EWP Options History — February 2017

In February 2017, EWP traded between $27.02 and $27.76. ATM implied volatility averaged 18.0%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.2% (HV 20d: 13.8%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 23.01.

Notable Days

  • 2017-02-01: Highest Volume — 4,036 contracts
  • 2017-02-06: Largest IV spike — 20.9% change
  • 2017-02-28: Highest IV Rank — 17.6%
  • 2017-02-28: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.29$27.02$27.76$27.40$27.28
Max Pain$26.84$26.00$27.00$27.00$27.00
ATM IV18.0%14.9%19.7%14.9%19.7%
Expected Move5.2%4.3%5.6%4.3%5.6%
HV 20d13.8%12.1%15.0%12.8%12.2%
HV 60d16.3%15.6%17.4%17.2%15.6%
IV Rank14.4%8.5%17.6%8.5%17.6%
IV Percentile15.3%4.0%28.2%4.0%28.2%
Term Structure0.7%-1.2%5.1%5.1%1.1%
VWIV19.7%14.7%23.4%17.1%20.3%
Skew 25d5.2%1.3%23.0%23.0%5.9%
Skew 10d12.4%-1.5%55.9%55.9%7.6%
Call IV 25d16.6%12.6%21.6%17.7%15.9%
Put IV 25d21.8%19.2%40.7%40.7%21.8%
Bid-Ask Spread %55.8435.68112.3747.8681.87
Gamma HHI0.500.260.680.260.43
Net GEX-192.3K-242.2K-55.7K-55.7K-217.8K
Net DEX2.5M462.9K3.9M462.9K3.5M
Net VEX-15.3K-19.2K-3.7K-3.7K-18.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio23.0118.3837.3534.4019.07
Total Volume3,048.2112,4514,0364,0363,051
Total OI4,585.4212,7235,3752,7235,375

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$27.40$27.0014.9%4.3%12.8%8.5%17.1%23.0%5.1%-55.7K462.9K-3.7K34.4047.86N/AN/A1143,9221492,574
2017-02-02$27.58$26.0016.6%5.0%13.0%11.8%20.4%2.6%-0.5%-160.3K1.9M-13.8K34.4046.53N/AN/A1143,9221494,074
2017-02-03$27.76$26.0015.4%4.8%12.1%9.4%20.7%2.9%0.5%-141.4K1.8M-13.4K37.3555.53N/AN/A1053,9221494,074
2017-02-06$27.24$26.0018.6%5.4%14.0%15.5%20.2%2.5%-0.1%-177.6K2.1M-14.1K24.1035.68N/AN/A1052,5311494,074
2017-02-07$27.08$27.0019.4%5.3%14.1%17.1%19.8%4.7%-0.1%-201.6K2.3M-14.8K22.3443.09N/AN/A1052,3461494,185
2017-02-08$27.03$27.0018.4%5.3%14.0%15.2%20.9%3.5%-0.0%-228.5K2.4M-15.1K23.3644.32N/AN/A1102,5701494,194
2017-02-09$27.32$27.0018.1%5.2%14.4%14.5%21.7%4.4%0.2%-186.1K2.2M-14.9K23.3645.04N/AN/A1102,5701634,214
2017-02-10$27.08$27.0017.8%5.1%14.5%14.1%21.8%3.7%1.0%-199.0K2.4M-15.0K20.2748.26N/AN/A1222,4731634,214
2017-02-13$27.21$27.0019.3%5.5%14.5%16.9%23.0%5.5%-1.2%-190.7K2.2M-14.9K19.24105.99N/AN/A1282,4631784,217
2017-02-14$27.29$27.0017.9%5.1%14.5%14.2%23.4%5.0%1.1%-182.4K2.2M-15.1K22.3638.07N/AN/A1272,8401864,227
2017-02-15$27.53$27.0016.7%4.8%14.4%11.9%23.0%4.5%0.2%-194.9K2.1M-14.6K22.3659.28N/AN/A1272,8401954,427
2017-02-16$27.65$27.0016.5%4.7%14.5%11.6%14.7%6.3%1.3%-172.5K2.0M-15.0K18.3849.64N/AN/A1532,8122094,427
2017-02-17$27.37$27.0018.6%5.3%15.0%15.5%17.5%3.7%0.4%-186.4K2.1M-15.4K18.6946.64N/AN/A1532,8602404,414
2017-02-21$27.32$27.0018.9%5.4%15.0%16.1%18.2%2.5%0.5%-206.4K2.6M-16.4K21.2444.71N/AN/A1362,8882324,517
2017-02-22$27.10$27.0017.8%5.1%14.9%14.1%19.8%1.3%1.9%-241.5K3.9M-19.2K19.03112.37N/AN/A1522,8922335,107
2017-02-23$27.17$27.0019.1%5.5%13.0%16.5%15.5%2.7%2.8%-231.3K3.6M-18.8K19.0756.84N/AN/A1522,8992515,115
2017-02-24$27.02$27.0019.3%5.5%12.5%16.8%17.1%5.2%-0.9%-242.2K3.9M-19.2K19.0761.26N/AN/A1522,8992515,124
2017-02-27$27.17$27.0019.0%5.4%12.7%16.3%19.0%8.7%0.3%-236.8K3.8M-18.6K19.0738.02N/AN/A1522,8992515,124
2017-02-28$27.28$27.0019.7%5.6%12.2%17.6%20.3%5.9%1.1%-217.8K3.5M-18.1K19.0781.87N/AN/A1522,8992515,124