EWP Options History — September 2017

In September 2017, EWP traded between $32.94 and $34.12. ATM implied volatility averaged 15.0%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.8% (HV 20d: 13.1%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 3.01.

Notable Days

  • 2017-09-21: Highest Volume — 28,679 contracts
  • 2017-09-05: Largest IV spike — 46.8% change
  • 2017-09-25: Highest IV Rank — 35.6%
  • 2017-09-05: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.62$32.94$34.12$33.72$33.73
Max Pain$33.95$33.00$34.00$33.00$34.00
ATM IV15.0%11.9%17.7%11.9%16.2%
Expected Move4.4%3.4%5.1%3.4%4.7%
HV 20d13.1%10.7%15.4%13.6%15.2%
HV 60d12.3%11.3%13.2%12.7%12.5%
IV Rank20.9%9.0%35.6%9.0%30.2%
IV Percentile23.3%1.6%50.0%1.6%38.1%
Term Structure2.1%0.4%3.9%2.7%0.5%
VWIV15.8%13.4%22.2%15.7%19.9%
Skew 25d5.6%3.4%9.5%5.0%9.5%
Skew 10d11.8%5.4%17.3%13.8%15.9%
Call IV 25d13.2%10.3%15.7%10.5%10.3%
Put IV 25d18.8%15.6%22.0%15.6%19.8%
Bid-Ask Spread %28.779.1559.0815.5347.32
Gamma HHI0.360.280.480.330.47
Net GEX326.3K-410.1K1.6M147.8K842.1K
Net DEX-6.2M-15.2M7.2M-6.7M-10.3M
Net VEX-59.1K-124.2K-31.5K-34.0K-113.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.011.066.162.236.16
Total Volume4,597.61,61028,6791,7382,449
Total OI15,526.37,04235,0827,04235,082

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$33.72$33.0011.9%3.4%13.6%9.0%15.7%5.0%2.7%147.8K-6.7M-34.0K2.2315.53N/AN/A5381,2004,3102,732
2017-09-05$33.11$34.0017.5%5.1%14.8%27.0%16.7%6.5%1.6%137.2K-5.7M-34.9K1.7532.38N/AN/A6991,2224,3582,728
2017-09-06$33.24$34.0016.1%4.9%14.9%22.4%15.8%5.4%3.0%146.5K-6.1M-35.4K1.9535.32N/AN/A6271,2224,4312,750
2017-09-07$33.38$34.0015.6%4.9%15.0%20.7%16.2%6.1%1.9%147.1K-6.4M-34.8K3.0948.84N/AN/A3941,2164,4792,750
2017-09-08$33.35$34.0017.7%5.0%12.7%27.7%14.5%4.8%1.9%150.3K-6.5M-34.7K3.0234.51N/AN/A4031,2174,4932,743
2017-09-11$33.94$34.0014.0%4.3%13.9%15.5%15.1%5.1%3.2%194.1K-7.8M-32.9K3.7154.56N/AN/A4031,4954,5602,742
2017-09-12$33.91$34.0013.7%4.3%12.8%14.8%15.2%5.1%3.1%135.8K-7.3M-33.8K3.4135.91N/AN/A4391,4954,5682,987
2017-09-13$33.78$34.0014.1%4.0%12.9%15.9%14.1%4.6%3.5%136.3K-7.0M-34.7K3.7417.39N/AN/A4011,4994,5802,987
2017-09-14$33.79$34.0013.7%3.9%12.8%14.7%13.7%5.7%3.9%159.7K-6.9M-34.3K3.9416.21N/AN/A3831,5084,5792,982
2017-09-15$33.78$34.0014.2%4.1%10.7%16.2%14.0%4.4%3.5%133.9K-6.8M-34.2K3.5222.03N/AN/A4281,5084,5802,992
2017-09-18$33.90$34.0014.3%4.1%10.7%16.6%14.1%5.1%1.4%144.2K-6.9M-32.5K4.1326.55N/AN/A3511,4494,3952,752
2017-09-19$34.12$34.0013.5%3.9%10.9%14.1%13.4%4.7%3.3%152.7K-7.4M-31.9K3.1613.79N/AN/A4101,2944,4012,752
2017-09-20$33.76$34.0014.3%4.1%11.6%16.6%15.5%5.3%2.5%96.5K-6.5M-34.0K3.6559.08N/AN/A3701,3524,3512,855
2017-09-21$33.75$34.0013.6%3.9%11.5%14.2%15.0%4.4%1.2%100.2K-6.4M-31.5K1.0713.94N/AN/A13,84514,8344,3712,909
2017-09-22$33.85$34.0013.2%3.8%11.6%17.5%14.3%3.4%2.0%1.3M-15.2M-124.2K1.0612.92N/AN/A13,86914,73817,87116,414
2017-09-25$33.22$34.0017.5%5.0%13.1%35.6%17.3%4.6%0.4%159.1K359.3K-119.4K4.0137.02N/AN/A4411,77017,89216,421
2017-09-26$32.94$34.0017.4%5.0%13.4%35.2%16.7%6.3%0.4%-410.1K7.2M-115.5K3.5528.68N/AN/A4071,44617,89716,914
2017-09-27$33.62$34.0015.3%4.4%15.4%26.1%16.5%7.8%1.1%1.6M-7.3M-119.8K1.5414.18N/AN/A9061,39617,90517,168
2017-09-28$33.54$34.0015.6%4.5%15.3%27.6%22.2%8.8%0.5%1.0M-4.1M-115.6K1.579.15N/AN/A9061,42217,64717,198
2017-09-29$33.73$34.0016.2%4.7%15.2%30.2%19.9%9.5%0.5%842.1K-10.3M-113.2K6.1647.32N/AN/A3422,10717,64717,435