highest IV Rank — 39.2%
  • 2016-11-02: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.92$24.98$27.32$27.32$25.19
Max Pain$25.71$25.00$27.00$26.00$26.00
ATM IV25.3%22.1%32.5%22.9%25.3%
Expected Move7.2%6.2%9.3%6.6%7.2%
HV 20d14.7%11.9%16.8%12.3%16.1%
HV 60d16.0%14.6%16.9%14.7%16.6%
IV Rank24.9%18.6%39.2%20.1%24.8%
IV Percentile55.0%29.0%88.1%40.1%54.8%
Term Structure-2.4%-5.8%0.8%-0.2%-4.2%
VWIV26.9%21.4%36.4%21.7%31.8%
Skew 25d6.0%-0.8%11.1%0.9%6.3%
Skew 10d10.1%-0.9%20.4%2.8%2.9%
Call IV 25d22.2%16.5%25.9%17.3%24.9%
Put IV 25d28.2%18.2%36.7%18.2%31.1%
Bid-Ask Spread %95.0066.84119.83109.4279.94
Gamma HHI0.250.180.600.210.23
Net GEX-245.0K-691.9K-145.8K-149.2K-228.2K
Net DEX4.0M2.3M5.7M2.3M4.8M
Net VEX-12.5K-15.0K-10.7K-12.6K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.276.5911.3411.326.60
Total Volume2,058.811,7392,6402,0211,747
Total OI4,982.5244,5755,7914,5755,044

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$27.32$26.0022.9%6.6%12.3%20.1%21.7%0.9%-0.2%-149.2K2.3M-12.6K11.32109.42N/AN/A1641,8576423,933
2016-11-02$27.03$26.0032.5%9.3%12.5%39.2%36.4%11.1%-5.8%-166.8K2.8M-15.0K11.34119.83N/AN/A1641,8606423,933
2016-11-03$26.96$25.0023.8%6.2%12.3%21.9%25.1%8.1%-0.1%-178.2K2.6M-13.4K11.34104.59N/AN/A1641,8606423,936
2016-11-04$26.67$25.0023.1%6.4%11.9%20.5%27.1%6.7%-0.0%-174.7K2.9M-13.1K11.2595.30N/AN/A1661,8676423,936
2016-11-07$27.03$25.0024.0%6.6%12.7%22.3%25.7%8.4%-0.9%-164.1K2.7M-12.4K7.3596.85N/AN/A2541,8676493,943
2016-11-08$27.16$25.0024.6%6.6%12.3%23.5%26.4%9.8%0.1%-145.8K2.5M-12.7K7.29105.57N/AN/A2541,8517373,943
2016-11-09$26.82$25.0022.8%6.5%13.3%19.9%28.3%4.0%-3.6%-158.0K2.7M-10.7K7.81115.68N/AN/A2371,8517273,943
2016-11-10$26.32$25.0025.5%7.3%15.0%25.3%26.4%2.9%-1.7%-189.7K3.1M-12.1K10.20100.87N/AN/A1631,6627293,943
2016-11-11$25.82$25.0025.3%7.2%16.3%24.8%26.6%2.4%-0.8%-222.2K3.7M-13.0K8.5298.65N/AN/A2552,1737593,954
2016-11-14$25.50$27.0028.6%8.2%16.8%31.3%27.5%5.7%-0.8%-292.1K4.7M-14.1K7.5795.92N/AN/A2742,0758714,465
2016-11-15$25.72$26.0028.6%8.2%16.0%31.4%28.9%9.0%-3.3%-313.4K4.7M-14.4K7.49109.97N/AN/A2852,1348914,667
2016-11-16$25.38$26.0029.4%8.4%16.1%33.1%28.2%8.2%-4.8%-315.0K5.1M-13.5K8.1198.63N/AN/A2612,1169014,685
2016-11-17$25.45$26.0028.3%8.1%15.8%30.8%27.2%7.8%-3.5%-334.6K5.0M-13.3K8.5798.81N/AN/A2762,3648964,685
2016-11-18$25.06$26.0023.4%6.7%16.3%21.0%26.1%6.9%0.8%-691.9K5.7M-13.2K8.0072.60N/AN/A2682,1438964,895
2016-11-21$25.18$26.0024.8%7.1%15.3%23.9%22.0%9.6%-5.0%-214.7K4.8M-11.5K7.1978.83N/AN/A2201,5828574,143
2016-11-22$25.33$26.0022.2%6.4%15.7%18.8%23.4%5.7%-2.7%-261.9K4.5M-12.0K6.91101.17N/AN/A2291,5828614,146
2016-11-23$25.07$26.0022.9%6.6%15.8%20.1%21.4%-0.8%-4.2%-241.8K5.1M-11.3K6.5985.76N/AN/A2291,5108714,146
2016-11-25$25.18$26.0022.1%6.3%15.7%18.6%27.2%4.3%-1.5%-236.3K4.8M-11.4K6.6191.23N/AN/A2291,5148714,146
2016-11-28$24.98$26.0025.8%7.4%15.5%25.8%27.8%3.2%-4.7%-229.4K4.9M-11.3K6.8468.55N/AN/A2251,5388714,150
2016-11-29$25.18$26.0025.3%7.2%16.0%24.8%29.2%5.9%-3.5%-237.8K4.9M-11.1K6.8166.84N/AN/A2261,5398774,165
2016-11-30$25.19$26.0025.3%7.2%16.1%24.8%31.8%6.3%-4.2%-228.2K4.8M-10.8K6.6079.94N/AN/A2301,5178784,166