EWP Options History — July 2018

In July 2018, EWP traded between $30.21 and $31.83. ATM implied volatility averaged 15.7%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 1.5% (HV 20d: 17.2%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.74.

Notable Days

  • 2018-07-03: Highest Volume — 3,834 contracts
  • 2018-07-11: Largest IV spike — 27.9% change
  • 2018-07-02: Highest IV Rank — 20.4%
  • 2018-07-02: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.15$30.21$31.83$30.21$31.54
Max Pain$31.10$31.00$32.00$32.00$31.00
ATM IV15.7%11.1%20.4%20.4%11.1%
Expected Move4.6%3.2%5.8%5.8%3.2%
HV 20d17.2%15.9%18.8%15.9%16.0%
HV 60d19.8%18.5%20.1%18.7%20.1%
IV Rank11.9%3.6%20.4%20.4%3.6%
IV Percentile52.4%0.8%88.9%88.9%0.8%
Term Structure0.0%-2.6%1.8%-0.8%1.8%
VWIV15.9%13.6%18.3%15.3%15.4%
Skew 25d4.2%2.2%6.7%4.4%5.0%
Skew 10d8.0%1.0%14.4%14.4%2.7%
Call IV 25d13.7%11.3%17.8%17.8%11.9%
Put IV 25d18.0%14.7%22.2%22.2%16.9%
Bid-Ask Spread %37.7412.45119.7526.7150.63
Gamma HHI0.540.300.760.300.73
Net GEX-85.6K-379.3K705.7K-321.3K-215.7K
Net DEX1.3M-1.8M6.1M6.1M-1.8M
Net VEX-17.7K-28.9K-10.7K-28.3K-10.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.492.722.721.62
Total Volume2,064.199403,8341,973997
Total OI9,356.2384,63612,34712,3444,664

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$30.21$32.0020.4%5.8%15.9%20.4%15.3%4.4%-0.8%-321.3K6.1M-28.3K2.7226.71N/AN/A5311,4425,7456,599
2018-07-03$30.46$32.0018.9%5.4%16.1%17.6%13.6%4.1%-0.2%-242.9K4.9M-28.9K0.6030.96N/AN/A2,3951,4395,7456,602
2018-07-05$31.41$31.0018.7%5.3%17.9%17.3%18.3%4.7%-0.3%212.6K1.0M-25.8K0.5285.70N/AN/A2,4161,2494,9476,604
2018-07-06$31.67$31.0014.8%4.6%18.1%10.2%17.9%4.9%0.4%494.0K-905.5K-24.1K0.5234.07N/AN/A2,4161,2494,9426,603
2018-07-09$31.83$31.0015.5%4.6%18.1%11.5%17.5%4.6%0.1%639.5K-1.8M-21.9K0.5617.75N/AN/A2,4161,3524,9426,589
2018-07-10$31.68$31.0013.4%4.4%17.1%7.6%16.5%3.7%0.2%705.7K-784.9K-21.2K0.5234.99N/AN/A2,4161,2534,9426,573
2018-07-11$30.99$31.0017.1%4.9%18.7%14.4%17.2%3.9%-0.2%-81.0K3.3M-20.4K0.4912.45N/AN/A2,4841,2244,9396,572
2018-07-12$31.13$31.0016.2%4.6%18.8%12.7%15.7%5.0%0.1%20.2K2.2M-18.7K2.5427.66N/AN/A4821,2245,0866,571
2018-07-13$30.97$31.0016.0%4.6%18.7%12.4%15.8%4.3%0.4%-222.7K3.1M-17.8K2.6357.91N/AN/A4831,2705,1016,571
2018-07-16$31.11$31.0016.3%4.7%18.4%12.9%16.0%4.5%0.4%-170.4K2.4M-16.4K2.6315.73N/AN/A4821,2705,1016,571
2018-07-17$30.97$31.0015.9%4.6%18.1%12.3%15.9%3.5%0.8%-288.0K3.1M-16.2K2.6516.42N/AN/A4751,2605,1016,571
2018-07-18$30.90$31.0015.5%4.4%17.5%11.4%15.3%3.4%0.6%-379.3K3.1M-15.2K2.5522.75N/AN/A5031,2845,1046,570
2018-07-19$30.82$31.0015.3%4.4%17.5%11.2%15.6%4.3%0.5%-263.1K3.0M-14.9K2.7029.82N/AN/A4771,2895,0806,506
2018-07-20$31.09$31.0015.9%4.6%17.3%12.2%15.7%3.9%0.3%-268.1K2.5M-14.5K2.4718.97N/AN/A5331,3155,0716,565
2018-07-23$31.12$31.0015.7%4.5%16.8%11.9%16.2%5.3%0.1%-225.0K325.2K-13.8K1.7719.45N/AN/A3396011,7862,850
2018-07-24$31.10$31.0014.3%4.1%16.4%9.4%14.1%3.6%1.0%-242.4K122.3K-13.5K1.7818.95N/AN/A3396051,7902,850
2018-07-25$31.26$31.0014.5%4.2%16.5%9.7%14.5%3.7%-0.1%-250.6K-167.8K-13.0K1.7930.61N/AN/A3396061,7902,856
2018-07-26$31.02$31.0015.1%4.3%16.0%10.8%13.6%6.7%-2.6%-244.9K61.1K-13.2K1.80100.93N/AN/A3436161,7902,867
2018-07-27$31.29$31.0015.8%4.5%16.2%12.1%17.4%3.2%-1.3%-232.6K-525.2K-12.4K1.83119.75N/AN/A3426251,7942,867
2018-07-30$31.55$31.0014.1%4.0%16.2%8.9%15.8%2.2%-0.1%-221.4K-1.3M-11.3K1.8320.27N/AN/A3426251,7972,867
2018-07-31$31.54$31.0011.1%3.2%16.0%3.6%15.4%5.0%1.8%-215.7K-1.8M-10.7K1.6250.63N/AN/A3816161,7972,867