EWP Options History — March 2017

In March 2017, EWP traded between $27.56 and $30.72. ATM implied volatility averaged 18.2%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.3% (HV 20d: 17.9%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 18.69.

Notable Days

  • 2017-03-16: Highest Volume — 4,017 contracts
  • 2017-03-15: Largest IV drop — 24.1% change
  • 2017-03-14: Highest IV Rank — 21.1%
  • 2017-03-24: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.35$27.56$30.72$27.91$30.45
Max Pain$27.22$26.00$29.00$27.00$29.00
ATM IV18.2%16.0%21.5%18.1%16.3%
Expected Move5.0%4.6%5.7%5.2%4.7%
HV 20d17.9%14.5%20.8%14.5%16.9%
HV 60d16.0%15.3%16.9%16.2%15.6%
IV Rank14.8%10.6%21.1%14.5%11.2%
IV Percentile18.7%6.0%41.7%13.9%7.5%
Term Structure2.9%-0.6%6.3%-0.1%6.3%
VWIV19.3%13.9%24.3%18.6%19.6%
Skew 25d4.1%-1.4%8.5%2.4%1.9%
Skew 10d9.7%-0.6%60.2%60.2%5.1%
Call IV 25d15.7%10.5%18.7%18.4%17.2%
Put IV 25d19.8%17.4%21.8%20.7%19.1%
Bid-Ask Spread %80.2529.58127.53127.5388.07
Gamma HHI0.310.190.420.420.19
Net GEX-180.5K-234.3K-149.6K-175.1K-162.2K
Net DEX2.4M1.5M3.3M3.1M2.3M
Net VEX-17.2K-19.9K-15.2K-18.0K-19.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.6910.6425.1015.7013.72
Total Volume3,593.4783,0024,0173,1063,666
Total OI6,120.7835,3757,4095,3757,409

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$27.91$27.0018.1%5.2%14.5%14.5%18.6%2.4%-0.1%-175.1K3.1M-18.0K15.70127.53N/AN/A1862,9202515,124
2017-03-02$27.56$27.0017.8%5.1%15.2%14.1%19.6%3.9%-0.6%-195.6K3.3M-17.8K15.5629.58N/AN/A2013,1272855,145
2017-03-03$28.16$27.0017.1%4.9%16.8%12.6%15.5%6.5%1.9%-174.0K3.0M-18.1K15.59103.36N/AN/A2013,1333105,363
2017-03-06$28.15$26.0021.0%5.3%16.7%20.1%24.3%6.0%1.9%-173.3K2.9M-17.8K18.4080.64N/AN/A1733,1833105,370
2017-03-07$28.08$26.0020.7%5.2%15.1%19.6%24.2%3.3%3.0%-187.0K3.1M-17.9K18.4066.12N/AN/A1733,1833165,420
2017-03-08$28.04$26.0019.9%5.1%14.9%18.0%17.4%4.9%1.5%-174.0K2.9M-17.4K12.4588.67N/AN/A2563,1863165,420
2017-03-09$28.72$26.0016.4%4.9%16.8%11.4%18.8%3.7%2.2%-150.3K2.4M-17.4K19.34100.92N/AN/A1833,5403975,423
2017-03-10$29.07$26.0018.2%4.9%16.9%14.8%15.8%3.5%2.9%-149.6K2.3M-17.3K20.08102.15N/AN/A1773,5544085,477
2017-03-13$28.94$26.0020.9%4.8%16.5%20.0%13.9%3.2%2.4%-152.0K2.1M-16.6K19.6687.38N/AN/A1813,5584195,488
2017-03-14$28.54$26.0021.5%5.1%17.6%21.1%20.2%3.8%1.7%-162.3K2.5M-17.5K20.7952.48N/AN/A1823,7834105,492
2017-03-15$29.02$27.0016.3%4.7%18.3%11.3%19.2%2.3%4.2%-177.6K2.4M-17.5K21.20100.43N/AN/A1793,7944215,677
2017-03-16$29.93$27.0017.6%5.0%20.7%13.6%21.4%8.5%1.3%-161.1K1.5M-15.2K18.41101.15N/AN/A2073,8104115,687
2017-03-17$29.94$27.0016.4%4.7%20.8%11.5%16.6%4.0%2.8%-168.9K1.6M-15.2K20.7684.50N/AN/A1843,8203995,703
2017-03-20$29.85$27.0016.5%4.7%20.3%11.7%17.4%2.3%4.9%-171.6K1.8M-15.3K22.9345.45N/AN/A1503,4393585,432
2017-03-21$29.88$27.0017.2%4.9%20.2%12.9%20.1%-1.4%4.6%-175.9K2.1M-15.9K24.5344.50N/AN/A1413,4593585,650
2017-03-22$30.14$27.0018.1%5.2%19.7%14.6%17.8%3.6%3.3%-177.7K2.2M-16.6K19.7056.70N/AN/A1452,8573585,684
2017-03-23$30.19$27.0018.0%5.2%19.7%14.4%18.9%3.6%3.9%-174.2K2.2M-15.7K19.2082.20N/AN/A1583,0343765,691
2017-03-24$30.35$29.0019.8%5.7%19.3%17.8%21.7%6.1%2.7%-198.6K2.2M-16.4K20.8689.72N/AN/A1543,2133915,880
2017-03-27$30.61$29.0018.3%5.2%19.3%15.0%20.9%6.7%3.1%-231.6K2.4M-18.3K24.0970.88N/AN/A1503,6133886,481
2017-03-28$30.72$29.0017.5%5.0%19.3%13.4%23.1%7.2%3.9%-231.0K2.4M-18.9K25.1075.89N/AN/A1443,6153926,481
2017-03-29$30.52$29.0016.0%4.6%18.7%10.6%17.3%5.1%4.6%-234.3K2.4M-17.2K10.6471.78N/AN/A3413,6283986,499
2017-03-30$30.36$29.0018.7%5.4%18.0%15.8%20.2%3.7%3.8%-192.4K2.3M-18.7K12.7495.66N/AN/A2673,4025986,512
2017-03-31$30.45$29.0016.3%4.7%16.9%11.2%19.6%1.9%6.3%-162.2K2.3M-19.9K13.7288.07N/AN/A2493,4177376,672