EWP Options History — June 2017

In June 2017, EWP traded between $32.43 and $33.77. ATM implied volatility averaged 16.0%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.0% (HV 20d: 15.0%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 5.14.

Notable Days

  • 2017-06-29: Highest Volume — 2,990 contracts
  • 2017-06-12: Largest IV spike — 69.3% change
  • 2017-06-12: Highest IV Rank — 38.5%
  • 2017-06-14: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.17$32.43$33.77$33.43$32.88
Max Pain$32.77$32.00$33.00$32.00$33.00
ATM IV16.0%12.9%23.0%14.8%15.3%
Expected Move4.4%3.7%5.0%4.2%4.4%
HV 20d15.0%11.7%20.2%20.2%16.0%
HV 60d18.5%17.4%19.2%19.2%19.0%
IV Rank17.1%7.8%38.5%13.4%15.0%
IV Percentile15.4%0.8%67.1%4.0%10.7%
Term Structure2.2%-0.1%6.6%0.6%1.4%
VWIV17.1%13.3%21.5%14.0%17.2%
Skew 25d4.6%0.4%7.6%0.4%2.8%
Skew 10d7.7%0.4%11.4%0.4%7.1%
Call IV 25d13.2%10.0%14.7%13.0%14.7%
Put IV 25d17.8%13.4%19.9%13.4%17.5%
Bid-Ask Spread %28.3512.6270.6220.0120.31
Gamma HHI0.210.170.280.190.22
Net GEX-178.0K-283.1K-53.4K-109.1K-283.1K
Net DEX-1.2M-3.2M758.3K665.1K-1.0M
Net VEX-26.0K-33.7K-9.4K-9.6K-33.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.141.017.907.904.75
Total Volume2,174.2271,4422,9901,4422,903
Total OI7,987.2275,4779,5515,4799,551

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$33.43$32.0014.8%4.2%20.2%13.4%14.0%0.4%0.6%-109.1K665.1K-9.6K7.9020.01N/AN/A1621,2806024,877
2017-06-02$33.67$32.0012.9%3.7%18.3%7.8%15.5%3.9%-0.1%-102.8K543.5K-9.4K7.0919.74N/AN/A1831,2985974,880
2017-06-05$33.50$32.0017.5%4.5%16.8%21.6%17.3%6.0%2.6%-119.3K642.0K-9.9K7.0940.73N/AN/A1831,2986214,905
2017-06-06$33.36$32.0019.7%4.6%15.5%28.3%17.0%6.3%3.4%-123.5K758.3K-9.9K1.0134.89N/AN/A1,2911,3016214,905
2017-06-07$33.58$32.0016.7%4.6%14.8%19.2%18.8%7.6%3.4%-53.4K-1.9M-19.3K2.8233.02N/AN/A6401,8051,6734,908
2017-06-08$33.77$33.0016.7%4.3%14.9%19.1%17.2%4.6%3.1%-76.1K-2.6M-24.8K3.4222.08N/AN/A4401,5032,0835,455
2017-06-09$33.60$33.0013.6%4.3%14.1%9.9%18.2%4.6%2.7%-113.8K-2.5M-27.3K3.3629.05N/AN/A4041,3582,2175,650
2017-06-12$33.34$33.0023.0%4.6%14.3%38.5%17.7%5.7%3.0%-113.1K-2.5M-28.6K4.6127.14N/AN/A2981,3732,3775,744
2017-06-13$33.65$33.0016.4%4.3%14.2%18.2%17.8%5.1%4.2%-104.0K-3.0M-28.0K5.1219.26N/AN/A2681,3732,4375,756
2017-06-14$33.38$33.0017.5%5.0%14.0%21.7%18.2%5.9%1.5%-117.1K-2.7M-28.6K3.7970.62N/AN/A3731,4142,4315,757
2017-06-15$32.85$33.0014.5%4.2%13.2%12.6%21.5%5.3%6.6%-131.0K-2.0M-29.5K3.6063.62N/AN/A4031,4502,5635,811
2017-06-16$33.28$33.0015.3%4.4%13.8%14.9%19.7%4.9%4.3%-136.1K-2.7M-29.5K4.5026.52N/AN/A3211,4452,5775,809
2017-06-19$33.45$33.0013.4%3.9%11.7%9.4%13.3%2.2%3.0%-270.6K-3.2M-26.7K5.2220.52N/AN/A2751,4352,4045,774
2017-06-20$32.65$33.0015.6%4.5%14.6%15.9%17.1%4.0%0.9%-242.5K-1.4M-29.8K7.6824.23N/AN/A3172,4332,2886,144
2017-06-21$32.62$33.0015.5%4.4%14.3%15.5%17.0%3.4%0.8%-269.6K138.7K-33.2K6.1723.62N/AN/A3612,2272,3126,733
2017-06-22$32.48$33.0017.0%4.9%14.3%20.2%17.0%3.6%0.6%-265.8K256.1K-33.6K5.3823.11N/AN/A4142,2272,3726,753
2017-06-23$32.43$33.0016.0%4.6%14.2%17.2%15.9%5.5%1.2%-266.2K176.5K-33.5K6.4233.49N/AN/A3472,2272,4666,753
2017-06-26$32.56$33.0014.1%4.0%14.1%11.2%15.9%5.3%1.2%-275.6K-184.1K-31.6K7.2822.77N/AN/A3062,2272,4566,753
2017-06-27$32.91$33.0014.7%4.2%14.7%13.2%15.6%5.8%1.7%-269.6K-709.7K-31.6K6.7515.36N/AN/A3312,2342,4656,743
2017-06-28$33.41$33.0015.5%4.4%15.5%15.6%16.4%3.8%1.2%-222.1K-1.6M-30.9K5.1812.62N/AN/A4392,2762,4876,749
2017-06-29$32.97$33.0015.8%4.5%16.2%16.8%18.2%4.2%0.9%-250.9K-844.0K-31.8K3.8521.07N/AN/A6162,3742,4776,783
2017-06-30$32.88$33.0015.3%4.4%16.0%15.0%17.2%2.8%1.4%-283.1K-1.0M-33.7K4.7520.31N/AN/A5052,3982,6816,870