EWP Options History — October 2017

In October 2017, EWP traded between $32.03 and $33.84. ATM implied volatility averaged 16.0%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 4.2% (HV 20d: 20.1%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 3.66.

Notable Days

  • 2017-10-10: Highest Volume — 7,111 contracts
  • 2017-10-31: Largest IV drop — 22.9% change
  • 2017-10-04: Highest IV Rank — 46.1%
  • 2017-10-04: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.09$32.03$33.84$33.15$33.84
Max Pain$33.91$33.00$34.00$34.00$33.00
ATM IV16.0%13.5%19.9%17.7%13.5%
Expected Move4.6%3.9%5.7%5.1%3.9%
HV 20d20.1%15.1%22.4%16.4%22.4%
HV 60d15.5%13.0%17.6%13.0%17.6%
IV Rank29.1%18.7%46.1%36.6%18.7%
IV Percentile36.4%8.3%78.2%54.4%8.3%
Term Structure0.4%-1.1%1.5%0.6%0.7%
VWIV18.7%13.6%22.5%21.1%17.7%
Skew 25d4.7%3.3%6.0%3.3%6.0%
Skew 10d11.3%5.4%14.9%14.9%11.0%
Call IV 25d14.7%10.8%18.3%17.7%10.8%
Put IV 25d19.4%16.8%23.6%21.0%16.8%
Bid-Ask Spread %48.909.8793.4833.7527.48
Gamma HHI0.530.300.940.470.30
Net GEX-3.5M-18.7M517.4K-598.0K-980.2K
Net DEX9.0M-5.4M32.6M5.1M-5.4M
Net VEX-71.2K-105.7K-47.5K-105.7K-48.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.661.049.899.891.84
Total Volume2,867.3641,1857,1114,6192,166
Total OI32,916.45512,17245,37935,97618,268

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$33.15$34.0017.7%5.1%16.4%36.6%21.1%3.3%0.6%-598.0K5.1M-105.7K9.8933.75N/AN/A4244,19517,64818,328
2017-10-03$33.08$34.0016.9%4.8%15.1%33.2%22.5%4.0%0.8%-1.3M7.4M-101.0K8.109.87N/AN/A4293,47317,74119,384
2017-10-04$32.03$34.0019.9%5.7%18.8%46.1%20.3%5.3%-1.0%-2.7M32.6M-76.0K3.6618.17N/AN/A4681,71517,75219,479
2017-10-05$32.76$34.0017.0%5.0%20.7%33.7%18.2%5.1%0.7%-2.2M18.4M-92.0K5.1519.32N/AN/A4642,39117,91319,655
2017-10-06$32.87$34.0017.7%5.2%20.7%36.7%21.1%5.2%0.1%-2.8M18.1M-92.9K3.0020.04N/AN/A6241,87318,00520,568
2017-10-09$33.02$34.0017.4%5.2%19.7%35.5%22.3%5.3%0.5%-2.9M13.8M-86.8K3.7915.91N/AN/A5292,00518,14720,773
2017-10-10$33.58$34.0014.8%4.6%20.7%24.2%18.5%4.2%-0.5%517.4K-4.0M-85.5K6.4393.48N/AN/A9576,15418,32621,091
2017-10-11$33.57$34.0014.9%4.3%20.7%24.6%19.2%4.7%0.5%336.0K-426.4K-98.3K2.6116.20N/AN/A7561,97418,52325,594
2017-10-12$33.41$34.0015.7%4.5%20.7%28.2%18.3%4.4%1.0%-1.6M6.8M-90.8K1.8188.83N/AN/A1,1031,99618,49225,650
2017-10-13$33.31$34.0015.5%4.4%20.7%27.1%18.9%4.0%1.1%-3.7M9.9M-86.7K4.7789.32N/AN/A4222,01419,14025,699
2017-10-16$32.94$34.0016.0%4.6%21.0%29.3%19.9%4.4%0.6%-10.4M28.5M-72.7K4.4886.15N/AN/A4512,02219,18025,720
2017-10-17$33.03$34.0015.3%4.4%20.9%26.1%19.5%5.3%1.0%-11.2M24.9M-69.1K3.6050.53N/AN/A5852,10419,26425,654
2017-10-18$33.33$34.0014.7%4.2%20.9%23.6%14.6%4.9%1.5%-10.7M10.4M-60.2K3.0288.08N/AN/A6151,85819,45825,702
2017-10-19$33.20$34.0015.7%4.5%20.9%27.8%16.3%5.1%0.4%-18.7M15.6M-55.7K2.4875.49N/AN/A6021,49519,28326,096
2017-10-20$33.08$34.0015.0%4.3%20.9%24.9%21.8%5.3%1.1%-1.1M1.1M-47.5K4.1157.47N/AN/A5542,27719,28425,977
2017-10-23$32.64$34.0014.1%4.0%20.4%21.0%16.6%3.7%0.5%-1.4M4.3M-47.6K3.1979.31N/AN/A2839024,4707,702
2017-10-24$32.98$34.0014.4%4.1%20.6%22.6%14.9%4.4%1.1%-1.4M2.6M-47.5K1.0432.06N/AN/A6626904,5297,835
2017-10-25$32.98$34.0015.1%4.3%19.1%25.5%16.2%4.2%-0.1%-1.3M2.3M-48.3K1.6124.99N/AN/A6231,0024,9187,966
2017-10-26$33.19$34.0014.8%4.3%19.3%24.3%13.6%3.5%0.1%-1.2M919.0K-49.3K1.3526.26N/AN/A6078205,2458,233
2017-10-27$32.53$34.0017.5%5.0%20.3%35.6%20.0%4.9%-0.8%-1.2M5.2M-50.5K3.1092.12N/AN/A1,5624,8455,2448,238
2017-10-30$33.49$33.0017.5%5.0%22.2%35.8%19.1%5.4%-1.1%-1.5M-907.3K-54.5K1.5730.98N/AN/A9321,4596,01811,970
2017-10-31$33.84$33.0013.5%3.9%22.4%18.7%17.7%6.0%0.7%-980.2K-5.4M-48.4K1.8427.48N/AN/A7641,4026,21512,053