EWP Options History — June 2018

In June 2018, EWP traded between $30.01 and $32.04. ATM implied volatility averaged 19.5%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 6.3% (HV 20d: 25.8%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.74.

Notable Days

  • 2018-06-20: Highest Volume — 3,919 contracts
  • 2018-06-13: Largest IV spike — 120.7% change
  • 2018-06-13: Highest IV Rank — 72.1%
  • 2018-06-13: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.02$30.01$32.04$30.87$30.36
Max Pain$31.95$31.00$32.00$31.00$32.00
ATM IV19.5%13.0%48.9%17.4%18.5%
Expected Move5.3%3.7%14.0%5.0%5.3%
HV 20d25.8%16.4%28.5%26.2%16.4%
HV 60d19.2%18.6%19.9%18.8%18.7%
IV Rank18.8%6.9%72.1%15.0%16.9%
IV Percentile76.3%9.1%99.2%76.2%78.2%
Term Structure-1.0%-40.3%3.5%-0.7%0.3%
VWIV18.7%12.9%57.8%18.0%16.5%
Skew 25d8.2%3.5%51.9%8.6%6.0%
Skew 10d10.2%2.8%16.9%16.9%14.3%
Call IV 25d14.8%10.9%26.3%12.0%14.5%
Put IV 25d22.9%17.6%78.2%20.6%20.5%
Bid-Ask Spread %37.2210.62134.1916.2321.62
Gamma HHI0.340.240.450.320.30
Net GEX-64.8K-353.2K246.5K-163.2K-241.9K
Net DEX5.2M2.8M6.8M6.7M4.8M
Net VEX-24.9K-34.5K-15.0K-22.9K-30.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.741.164.814.192.75
Total Volume2,344.5711,5923,9191,9371,989
Total OI10,3429,01212,1579,25612,157

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$30.87$31.0017.4%5.0%26.2%15.0%18.0%8.6%-0.7%-163.2K6.7M-22.9K4.1916.23N/AN/A3731,5643,4795,777
2018-06-04$31.18$32.0018.6%4.7%26.5%17.2%15.0%6.2%1.4%-62.2K6.2M-21.6K3.8918.03N/AN/A3741,4553,5585,891
2018-06-05$30.93$32.0017.6%4.7%26.5%15.4%17.0%6.5%1.1%-167.8K6.8M-21.3K4.8110.62N/AN/A2741,3183,5665,893
2018-06-06$31.63$32.0016.9%4.3%28.1%14.1%15.1%7.7%2.4%70.5K5.0M-22.0K1.1611.57N/AN/A1,3231,5283,5675,947
2018-06-07$31.66$32.0018.5%4.5%28.0%16.9%17.6%6.0%2.5%43.9K4.9M-22.9K4.3816.47N/AN/A3551,5543,5616,106
2018-06-08$31.51$32.0017.2%4.2%27.6%14.5%18.0%6.8%3.2%13.4K5.4M-22.3K4.3112.85N/AN/A3551,5313,5416,102
2018-06-11$32.04$32.0021.2%4.3%28.5%21.9%17.0%5.6%2.3%215.1K3.6M-20.6K4.4213.61N/AN/A3461,5313,5416,102
2018-06-12$31.88$32.0022.2%4.8%28.5%23.6%18.6%4.5%-0.0%168.3K3.2M-20.9K4.4489.80N/AN/A3451,5313,5646,102
2018-06-13$31.96$32.0048.9%14.0%28.3%72.1%57.8%51.9%-40.3%-3.9K2.8M-31.2K4.31134.19N/AN/A3551,5313,5646,102
2018-06-14$31.70$32.0013.0%3.7%28.1%6.9%16.1%6.7%3.5%246.5K4.6M-18.3K4.1916.93N/AN/A3551,4883,5746,102
2018-06-15$31.36$32.0016.8%4.8%28.2%13.9%19.6%4.8%0.6%1.8K6.1M-18.9K4.1698.87N/AN/A3581,4883,5746,110
2018-06-18$31.03$32.0018.0%5.2%28.2%16.0%19.0%10.0%2.6%-117.5K6.8M-17.7K4.7085.69N/AN/A2991,4043,4975,548
2018-06-19$30.63$32.0015.8%4.5%28.5%12.1%19.5%5.3%0.4%-69.2K6.7M-15.0K1.8615.65N/AN/A1,2812,3883,4665,546
2018-06-20$30.63$32.0016.6%4.8%28.2%13.5%15.0%4.6%1.2%-60.3K4.2M-25.5K2.0017.15N/AN/A1,3072,6124,4385,675
2018-06-21$30.34$32.0019.0%5.4%27.9%17.8%17.9%4.7%0.7%-139.3K5.0M-34.5K4.7977.64N/AN/A5452,6125,4386,468
2018-06-22$30.72$32.0016.2%4.6%28.5%12.8%15.3%4.3%0.8%-5.4K3.3M-34.1K4.5066.97N/AN/A5812,6135,4386,433
2018-06-25$30.44$32.0019.4%5.6%27.3%18.7%17.3%7.4%-0.7%-193.8K4.8M-32.7K4.3118.71N/AN/A6052,6095,4716,437
2018-06-26$30.39$32.0019.6%5.6%18.5%18.9%12.9%7.0%-0.6%-194.8K4.5M-31.1K4.0413.36N/AN/A6052,4435,4956,433
2018-06-27$30.01$32.0019.5%5.6%16.6%18.8%14.6%3.5%-0.4%-347.9K6.6M-29.8K2.3012.43N/AN/A6281,4455,4956,448
2018-06-28$30.10$32.0019.0%5.4%16.7%17.8%14.4%3.5%-0.2%-353.2K6.3M-29.6K3.0013.25N/AN/A4841,4545,5186,458
2018-06-29$30.36$32.0018.5%5.3%16.4%16.9%16.5%6.0%0.3%-241.9K4.8M-30.0K2.7521.62N/AN/A5311,4585,6986,459