EWP Options History — November 2017

In November 2017, EWP traded between $32.42 and $33.81. ATM implied volatility averaged 14.4%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 2.3% (HV 20d: 16.6%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.09.

Notable Days

  • 2017-11-03: Highest Volume — 2,196 contracts
  • 2017-11-22: Largest IV drop — 19.6% change
  • 2017-11-21: Highest IV Rank — 31.2%
  • 2017-11-21: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.99$32.42$33.81$33.81$33.65
Max Pain$33.95$33.00$34.00$33.00$34.00
ATM IV14.4%11.9%16.0%13.4%12.3%
Expected Move4.1%3.4%4.6%3.8%3.5%
HV 20d16.6%11.7%18.7%18.7%11.7%
HV 60d17.0%16.7%17.6%17.6%16.7%
IV Rank23.4%12.6%31.2%18.3%14.0%
IV Percentile22.0%1.6%47.6%7.1%2.4%
Term Structure1.2%0.4%2.6%0.7%1.5%
VWIV14.7%12.4%16.8%16.8%12.4%
Skew 25d3.5%2.0%4.8%4.0%3.5%
Skew 10d7.9%1.1%12.2%10.6%2.3%
Call IV 25d13.2%10.1%14.9%11.9%11.2%
Put IV 25d16.8%14.4%18.4%15.8%14.7%
Bid-Ask Spread %38.728.42107.59107.5974.30
Gamma HHI0.370.280.810.310.33
Net GEX-1.4M-5.5M703.8K-1.0M703.8K
Net DEX737.4K-6.6M9.1M-4.8M-6.5M
Net VEX-34.8K-50.0K-22.6K-49.0K-23.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.091.333.061.911.58
Total Volume1,700.191,0022,1962,1401,002
Total OI14,3847,71018,60218,3857,796

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$33.81$33.0013.4%3.8%18.7%18.3%16.8%4.0%0.7%-1.0M-4.8M-49.0K1.91107.59N/AN/A7351,4056,23312,152
2017-11-02$33.80$34.0013.3%4.1%17.2%17.9%14.8%3.3%0.7%-1.1M-4.6M-46.3K1.8482.10N/AN/A7201,3286,22812,151
2017-11-03$33.21$34.0015.5%4.5%18.5%28.8%15.1%4.1%0.6%-1.8M886.6K-50.0K1.9028.02N/AN/A7581,4386,21412,115
2017-11-06$33.11$34.0015.2%4.4%18.4%27.2%15.0%3.4%1.1%-2.3M2.0M-47.6K2.2911.77N/AN/A6281,4376,25412,201
2017-11-07$32.70$34.0015.0%4.3%17.8%26.6%16.8%3.1%1.2%-2.8M7.2M-47.4K2.1110.70N/AN/A6951,4656,23212,211
2017-11-08$32.79$34.0014.8%4.3%17.9%25.7%15.4%3.2%0.5%-3.0M5.0M-44.4K3.0620.37N/AN/A5251,6046,20312,217
2017-11-09$32.68$34.0014.5%4.2%17.9%24.4%14.4%3.9%0.8%-3.1M7.5M-43.2K2.3926.80N/AN/A6401,5326,30112,213
2017-11-10$32.62$34.0015.0%4.3%17.9%26.5%14.9%3.5%0.6%-3.2M7.9M-41.9K2.4884.56N/AN/A6191,5326,38712,215
2017-11-13$32.53$34.0015.4%4.4%17.5%28.4%16.2%4.0%0.4%-3.2M8.8M-37.6K2.7812.18N/AN/A5161,4366,38612,069
2017-11-14$32.61$34.0014.9%4.3%17.5%25.9%16.0%4.1%0.6%-3.3M7.8M-36.0K2.6918.53N/AN/A5311,4296,39112,118
2017-11-15$32.70$34.0015.0%4.3%17.1%26.5%14.9%2.5%0.6%-3.6M5.6M-34.4K2.5331.93N/AN/A5651,4326,38512,114
2017-11-16$32.91$34.0014.1%4.0%17.3%22.4%14.0%2.8%1.5%-5.5M2.7M-31.1K2.2410.44N/AN/A5981,3386,34912,108
2017-11-17$32.72$34.0013.8%4.0%17.4%21.2%14.2%3.1%1.8%434.3K9.1M-28.1K2.5711.39N/AN/A5121,3156,38612,108
2017-11-20$32.45$34.0016.0%4.6%16.9%31.1%14.8%2.9%1.5%381.6K-3.5M-26.7K1.479.72N/AN/A4817085,1282,589
2017-11-21$32.42$34.0016.0%4.6%16.5%31.2%13.6%4.8%1.4%359.8K-3.2M-25.8K1.338.42N/AN/A5126795,1362,574
2017-11-22$32.74$34.0012.9%3.7%16.9%16.9%13.9%2.0%2.6%416.2K-4.0M-25.1K1.3378.04N/AN/A5307065,1392,574
2017-11-24$33.15$34.0013.6%3.9%17.4%20.1%14.4%4.8%1.6%531.7K-4.9M-25.0K1.5792.09N/AN/A4507065,1642,635
2017-11-27$33.14$34.0014.0%4.0%15.7%21.7%13.0%3.2%1.8%542.6K-5.1M-23.1K1.5428.51N/AN/A4506935,1622,635
2017-11-28$33.35$34.0014.6%4.2%11.9%24.8%14.8%3.8%0.8%608.6K-5.9M-22.6K1.8416.38N/AN/A3666735,1622,632
2017-11-29$33.66$34.0011.9%3.4%11.7%12.6%13.0%4.3%1.8%671.9K-6.6M-23.2K2.4349.21N/AN/A2967195,1652,632
2017-11-30$33.65$34.0012.3%3.5%11.7%14.0%12.4%3.5%1.5%703.8K-6.5M-23.0K1.5874.30N/AN/A3886145,1812,615