EWP Options History — December 2016

In December 2016, EWP traded between $25.16 and $27.38. ATM implied volatility averaged 19.5%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.4% (HV 20d: 19.0%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 6.78.

Notable Days

  • 2016-12-30: Highest Volume — 2,402 contracts
  • 2016-12-23: Largest IV spike — 45.8% change
  • 2016-12-12: Highest IV Rank — 31.2%
  • 2016-12-01: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.49$25.16$27.38$25.24$26.49
Max Pain$29.62$26.00$30.00$26.00$30.00
ATM IV19.5%10.4%28.5%28.3%17.3%
Expected Move4.7%3.0%8.1%8.1%5.0%
HV 20d19.0%16.0%20.9%16.0%20.6%
HV 60d16.9%16.2%17.5%16.5%16.9%
IV Rank14.6%0.0%31.2%30.9%13.1%
IV Percentile23.0%0.0%76.6%76.2%4.4%
Term Structure2.4%-13.7%42.2%-13.7%2.9%
VWIV21.2%14.4%30.2%30.2%18.7%
Skew 25d5.9%0.2%11.0%5.3%4.8%
Skew 10d8.1%1.0%18.2%3.2%7.2%
Call IV 25d16.0%11.7%25.2%25.2%16.5%
Put IV 25d21.9%15.2%30.4%30.4%21.3%
Bid-Ask Spread %95.6842.33118.8577.85111.26
Gamma HHI0.300.200.470.290.37
Net GEX-102.8K-225.4K23.5K-207.7K-79.1K
Net DEX2.7M1.6M4.5M4.0M2.5M
Net VEX-6.2K-7.5K-4.6K-7.5K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.785.4712.307.228.69
Total Volume1,859.6671,6492,4021,7272,402
Total OI4,891.814,3585,4465,0664,577

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$25.24$26.0028.3%8.1%16.0%30.9%30.2%5.3%-13.7%-207.7K4.0M-7.5K7.2277.85N/AN/A2101,5178824,184
2016-12-02$25.16$26.0025.9%7.4%16.0%26.1%29.6%4.0%-7.4%-221.9K4.5M-7.5K6.3172.92N/AN/A2361,4908864,184
2016-12-05$25.61$30.0024.5%4.4%17.4%23.4%16.7%7.8%0.4%-225.4K4.1M-6.8K6.3590.29N/AN/A2351,4929264,199
2016-12-06$26.38$30.0022.4%4.9%20.1%19.0%20.6%8.2%0.4%-164.4K3.1M-7.3K5.4775.76N/AN/A2721,4899354,201
2016-12-07$26.80$30.0022.8%4.6%20.9%19.9%19.7%9.0%-1.9%-110.4K2.3M-6.2K5.5171.12N/AN/A2721,5009464,198
2016-12-08$26.85$30.0023.9%4.1%20.4%22.1%23.8%9.6%4.0%-91.8K2.3M-6.1K6.03118.85N/AN/A2491,5029314,200
2016-12-09$26.86$30.0020.5%4.0%19.2%15.4%22.7%10.4%0.5%-118.1K2.3M-5.4K6.0356.97N/AN/A2491,5029354,200
2016-12-12$26.92$30.0028.5%4.7%17.6%31.2%25.4%11.0%2.0%-71.1K2.3M-5.4K6.1042.33N/AN/A2501,5269354,200
2016-12-13$27.38$30.0026.5%4.1%17.5%27.2%22.4%6.4%1.1%23.5K1.6M-5.0K6.45100.64N/AN/A2441,5739364,228
2016-12-14$26.79$30.0014.8%4.3%19.5%4.2%23.5%3.8%4.0%-23.6K2.2M-6.8K6.22107.77N/AN/A2511,5619194,284
2016-12-15$26.86$30.0018.5%5.3%18.7%11.4%22.9%7.0%2.8%-95.3K2.6M-7.0K6.0899.77N/AN/A2591,5769194,289
2016-12-16$27.08$30.0014.8%4.2%18.8%4.1%20.6%8.5%4.4%-8.0K2.1M-6.5K6.80104.45N/AN/A2571,7489294,517
2016-12-19$26.90$30.0016.0%4.6%17.9%6.5%21.9%7.3%42.2%-67.8K2.6M-6.2K12.30109.86N/AN/A1241,5256913,667
2016-12-20$27.06$30.0013.3%3.8%17.9%1.1%19.0%1.8%6.4%-76.4K2.1M-4.6K5.60108.10N/AN/A3081,7246923,710
2016-12-21$26.41$30.0014.0%4.0%20.4%2.6%16.1%2.5%-1.6%-103.0K2.5M-5.7K6.95113.03N/AN/A2421,6816553,914
2016-12-22$26.28$30.0010.4%3.0%20.0%0.0%14.4%0.4%5.6%-88.3K2.5M-5.6K6.92111.13N/AN/A2431,6816553,914
2016-12-23$26.41$30.0015.1%4.3%20.1%9.0%22.8%0.2%-7.6%-125.3K3.0M-7.3K6.85103.92N/AN/A2441,6716573,914
2016-12-27$26.43$30.0014.0%4.0%19.7%6.8%18.2%2.7%4.4%-86.2K2.5M-5.6K6.85114.12N/AN/A2441,6716583,915
2016-12-28$26.08$30.0018.6%5.3%20.4%15.5%17.7%8.9%1.3%-115.6K2.9M-6.5K6.85114.87N/AN/A2441,6716583,915
2016-12-29$26.29$30.0019.0%5.5%20.5%16.4%19.0%4.8%0.8%-103.1K2.7M-5.6K6.77104.30N/AN/A2471,6716583,915
2016-12-30$26.49$30.0017.3%5.0%20.6%13.1%18.7%4.8%2.9%-79.1K2.5M-5.4K8.69111.26N/AN/A2482,1546623,915