EWP Options History — December 2017

In December 2017, EWP traded between $32.76 and $33.53. ATM implied volatility averaged 14.9%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.7% (HV 20d: 10.3%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.89.

Notable Days

  • 2017-12-18: Highest Volume — 1,796 contracts
  • 2017-12-11: Largest IV spike — 51.4% change
  • 2017-12-11: Highest IV Rank — 46.7%
  • 2017-12-20: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.13$32.76$33.53$33.38$32.76
Max Pain$32.25$31.00$34.00$33.00$33.00
ATM IV14.9%11.0%19.5%15.1%14.0%
Expected Move4.2%3.2%4.6%4.3%4.0%
HV 20d10.3%9.2%12.1%12.1%9.2%
HV 60d16.2%13.8%16.8%16.8%13.8%
IV Rank26.2%8.3%46.7%26.9%22.0%
IV Percentile33.9%0.4%90.5%34.9%18.7%
Term Structure0.5%-1.1%3.1%0.5%-0.1%
VWIV15.8%10.7%17.8%13.3%16.3%
Skew 25d3.9%1.2%5.8%4.1%2.9%
Skew 10d9.8%5.5%15.9%9.3%7.6%
Call IV 25d13.4%11.8%14.7%13.1%13.7%
Put IV 25d17.3%15.6%19.9%17.2%16.6%
Bid-Ask Spread %60.699.48101.6255.3011.74
Gamma HHI0.300.230.420.320.28
Net GEX403.0K105.9K831.7K681.5K117.5K
Net DEX-4.0M-6.3M-1.7M-5.9M-1.8M
Net VEX-18.8K-21.6K-16.9K-21.6K-18.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.652.701.642.29
Total Volume1,302.459611,7969741,547
Total OI7,0225,4908,3057,8685,909

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$33.38$33.0015.1%4.3%12.1%26.9%13.3%4.1%0.5%681.5K-5.9M-21.6K1.6455.30N/AN/A3696055,2812,587
2017-12-04$33.32$31.0015.4%4.6%10.3%28.1%17.3%5.1%0.0%665.5K-5.6M-21.0K1.6444.54N/AN/A3776175,2702,587
2017-12-05$33.19$31.0015.6%4.6%10.3%29.1%17.1%5.3%-0.5%584.9K-5.1M-20.7K1.6419.10N/AN/A3766175,2702,599
2017-12-06$33.03$31.0015.7%4.4%9.4%29.4%17.2%5.0%1.0%520.0K-4.7M-20.6K1.6325.47N/AN/A3786175,2692,598
2017-12-07$33.26$31.0016.8%4.3%9.6%34.5%17.8%4.6%0.7%631.4K-5.3M-20.2K1.7990.75N/AN/A3446175,2662,598
2017-12-08$33.53$31.0012.9%4.1%9.9%16.8%16.9%4.2%1.4%831.7K-6.3M-19.3K1.7690.10N/AN/A3516175,2632,598
2017-12-11$33.49$31.0019.5%4.6%9.8%46.7%15.7%4.0%-0.5%791.0K-6.1M-17.1K1.6943.76N/AN/A3636155,2462,598
2017-12-12$33.35$31.0019.3%4.5%9.9%45.9%17.0%5.5%0.5%592.0K-5.3M-16.9K1.9316.67N/AN/A3576895,2132,611
2017-12-13$33.35$32.0015.1%4.3%9.9%26.9%16.6%3.7%-0.1%542.8K-5.0M-18.6K2.4587.31N/AN/A3538655,2132,673
2017-12-14$33.05$32.0014.0%4.0%10.5%21.7%14.8%2.4%1.9%232.5K-4.2M-17.7K2.0299.54N/AN/A5791,1715,2142,873
2017-12-15$32.97$32.0012.9%3.7%10.3%16.8%14.9%3.5%3.1%412.0K-4.0M-18.9K1.66101.62N/AN/A5879775,4602,845
2017-12-18$33.39$33.0013.4%3.8%11.0%19.1%15.3%4.2%1.7%254.0K-4.4M-17.7K0.6593.00N/AN/A1,0897074,1602,508
2017-12-19$33.03$34.0015.0%4.3%11.3%26.4%16.0%3.5%-0.5%225.9K-1.7M-17.5K1.2092.71N/AN/A5867043,3332,528
2017-12-20$33.00$34.0016.2%4.6%11.3%31.7%17.5%5.4%-1.1%231.8K-2.3M-17.6K1.8894.33N/AN/A4308093,3452,394
2017-12-21$33.12$33.0015.0%4.3%10.9%26.7%16.1%3.7%0.2%206.8K-3.3M-17.4K2.7092.95N/AN/A4331,1673,3282,162
2017-12-22$32.90$33.0013.7%3.9%10.2%20.5%14.2%1.2%0.4%152.5K-2.0M-20.0K2.4293.71N/AN/A4441,0733,3332,589
2017-12-26$32.89$33.0011.0%3.2%10.2%8.3%10.7%5.8%1.8%146.7K-2.5M-18.1K2.2712.47N/AN/A4731,0733,3732,538
2017-12-27$32.85$33.0014.3%4.1%9.9%23.2%16.2%1.8%0.2%133.9K-2.0M-18.8K2.2139.32N/AN/A4771,0523,3682,538
2017-12-28$32.81$33.0014.2%4.1%9.2%22.7%14.5%3.0%0.1%105.9K-1.9M-18.2K2.249.48N/AN/A4761,0683,3652,537
2017-12-29$32.76$33.0014.0%4.0%9.2%22.0%16.3%2.9%-0.1%117.5K-1.8M-18.0K2.2911.74N/AN/A4701,0773,3622,547