EWP Options History — September 2018

In September 2018, EWP traded between $28.94 and $31.12. ATM implied volatility averaged 17.3%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.0% (HV 20d: 17.3%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.81.

Notable Days

  • 2018-09-20: Highest Volume — 1,277 contracts
  • 2018-09-05: Largest IV spike — 11.0% change
  • 2018-09-07: Highest IV Rank — 20.7%
  • 2018-09-05: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.97$28.94$31.12$29.71$29.59
Max Pain$28.11$28.00$29.00$29.00$28.00
ATM IV17.3%13.7%22.0%18.4%15.3%
Expected Move4.9%3.9%5.9%5.3%4.4%
HV 20d17.3%15.0%19.1%19.0%18.0%
HV 60d16.6%16.0%17.1%16.4%16.3%
IV Rank11.9%5.1%20.7%14.0%8.1%
IV Percentile59.4%15.9%91.3%74.6%42.1%
Term Structure0.1%-2.4%1.4%0.2%0.9%
VWIV18.2%12.8%27.2%20.0%15.8%
Skew 25d3.8%1.8%8.7%8.7%1.8%
Skew 10d9.0%1.7%20.4%12.4%1.7%
Call IV 25d15.4%11.0%20.0%13.1%17.0%
Put IV 25d19.2%16.2%24.3%21.8%18.8%
Bid-Ask Spread %30.276.69108.7520.5220.00
Gamma HHI0.330.260.440.280.35
Net GEX-56.3K-169.7K69.8K-37.9K-169.7K
Net DEX1.3M-61.7K2.2M1.1M2.2M
Net VEX-10.7K-12.5K-8.9K-12.3K-9.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.811.422.151.422.03
Total Volume1,171.7891,0011,2771,1841,056
Total OI3,286.2112,9283,5303,2273,040

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$29.71$29.0018.4%5.3%19.0%14.0%20.0%8.7%0.2%-37.9K1.1M-12.3K1.4220.52N/AN/A4906941,0492,178
2018-09-05$29.66$29.0020.5%5.9%18.6%17.8%21.5%6.4%-2.4%-39.8K999.9K-12.5K1.4258.37N/AN/A4906961,0492,178
2018-09-06$29.38$28.0020.0%5.6%18.7%17.0%27.2%3.0%0.0%-45.0K1.4M-12.2K1.44108.75N/AN/A4907051,0492,196
2018-09-07$28.94$28.0022.0%5.7%19.1%20.7%22.9%2.5%0.4%-73.3K1.9M-12.0K1.7199.56N/AN/A4066951,0492,207
2018-09-10$29.45$28.0021.4%5.5%17.4%19.6%20.8%3.4%-0.2%-37.3K1.4M-11.7K1.4712.15N/AN/A4065951,0612,207
2018-09-11$29.46$28.0020.2%5.6%17.2%17.3%20.5%4.4%-1.1%-36.0K1.4M-11.6K1.9315.44N/AN/A4117921,0612,207
2018-09-12$29.44$28.0019.1%5.5%17.2%15.2%20.9%4.1%-0.9%-57.9K2.0M-11.7K1.9012.48N/AN/A4117801,0632,444
2018-09-13$29.77$28.0017.2%4.9%16.2%11.6%19.7%3.1%0.4%-17.2K1.5M-11.4K1.8519.58N/AN/A4227801,0632,447
2018-09-14$29.72$28.0016.7%4.8%16.2%10.7%15.0%3.3%0.4%-6.7K1.6M-11.2K1.748.09N/AN/A4517851,0742,447
2018-09-17$29.94$28.0017.1%4.9%16.3%11.5%15.1%3.1%0.2%63.4K1.1M-10.6K1.8210.85N/AN/A4478131,0632,438
2018-09-18$30.17$28.0016.5%4.7%16.4%10.4%15.8%4.2%0.3%69.8K830.5K-10.0K1.826.69N/AN/A4478131,0642,403
2018-09-19$30.34$28.0016.4%4.7%15.0%10.1%15.2%4.5%0.5%61.3K567.8K-9.9K1.7617.11N/AN/A4487891,0652,403
2018-09-20$31.12$28.0014.9%4.3%17.5%7.3%16.0%2.9%1.4%-97.5K-61.7K-8.9K1.7920.95N/AN/A4588191,0652,414
2018-09-21$30.84$28.0014.9%4.3%17.5%7.3%13.9%4.0%0.9%-92.5K188.8K-9.1K1.7511.73N/AN/A4598051,0752,455
2018-09-24$30.58$28.0015.6%4.5%17.5%8.7%13.8%2.0%-0.5%-132.2K1.6M-9.2K2.0812.14N/AN/A3497256412,287
2018-09-25$30.58$28.0014.6%4.2%16.9%6.8%14.0%2.3%0.3%-135.6K1.5M-9.0K2.1511.25N/AN/A3587706732,288
2018-09-26$30.58$28.0013.7%3.9%16.8%5.1%25.3%6.2%0.7%-131.4K1.6M-10.0K2.1595.95N/AN/A3587706832,334
2018-09-27$30.24$28.0015.0%4.3%17.3%7.5%12.8%2.1%0.6%-154.8K1.8M-9.4K2.1113.56N/AN/A3487336842,334
2018-09-28$29.59$28.0015.3%4.4%18.0%8.1%15.8%1.8%0.9%-169.7K2.2M-9.8K2.0320.00N/AN/A3487086952,345