EWP Options History — May 2017

In May 2017, EWP traded between $32.15 and $33.90. ATM implied volatility averaged 16.3%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 6.4% (HV 20d: 22.7%). Max pain ranged from $29.00 to $32.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 9.44.

Notable Days

  • 2017-05-02: Highest Volume — 2,433 contracts
  • 2017-05-25: Largest IV drop — 11.5% change
  • 2017-05-18: Highest IV Rank — 22.1%
  • 2017-05-01: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.03$32.15$33.90$32.15$33.41
Max Pain$31.64$29.00$32.00$29.00$32.00
ATM IV16.3%13.4%20.1%20.1%16.4%
Expected Move4.6%3.8%5.8%5.8%4.7%
HV 20d22.7%19.8%27.1%21.2%20.2%
HV 60d19.3%17.7%20.2%18.2%19.3%
IV Rank15.9%9.2%22.1%18.3%18.3%
IV Percentile12.6%1.6%41.3%41.3%13.1%
Term Structure-0.2%-3.2%2.0%-3.2%0.9%
VWIV16.4%12.7%21.5%17.2%14.1%
Skew 25d2.7%-9.7%5.0%2.7%0.2%
Skew 10d5.6%-39.4%17.1%10.0%0.5%
Call IV 25d15.2%11.5%30.2%18.8%13.3%
Put IV 25d17.8%13.5%21.5%21.5%13.5%
Bid-Ask Spread %71.0214.52119.5999.9618.16
Gamma HHI0.220.160.330.200.18
Net GEX-40.7K-138.4K46.6K5.4K-112.5K
Net DEX-2.7M-5.6M890.7K-3.1M745.4K
Net VEX-11.3K-14.6K-9.3K-14.6K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.442.5116.542.517.93
Total Volume1,946.51,4382,4332,3271,438
Total OI7,491.5455,0898,6698,0795,475

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$32.15$29.0020.1%5.8%21.2%18.3%17.2%2.7%-3.2%5.4K-3.1M-14.6K2.5199.96N/AN/A6631,6642,0456,034
2017-05-02$32.38$29.0018.3%5.2%20.7%14.9%20.2%4.2%-1.0%30.4K-3.8M-14.3K2.61102.17N/AN/A6741,7592,1456,045
2017-05-03$32.39$30.0018.6%5.3%20.7%15.6%21.5%-9.7%-0.2%9.3K-3.7M-14.6K3.69119.59N/AN/A4751,7552,1666,144
2017-05-04$33.22$32.0018.7%4.9%22.1%15.8%18.4%5.0%0.3%26.0K-4.9M-12.0K3.7697.11N/AN/A4751,7852,1776,144
2017-05-05$33.90$32.0017.7%4.5%22.7%13.9%15.6%3.2%0.3%11.3K-5.6M-10.8K9.3894.31N/AN/A2051,9232,1956,186
2017-05-08$33.27$32.0017.4%4.9%24.0%21.3%18.1%3.0%-2.3%-11.0K-4.8M-11.9K9.6491.34N/AN/A2001,9282,2456,389
2017-05-09$32.85$32.0015.7%4.8%24.2%16.2%17.1%2.5%-1.2%-10.9K-4.4M-12.1K12.16100.62N/AN/A1571,9092,2466,423
2017-05-10$32.90$32.0015.2%4.3%24.2%14.6%16.7%2.8%0.2%-5.8K-4.1M-13.1K15.0372.86N/AN/A1271,9092,1996,434
2017-05-11$32.45$32.0016.4%4.7%24.9%18.5%16.1%3.2%0.3%33.5K-3.6M-12.5K6.30101.96N/AN/A3031,9082,2026,434
2017-05-12$32.68$32.0015.3%4.4%24.6%14.8%15.6%3.2%-0.8%46.6K-3.8M-11.6K6.0698.42N/AN/A3031,8352,1376,425
2017-05-15$33.03$32.0015.0%4.3%24.7%14.2%15.7%3.3%0.3%5.7K-4.4M-9.8K6.1096.70N/AN/A2961,8062,1416,424
2017-05-16$33.38$32.0015.4%4.4%24.6%15.4%15.7%3.7%0.5%-138.4K-4.8M-9.3K5.9265.24N/AN/A3041,8002,1416,449
2017-05-17$32.70$32.0016.7%4.8%26.3%19.2%17.7%3.3%-1.2%-59.1K-4.0M-11.0K13.82105.61N/AN/A1301,7972,1426,468
2017-05-18$32.52$32.0017.6%5.1%26.4%22.1%18.7%3.7%-1.6%36.8K-3.6M-12.1K14.8489.73N/AN/A1211,7962,1416,472
2017-05-19$33.22$32.0015.8%4.5%27.1%16.5%16.9%4.9%-0.4%-101.3K-4.7M-9.9K16.5452.39N/AN/A1252,0672,1426,472
2017-05-22$33.18$32.0015.4%4.4%20.4%15.4%16.3%2.6%0.4%-102.5K682.8K-9.4K13.4114.52N/AN/A1081,4485254,564
2017-05-23$33.42$32.0014.9%4.3%20.3%13.9%15.0%3.9%2.0%-104.7K602.4K-9.5K12.1745.21N/AN/A1151,4005354,719
2017-05-24$33.49$32.0015.1%4.3%20.0%14.5%13.5%4.3%1.6%-107.4K671.6K-10.0K12.0830.80N/AN/A1161,4015464,841
2017-05-25$33.57$32.0013.4%3.8%19.8%9.2%13.5%4.3%0.2%-109.0K605.2K-10.2K12.2225.14N/AN/A1161,4175474,838
2017-05-26$33.28$32.0014.1%4.1%20.2%11.5%12.7%2.8%1.2%-113.2K768.7K-10.1K12.9423.50N/AN/A1111,4365474,858
2017-05-30$33.22$32.0015.5%4.4%20.2%15.5%13.5%1.4%-0.4%-124.1K890.7K-10.3K8.6717.16N/AN/A1571,3615514,861
2017-05-31$33.41$32.0016.4%4.7%20.2%18.3%14.1%0.2%0.9%-112.5K745.4K-10.2K7.9318.16N/AN/A1611,2776024,873