EWP Options History — August 2017

In August 2017, EWP traded between $33.36 and $34.69. ATM implied volatility averaged 13.9%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.7% (HV 20d: 11.3%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 2.56.

Notable Days

  • 2017-08-29: Highest Volume — 3,691 contracts
  • 2017-08-09: Largest IV spike — 60.3% change
  • 2017-08-11: Highest IV Rank — 28.5%
  • 2017-08-11: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.90$33.36$34.69$34.35$33.71
Max Pain$32.70$32.00$33.00$33.00$33.00
ATM IV13.9%9.2%18.0%13.2%13.1%
Expected Move4.1%3.5%5.2%3.8%3.7%
HV 20d11.3%6.6%14.1%7.0%13.7%
HV 60d12.9%12.3%13.9%13.9%12.7%
IV Rank14.7%0.0%28.5%9.6%12.7%
IV Percentile11.7%0.0%44.8%2.4%3.6%
Term Structure1.4%0.1%2.9%1.6%2.9%
VWIV15.6%12.2%18.3%14.3%16.5%
Skew 25d4.5%0.9%7.0%4.1%5.0%
Skew 10d8.5%0.6%14.6%7.2%12.9%
Call IV 25d12.0%9.8%14.7%11.1%10.5%
Put IV 25d16.5%12.4%19.8%15.3%15.6%
Bid-Ask Spread %39.759.4189.9315.9039.01
Gamma HHI0.220.170.330.260.33
Net GEX71.1K35.2K141.0K43.8K141.0K
Net DEX-3.4M-6.6M-1.7M-5.2M-6.6M
Net VEX-21.2K-34.3K-16.9K-24.1K-34.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.560.494.053.522.25
Total Volume1,962.3041,5093,6911,7091,762
Total OI5,509.6964,9436,9815,7546,981

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$34.35$33.0013.2%3.8%7.0%9.6%14.3%4.1%1.6%43.8K-5.2M-24.1K3.5215.90N/AN/A3781,3312,9862,768
2017-08-02$34.33$33.0013.6%3.9%7.0%11.0%12.2%0.9%1.1%45.5K-5.1M-24.4K4.0524.85N/AN/A3291,3312,9812,762
2017-08-03$34.49$32.0013.0%4.2%7.0%8.7%15.9%3.0%1.4%39.9K-5.3M-24.6K3.9646.38N/AN/A3291,3032,9732,762
2017-08-04$34.61$32.0011.2%3.7%7.0%2.9%16.6%3.8%2.1%43.3K-5.6M-23.1K1.8712.54N/AN/A6961,3032,9752,765
2017-08-07$34.69$32.0011.6%3.5%6.6%4.3%14.2%3.4%1.7%124.0K-6.2M-22.9K0.9717.11N/AN/A1,3411,3053,2852,765
2017-08-08$34.54$32.009.2%3.8%7.1%0.0%15.2%2.8%1.5%108.7K-5.0M-20.7K1.5155.18N/AN/A8781,3252,9202,757
2017-08-09$34.35$32.0014.7%4.2%7.5%17.8%15.5%3.4%0.9%105.1K-4.2M-20.1K1.9562.94N/AN/A6821,3282,7772,780
2017-08-10$33.57$32.0016.1%4.6%11.1%22.4%16.7%3.7%0.3%80.4K-3.1M-21.8K1.8532.27N/AN/A7261,3432,7602,780
2017-08-11$33.36$32.0018.0%5.2%11.2%28.5%18.1%5.1%0.1%55.5K-2.4M-22.0K1.5844.05N/AN/A9091,4322,7002,795
2017-08-14$33.89$33.0014.6%4.2%12.5%17.6%16.5%4.2%1.0%57.0K-2.5M-19.3K2.0355.33N/AN/A7131,4442,4562,889
2017-08-15$33.87$33.0014.4%4.1%12.4%17.0%15.7%3.6%1.3%57.7K-2.4M-18.4K2.0338.65N/AN/A7131,4442,4372,869
2017-08-16$34.01$33.0013.5%3.9%12.5%14.0%15.1%3.7%1.8%60.9K-2.6M-18.0K2.1855.96N/AN/A6601,4362,4372,869
2017-08-17$33.37$33.0016.5%4.7%14.1%23.6%14.9%3.9%0.3%46.0K-1.7M-19.1K1.8773.47N/AN/A7121,3342,4262,831
2017-08-18$33.52$33.0014.4%4.1%13.9%17.1%15.4%7.0%1.6%87.4K-1.9M-19.2K3.4930.36N/AN/A3821,3342,4712,834
2017-08-21$33.55$33.0014.9%4.3%13.8%18.4%16.9%6.8%1.8%86.7K-1.9M-18.4K3.6558.67N/AN/A3381,2322,4072,536
2017-08-22$33.63$33.0013.7%3.9%13.7%14.6%15.6%6.2%1.9%74.7K-1.9M-18.0K3.5323.44N/AN/A3391,1952,4092,597
2017-08-23$33.54$33.0013.2%3.8%13.5%12.9%15.4%5.8%1.9%67.2K-1.8M-17.5K3.6789.93N/AN/A3361,2342,4042,639
2017-08-24$33.55$33.0013.7%3.9%13.5%14.6%14.8%5.4%1.4%61.9K-1.8M-17.7K3.1916.53N/AN/A3761,2002,4102,684
2017-08-25$33.80$33.0013.6%3.9%13.6%14.5%15.7%6.1%1.5%46.6K-2.1M-16.9K3.8821.02N/AN/A3091,2002,3622,694
2017-08-28$33.76$33.0013.4%3.8%13.5%13.6%14.0%6.1%1.6%45.7K-2.1M-17.1K3.869.41N/AN/A3111,1992,3662,694
2017-08-29$33.63$33.0014.2%4.1%13.5%16.3%14.9%4.7%1.9%35.2K-1.9M-18.0K0.4946.01N/AN/A2,4801,2112,3682,695
2017-08-30$33.47$33.0016.9%4.9%13.5%25.1%18.3%5.5%1.5%121.1K-5.4M-32.1K1.6345.24N/AN/A7501,2203,9382,729
2017-08-31$33.71$33.0013.1%3.7%13.7%12.7%16.5%5.0%2.9%141.0K-6.6M-34.3K2.2539.01N/AN/A5421,2204,2502,731