EWP Options History — July 2017

In July 2017, EWP traded between $32.92 and $34.21. ATM implied volatility averaged 14.6%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.1% (HV 20d: 12.5%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 4.32.

Notable Days

  • 2017-07-10: Highest Volume — 2,969 contracts
  • 2017-07-14: Largest IV drop — 13.5% change
  • 2017-07-05: Highest IV Rank — 20.1%
  • 2017-07-05: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.44$32.92$34.21$32.98$34.21
Max Pain$33.15$32.00$34.00$33.00$33.00
ATM IV14.6%12.4%16.9%15.3%13.8%
Expected Move4.2%3.5%4.8%4.4%4.0%
HV 20d12.5%7.0%16.0%16.0%7.0%
HV 60d17.2%14.5%18.9%18.9%14.5%
IV Rank13.8%6.7%20.1%15.0%11.5%
IV Percentile8.4%0.4%24.2%10.7%5.2%
Term Structure1.9%0.3%2.8%1.4%0.3%
VWIV15.4%13.4%19.2%16.8%13.5%
Skew 25d5.6%4.1%8.2%7.5%7.1%
Skew 10d8.1%2.6%13.0%2.6%6.0%
Call IV 25d11.2%8.0%14.4%9.7%8.1%
Put IV 25d16.8%14.8%20.4%17.2%15.1%
Bid-Ask Spread %36.8311.7596.6339.1318.23
Gamma HHI0.260.180.340.220.27
Net GEX-136.5K-324.6K49.1K-260.9K49.1K
Net DEX-3.3M-4.9M-1.6M-1.8M-4.9M
Net VEX-28.6K-33.4K-25.4K-32.8K-25.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.323.195.454.873.74
Total Volume2,463.051,8032,9692,8781,803
Total OI8,527.55,4809,8919,6495,742

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$32.98$33.0015.3%4.4%16.0%15.0%16.8%7.5%1.4%-260.9K-1.8M-32.8K4.8739.13N/AN/A4902,3882,7756,874
2017-07-05$32.95$33.0016.9%4.8%15.9%20.1%19.2%8.2%2.8%-304.6K-1.6M-33.4K4.9450.68N/AN/A4792,3642,7776,872
2017-07-06$32.92$32.0016.4%4.8%15.7%18.4%16.5%5.2%1.9%-272.1K-1.6M-32.7K4.0323.97N/AN/A5832,3482,7756,871
2017-07-07$33.05$32.0015.0%4.6%15.6%14.1%16.2%4.5%2.1%-280.1K-2.3M-31.3K4.1821.53N/AN/A5712,3882,8976,872
2017-07-10$32.93$33.0015.3%4.7%15.6%15.0%16.2%4.6%1.7%-299.5K-2.1M-30.5K4.1122.39N/AN/A5812,3882,8956,859
2017-07-11$33.03$33.0014.8%4.6%15.4%13.7%15.8%4.7%2.3%-324.6K-2.2M-30.1K4.0215.57N/AN/A5882,3652,9026,859
2017-07-12$33.17$33.0015.7%4.5%15.1%17.8%15.4%4.5%1.9%-280.7K-2.7M-28.8K4.8947.56N/AN/A4872,3812,8916,827
2017-07-13$33.49$33.0015.2%4.4%15.3%16.3%14.9%6.0%2.3%-209.3K-3.4M-28.0K4.4315.21N/AN/A4511,9992,8856,827
2017-07-14$33.62$33.0013.2%3.8%14.1%9.4%14.0%6.0%2.6%-153.2K-3.8M-28.0K4.3330.06N/AN/A4662,0192,8896,827
2017-07-17$33.49$34.0014.7%4.2%13.4%14.7%14.1%5.3%2.5%-161.7K-3.8M-27.6K4.6611.75N/AN/A4352,0282,9676,857
2017-07-18$33.39$34.0014.3%4.1%13.4%13.2%14.8%4.2%2.6%-209.2K-3.6M-27.2K5.3857.68N/AN/A4122,2182,9736,857
2017-07-19$33.44$34.0014.7%4.2%9.9%14.7%15.2%4.4%2.5%-130.3K-3.8M-27.1K5.0142.27N/AN/A4332,1712,9766,857
2017-07-20$33.67$34.0013.7%3.9%10.0%11.1%17.6%7.4%2.5%-78.8K-4.0M-27.6K5.0096.63N/AN/A4342,1712,9756,904
2017-07-21$33.39$34.0014.7%4.2%10.4%14.7%15.4%4.1%1.9%29.1K-3.8M-27.2K5.4520.91N/AN/A3852,0982,9876,904
2017-07-24$33.49$33.0015.1%4.3%10.4%16.0%15.1%4.2%0.7%31.8K-3.6M-26.8K3.8925.19N/AN/A3731,4502,7992,681
2017-07-25$33.68$33.0013.2%3.8%10.5%9.6%15.7%5.5%1.2%18.0K-3.9M-26.9K3.1917.38N/AN/A4611,4712,8412,737
2017-07-26$33.91$33.0013.9%4.0%10.1%11.9%15.7%6.0%1.4%24.7K-4.3M-27.9K3.5783.37N/AN/A4041,4432,9182,758
2017-07-27$33.93$33.0012.4%3.5%8.7%6.7%13.4%6.7%2.3%37.4K-4.5M-26.2K3.4044.36N/AN/A4211,4332,9512,758
2017-07-28$34.15$33.0013.7%3.9%7.2%11.1%13.4%6.8%1.5%44.7K-4.7M-26.1K3.2052.66N/AN/A4481,4332,9762,758
2017-07-31$34.21$33.0013.8%4.0%7.0%11.5%13.5%7.1%0.3%49.1K-4.9M-25.4K3.7418.23N/AN/A3801,4232,9842,758