EWP Options History — March 2018

In March 2018, EWP traded between $31.57 and $32.98. ATM implied volatility averaged 19.3%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.5% (HV 20d: 15.7%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.49.

Notable Days

  • 2018-03-19: Highest Volume — 1,871 contracts
  • 2018-03-22: Largest IV spike — 21.2% change
  • 2018-03-06: Highest IV Rank — 27.8%
  • 2018-03-02: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.54$31.57$32.98$32.56$32.55
Max Pain$30.29$30.00$33.00$33.00$30.00
ATM IV19.3%15.3%22.7%21.1%17.5%
Expected Move5.4%4.4%6.4%6.0%5.0%
HV 20d15.7%11.1%26.3%26.3%15.5%
HV 60d18.5%18.0%19.7%18.4%19.6%
IV Rank20.8%12.7%27.8%24.6%17.1%
IV Percentile80.2%49.6%94.0%92.1%71.8%
Term Structure1.3%-1.8%16.0%-0.0%0.2%
VWIV19.2%13.8%29.0%21.5%16.8%
Skew 25d4.9%2.3%8.2%4.7%3.9%
Skew 10d10.0%0.5%14.5%12.5%10.7%
Call IV 25d17.0%14.3%20.8%20.8%16.6%
Put IV 25d22.0%17.7%27.5%25.5%20.5%
Bid-Ask Spread %48.3713.5793.4278.6132.38
Gamma HHI0.190.150.220.210.17
Net GEX90.1K-13.3K143.7K135.7K55.4K
Net DEX1.0M-122.2K2.4M204.8K1.3M
Net VEX-18.6K-22.4K-16.2K-20.6K-16.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.491.893.511.893.37
Total Volume1,620.3331,3731,8711,4641,543
Total OI5,970.0485,6166,4225,6166,074

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$32.56$33.0021.1%6.0%26.3%24.6%21.5%4.7%-0.0%135.7K204.8K-20.6K1.8978.61N/AN/A5079573,1362,480
2018-03-02$32.58$33.0022.2%6.4%26.2%26.8%22.5%7.1%-1.6%125.9K406.0K-21.3K2.4084.06N/AN/A4241,0193,1362,592
2018-03-05$32.61$30.0020.4%5.4%24.5%23.1%21.2%6.6%-0.4%121.2K504.1K-20.2K2.3863.45N/AN/A4069673,1422,648
2018-03-06$32.78$30.0022.7%5.6%20.3%27.8%29.0%8.2%-0.3%124.3K-122.2K-22.4K2.3361.29N/AN/A4551,0623,1422,670
2018-03-07$32.86$30.0021.6%5.7%18.2%25.7%20.1%5.3%-1.4%119.0K350.4K-20.6K2.2464.00N/AN/A4551,0213,1412,771
2018-03-08$32.69$30.0019.5%5.4%17.1%21.3%19.2%5.0%0.3%118.2K652.2K-20.0K2.2527.60N/AN/A4551,0263,1412,776
2018-03-09$32.84$30.0018.9%5.2%13.8%20.1%17.6%4.5%0.7%124.9K423.6K-19.7K2.3348.56N/AN/A4581,0663,1412,791
2018-03-12$32.98$30.0022.5%5.3%13.7%27.5%17.6%4.5%0.2%129.9K299.1K-19.4K2.1613.57N/AN/A4671,0103,1462,829
2018-03-13$32.85$30.0019.7%5.4%12.8%21.8%17.3%5.0%-0.4%129.8K833.8K-19.1K2.5445.11N/AN/A4751,2083,1352,942
2018-03-14$32.89$30.0017.9%5.1%12.6%17.9%15.8%4.0%0.7%120.4K839.3K-18.5K2.5917.26N/AN/A4861,2583,1433,106
2018-03-15$32.68$30.0016.8%4.8%11.6%15.7%17.0%3.7%1.2%143.7K1.1M-17.7K2.8223.72N/AN/A4881,3763,1493,152
2018-03-16$32.90$30.0015.3%4.4%11.8%12.7%15.7%3.3%1.7%-13.3K1.3M-17.5K2.8431.02N/AN/A4861,3813,1493,273
2018-03-19$32.72$30.0017.2%4.9%11.9%16.5%18.1%5.0%-0.2%-7.6K1.2M-18.3K2.1622.72N/AN/A5921,2792,5693,151
2018-03-20$32.55$30.0015.8%4.5%12.0%13.6%13.8%4.8%16.0%44.8K1.2M-17.6K1.9638.44N/AN/A6041,1862,8503,127
2018-03-21$32.47$30.0015.4%4.4%11.1%12.8%26.9%2.3%8.4%63.5K1.3M-18.6K1.9890.94N/AN/A6041,1982,8623,126
2018-03-22$31.74$30.0018.6%5.3%12.6%19.5%19.5%5.7%3.9%74.2K2.3M-17.4K1.9275.16N/AN/A6031,1552,8623,136
2018-03-23$31.57$30.0020.5%5.9%12.4%23.4%19.0%6.2%0.4%75.9K2.4M-16.6K1.9593.42N/AN/A6031,1782,8723,099
2018-03-26$32.35$30.0018.7%5.4%15.3%19.6%17.5%4.2%0.4%63.6K1.2M-16.8K3.3526.78N/AN/A3461,1592,8723,072
2018-03-27$31.91$30.0022.1%6.3%15.2%26.7%20.1%4.4%-1.8%78.5K2.0M-16.6K3.3445.90N/AN/A3461,1542,8893,095
2018-03-28$32.31$30.0020.4%5.8%15.6%23.1%17.7%5.1%-1.1%65.0K1.3M-16.4K3.5131.71N/AN/A3471,2172,8893,095
2018-03-29$32.55$30.0017.5%5.0%15.5%17.1%16.8%3.9%0.2%55.4K1.3M-16.2K3.3732.38N/AN/A3531,1902,8893,185