EWP Options History — January 2018

In January 2018, EWP traded between $33.08 and $36.23. ATM implied volatility averaged 13.7%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.4% (HV 20d: 12.3%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.77.

Notable Days

  • 2018-01-05: Highest Volume — 2,306 contracts
  • 2018-01-30: Largest IV spike — 23.0% change
  • 2018-01-30: Highest IV Rank — 34.2%
  • 2018-01-30: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.93$33.08$36.23$33.08$35.64
Max Pain$33.57$33.00$34.00$33.00$34.00
ATM IV13.7%12.0%16.7%14.9%14.3%
Expected Move3.9%3.4%4.8%4.3%4.1%
HV 20d12.3%9.6%13.6%9.6%13.3%
HV 60d13.3%11.6%13.9%13.2%12.0%
IV Rank20.5%13.0%34.2%26.0%23.5%
IV Percentile17.3%2.4%67.9%32.5%30.6%
Term Structure0.8%0.1%1.8%0.1%0.6%
VWIV15.4%12.2%18.3%14.3%18.3%
Skew 25d3.0%1.8%5.9%3.8%5.9%
Skew 10d7.6%1.8%10.7%10.5%9.8%
Call IV 25d12.7%11.7%15.7%14.0%11.7%
Put IV 25d15.7%14.2%17.9%17.9%17.6%
Bid-Ask Spread %39.5811.81101.1311.8186.56
Gamma HHI0.250.110.480.270.15
Net GEX211.7K5.8K504.5K144.8K14.3K
Net DEX-5.8M-8.7M-2.3M-2.3M-4.8M
Net VEX-21.7K-25.6K-16.5K-17.6K-25.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.873.102.443.10
Total Volume1,6681,1022,3061,4981,102
Total OI5,998.7624,6047,3795,9265,203

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$33.08$33.0014.9%4.3%9.6%26.0%14.3%3.8%0.1%144.8K-2.3M-17.6K2.4411.81N/AN/A4351,0633,3642,562
2018-01-03$33.19$33.0014.1%4.1%9.7%22.6%14.3%2.9%0.2%154.3K-2.7M-16.5K2.3445.84N/AN/A4641,0883,3582,561
2018-01-04$33.94$33.0013.6%3.8%12.4%20.1%13.2%3.3%1.3%290.3K-4.3M-16.6K2.3476.40N/AN/A5011,1743,3822,590
2018-01-05$34.27$33.0012.5%3.8%12.6%15.3%15.5%1.9%1.2%394.0K-5.1M-17.7K1.0244.33N/AN/A1,1411,1653,4862,668
2018-01-08$33.97$33.0013.8%3.9%13.0%20.9%15.2%2.8%0.9%365.7K-5.2M-21.9K1.0040.08N/AN/A9659683,9242,668
2018-01-09$33.99$33.0013.4%3.8%12.7%19.0%14.5%2.7%1.2%371.2K-5.3M-22.8K1.1723.52N/AN/A8289683,9782,801
2018-01-10$34.14$33.0013.5%3.9%12.7%19.5%13.6%2.7%0.6%403.3K-5.6M-21.9K2.4420.15N/AN/A3969683,9682,801
2018-01-11$34.56$33.0012.0%3.4%13.2%13.0%14.4%2.9%1.2%504.5K-6.8M-21.5K1.5581.65N/AN/A6429943,9952,801
2018-01-12$34.95$33.0013.6%3.9%13.6%19.9%14.5%1.8%1.0%446.0K-8.1M-21.2K2.2929.89N/AN/A5381,2334,0022,801
2018-01-16$35.24$34.0014.1%4.0%13.0%22.4%16.0%4.0%0.6%366.6K-8.7M-21.0K1.4732.63N/AN/A8681,2734,0503,051
2018-01-17$35.16$34.0014.0%4.0%13.0%22.1%15.5%3.9%0.7%362.9K-8.7M-23.3K1.3024.62N/AN/A8901,1544,2043,121
2018-01-18$35.03$34.0013.6%3.9%12.7%20.2%15.6%3.6%1.1%421.0K-7.7M-23.4K1.7449.34N/AN/A7351,2814,0953,170
2018-01-19$35.23$34.0013.3%3.8%11.8%18.7%16.1%4.0%1.3%37.3K-8.4M-24.3K1.8428.67N/AN/A6841,2624,1133,266
2018-01-22$35.73$34.0012.4%3.5%12.3%14.6%15.8%3.3%1.8%33.6K-6.6M-23.0K0.8723.35N/AN/A1,1209753,0161,969
2018-01-23$35.78$34.0013.1%3.8%12.3%17.8%16.0%3.4%0.7%11.2K-5.2M-21.8K2.0324.46N/AN/A4889932,5972,007
2018-01-24$35.96$34.0013.8%4.0%11.7%21.2%15.9%3.0%0.5%5.8K-5.2M-22.7K1.8425.07N/AN/A5269682,6342,108
2018-01-25$36.10$34.0013.7%3.9%11.5%20.6%16.5%2.2%0.5%11.1K-5.4M-22.2K1.5724.64N/AN/A4927712,6602,110
2018-01-26$36.23$34.0013.4%3.9%11.3%19.4%12.2%2.0%0.7%27.4K-5.7M-22.5K1.3418.92N/AN/A5657562,7282,116
2018-01-29$35.83$34.0013.6%3.9%12.5%20.1%18.1%1.8%0.3%42.5K-5.3M-23.2K1.42101.13N/AN/A5638012,8262,124
2018-01-30$35.46$34.0016.7%4.8%13.4%34.2%17.4%1.8%0.6%38.0K-4.7M-25.3K2.1018.16N/AN/A3978332,9212,175
2018-01-31$35.64$34.0014.3%4.1%13.3%23.5%18.3%5.9%0.6%14.3K-4.8M-25.6K3.1086.56N/AN/A2698332,9292,274