EWP Options History — April 2017

In April 2017, EWP traded between $29.78 and $32.28. ATM implied volatility averaged 22.7%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 7.1% (HV 20d: 15.6%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 9.43.

Notable Days

  • 2017-04-10: Highest Volume — 4,522 contracts
  • 2017-04-12: Largest IV spike — 37.5% change
  • 2017-04-21: Highest IV Rank — 39.5%
  • 2017-04-21: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.65$29.78$32.28$30.12$31.93
Max Pain$29.16$29.00$30.00$29.00$29.00
ATM IV22.7%16.4%31.3%17.3%19.1%
Expected Move6.9%4.9%9.0%4.9%5.5%
HV 20d15.6%9.6%21.4%17.6%21.2%
HV 60d16.3%15.3%18.3%15.5%18.2%
IV Rank23.3%11.5%39.5%13.0%16.5%
IV Percentile50.2%8.7%90.9%12.3%33.7%
Term Structure-2.1%-6.7%5.9%5.9%-1.0%
VWIV24.6%15.1%33.0%19.8%16.0%
Skew 25d5.0%-0.7%7.9%4.5%1.7%
Skew 10d12.9%-5.6%24.8%4.9%6.5%
Call IV 25d21.5%15.2%27.3%15.2%17.8%
Put IV 25d26.5%19.3%34.6%19.7%19.5%
Bid-Ask Spread %81.9549.41110.2668.34110.26
Gamma HHI0.190.180.260.190.20
Net GEX-142.0K-242.5K-11.6K-196.9K-12.5K
Net DEX997.7K-3.0M2.8M2.6M-2.7M
Net VEX-21.9K-26.8K-15.5K-19.8K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.433.4024.7524.754.09
Total Volume3,4861,9904,5223,5022,038
Total OI8,454.4217,5359,7167,5358,029

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$30.12$29.0017.3%4.9%17.6%13.0%19.8%4.5%5.9%-196.9K2.6M-19.8K24.7568.34N/AN/A1363,3667516,784
2017-04-04$30.19$29.0017.6%5.0%17.5%13.7%19.5%3.0%4.9%-202.7K2.8M-20.9K17.2375.70N/AN/A1993,4297556,836
2017-04-05$30.22$29.0017.7%5.1%17.4%13.8%22.3%3.8%5.0%-179.7K2.5M-21.4K16.7576.40N/AN/A1993,3338316,902
2017-04-06$30.54$30.0016.4%6.1%16.0%11.5%22.1%5.3%-0.4%-163.6K2.2M-20.5K16.5890.12N/AN/A2013,3338316,906
2017-04-07$30.40$30.0018.9%6.8%15.8%16.2%22.7%5.1%-1.2%-177.6K2.4M-21.0K7.4091.33N/AN/A4483,3178376,906
2017-04-10$30.09$30.0020.0%7.5%16.3%18.1%27.2%7.3%-3.7%-150.7K2.3M-21.7K4.6782.46N/AN/A7973,7251,0876,918
2017-04-11$30.09$29.0020.5%8.1%15.2%19.2%30.0%7.6%-6.0%-161.7K2.1M-24.7K9.9181.37N/AN/A3803,7651,4377,342
2017-04-12$29.98$29.0028.2%8.1%14.4%33.7%30.5%6.3%-4.3%-188.3K2.3M-26.8K9.4878.56N/AN/A3803,6041,6187,477
2017-04-13$29.78$29.0028.2%8.1%9.6%33.8%31.0%6.6%-5.5%-223.6K2.8M-26.8K7.1080.35N/AN/A5253,7261,6187,512
2017-04-17$29.99$29.0029.1%8.4%10.0%35.5%33.0%6.2%-5.1%-195.8K2.3M-26.5K7.1090.49N/AN/A5253,7261,7487,646
2017-04-18$29.96$29.0028.8%8.3%9.9%34.9%31.0%7.9%-5.3%-242.5K2.6M-26.3K6.6993.97N/AN/A5573,7261,7827,646
2017-04-19$30.11$29.0030.4%8.7%10.1%37.9%32.2%7.0%-6.4%-177.3K1.9M-25.9K6.8086.01N/AN/A5533,7601,7827,639
2017-04-20$30.39$29.0031.1%8.9%10.1%39.2%30.9%7.3%-6.7%-111.2K1.4M-25.0K13.7749.41N/AN/A2733,7581,7867,675
2017-04-21$30.34$29.0031.3%9.0%10.1%39.5%31.4%7.3%-6.1%-182.7K1.4M-25.0K9.2267.98N/AN/A3903,5952,0367,680
2017-04-24$31.97$29.0020.2%5.8%21.1%18.5%19.0%-0.7%-1.2%-88.4K-1.7M-19.2K3.4073.79N/AN/A5571,8911,7965,989
2017-04-25$32.28$29.0018.7%5.4%21.1%15.8%17.7%3.5%0.4%-15.2K-3.0M-15.5K4.8463.43N/AN/A3441,6641,9996,013
2017-04-26$32.03$29.0018.7%5.4%21.4%15.7%16.2%2.8%-0.6%-15.3K-2.7M-15.9K4.7898.51N/AN/A3501,6741,9836,033
2017-04-27$31.88$29.0019.1%5.5%21.4%16.4%15.1%2.5%-1.7%-11.6K-2.5M-16.4K4.6598.50N/AN/A3521,6381,9916,033
2017-04-28$31.93$29.0019.1%5.5%21.2%16.5%16.0%1.7%-1.0%-12.5K-2.7M-16.1K4.09110.26N/AN/A4001,6381,9936,036