EWP Options History — January 2017

In January 2017, EWP traded between $26.86 and $27.91. ATM implied volatility averaged 17.2%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.8% (HV 20d: 15.4%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 15.31.

Notable Days

  • 2017-01-20: Highest Volume — 4,036 contracts
  • 2017-01-04: Largest IV spike — 21.9% change
  • 2017-01-26: Highest IV Rank — 16.2%
  • 2017-01-09: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.25$26.86$27.91$26.86$27.49
Max Pain$26.85$26.00$30.00$30.00$27.00
ATM IV17.2%13.1%18.9%13.1%18.3%
Expected Move5.0%3.7%5.4%3.7%5.3%
HV 20d15.4%11.4%20.9%20.9%13.5%
HV 60d16.9%16.5%17.3%17.1%17.2%
IV Rank13.0%5.1%16.2%5.1%15.1%
IV Percentile8.1%0.8%16.7%0.8%13.1%
Term Structure2.3%-2.2%37.2%3.2%1.0%
VWIV19.5%14.6%23.9%14.6%17.9%
Skew 25d2.9%-5.4%8.4%-1.4%0.9%
Skew 10d7.3%-4.7%23.3%6.1%0.2%
Call IV 25d15.9%11.9%21.0%15.1%16.7%
Put IV 25d18.8%12.9%22.6%13.7%17.5%
Bid-Ask Spread %86.6122.60113.48111.2641.32
Gamma HHI0.200.160.260.180.19
Net GEX-40.1K-100.7K992992-48.4K
Net DEX1.8M417.7K2.1M2.0M417.7K
Net VEX-5.0K-6.5K-3.5K-4.4K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.317.7037.038.8721.33
Total Volume2,5842,2234,0362,3992,546
Total OI4,414.852,5315,2985,0832,531

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$26.86$30.0013.1%3.7%20.9%5.1%14.6%-1.4%3.2%9922.0M-4.4K8.87111.26N/AN/A2432,1566634,420
2017-01-04$26.91$30.0015.9%4.6%20.2%10.5%15.0%-1.6%2.0%-5.9K2.1M-5.2K7.70106.59N/AN/A2581,9866524,422
2017-01-05$27.32$26.0014.8%5.1%18.1%8.5%22.4%6.9%1.2%-7.1K1.9M-4.7K8.38101.98N/AN/A2371,9866524,437
2017-01-06$27.26$26.0016.9%5.3%17.4%12.4%22.7%5.7%0.8%-6.3K2.0M-5.2K8.38101.67N/AN/A2381,9956514,436
2017-01-09$27.18$26.0018.1%5.4%17.4%14.6%23.4%6.3%-0.0%-2.5K2.0M-5.0K8.3998.30N/AN/A2381,9976514,441
2017-01-10$27.08$26.0017.3%5.3%17.5%13.2%21.3%4.1%-1.8%-4.3K2.0M-4.6K10.07106.19N/AN/A2382,3966514,438
2017-01-11$26.96$26.0018.8%5.4%17.6%15.9%21.9%4.3%1.2%-44.3K2.1M-5.1K9.8498.42N/AN/A2442,4026514,615
2017-01-12$27.19$26.0018.7%5.4%16.7%15.7%23.9%8.4%0.3%-31.3K2.1M-5.1K9.84113.48N/AN/A2442,4026574,626
2017-01-13$27.34$26.0018.0%5.2%14.8%14.4%20.2%5.3%0.6%-21.3K2.0M-4.5K9.80107.43N/AN/A2452,4026574,626
2017-01-17$27.27$26.0018.7%5.4%14.8%15.8%18.6%2.0%-2.2%-22.4K1.9M-4.3K9.9396.65N/AN/A2422,4026624,626
2017-01-18$27.04$26.0015.1%4.3%14.9%8.9%19.5%1.4%2.5%-19.8K1.9M-4.1K9.97109.67N/AN/A2422,4136614,626
2017-01-19$27.05$27.0018.0%5.2%14.7%14.5%19.2%4.0%0.0%-17.6K2.0M-4.2K9.14103.61N/AN/A2422,2116614,637
2017-01-20$27.13$27.0018.3%5.2%14.6%15.0%19.8%4.4%0.0%-64.2K1.9M-4.2K15.82106.79N/AN/A2403,7966564,642
2017-01-23$27.12$27.0017.6%5.0%11.4%13.6%17.5%3.6%37.2%-100.7K2.0M-6.1K37.0134.69N/AN/A702,5911252,931
2017-01-24$27.37$27.0017.3%5.0%11.4%13.1%17.8%2.5%0.5%-87.3K1.9M-6.2K37.0349.54N/AN/A702,5921252,960
2017-01-25$27.91$27.0016.2%4.6%13.0%11.0%17.7%6.1%0.1%-76.2K1.9M-5.3K22.7222.60N/AN/A1142,5901252,960
2017-01-26$27.59$27.0018.9%5.4%13.9%16.2%18.6%-3.3%-1.0%-82.8K1.8M-6.4K22.7283.57N/AN/A1142,5901492,965
2017-01-27$27.62$27.0016.1%4.6%12.7%10.9%18.8%3.7%0.9%-79.0K1.7M-6.5K19.6572.50N/AN/A1142,2401492,965
2017-01-30$27.30$27.0018.6%5.3%13.5%15.6%18.4%-5.4%-0.6%-81.2K1.1M-4.9K19.6566.02N/AN/A1142,2401492,646
2017-01-31$27.49$27.0018.3%5.3%13.5%15.1%17.9%0.9%1.0%-48.4K417.7K-3.5K21.3341.32N/AN/A1142,4321492,382