EWP Options History — November 2018

In November 2018, EWP traded between $27.95 and $29.09. ATM implied volatility averaged 24.0%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.5% (HV 20d: 20.5%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 9.64.

Notable Days

  • 2018-11-08: Highest Volume — 4,649 contracts
  • 2018-11-08: Largest IV spike — 55.9% change
  • 2018-11-01: Highest IV Rank — 56.0%
  • 2018-11-01: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.54$27.95$29.09$28.17$28.50
Max Pain$27.05$25.00$30.00$30.00$27.00
ATM IV24.0%19.6%40.9%40.9%25.6%
Expected Move6.9%5.8%11.7%11.7%7.3%
HV 20d20.5%17.5%23.3%21.4%19.7%
HV 60d18.7%18.1%19.4%19.1%19.4%
IV Rank24.5%16.2%56.0%56.0%27.4%
IV Percentile87.4%74.2%98.0%98.0%94.4%
Term Structure-3.2%-8.7%7.7%-8.1%-4.8%
VWIV25.2%20.1%36.1%36.1%24.9%
Skew 25d4.6%-7.7%9.5%4.6%3.8%
Skew 10d6.9%-2.3%19.1%2.9%-2.3%
Call IV 25d20.7%17.5%32.5%21.3%21.2%
Put IV 25d25.3%22.5%27.9%25.8%25.1%
Bid-Ask Spread %101.6061.69132.46132.4690.37
Gamma HHI0.190.160.200.160.20
Net GEX-180.6K-207.1K-115.0K-115.0K-199.2K
Net DEX3.4M2.5M4.1M3.8M3.6M
Net VEX-13.8K-16.9K-11.6K-15.9K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.643.2919.563.2919.18
Total Volume3,835.2863,2284,6493,8583,229
Total OI5,023.4764,5895,2504,5895,066

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$28.17$30.0040.9%11.7%21.4%56.0%36.1%4.6%-8.1%-115.0K3.8M-15.9K3.29132.46N/AN/A9002,9581,1663,423
2018-11-02$28.38$30.0020.1%5.8%21.6%17.0%20.1%7.1%7.7%-141.5K3.2M-13.1K3.29106.19N/AN/A9002,9581,1663,423
2018-11-05$28.34$25.0023.4%6.7%21.5%23.2%28.2%5.7%-3.0%-144.9K3.0M-12.8K3.30101.47N/AN/A9002,9681,1663,423
2018-11-06$28.77$26.0021.3%5.9%22.3%19.3%22.2%6.2%-2.0%-163.0K3.1M-11.8K3.44105.41N/AN/A9003,1001,1663,433
2018-11-07$29.09$26.0019.6%5.8%22.1%16.2%21.0%3.7%-1.5%-158.7K2.9M-15.4K4.0098.73N/AN/A9003,5991,1663,920
2018-11-08$28.71$26.0030.6%7.9%22.5%36.8%24.2%-7.7%-8.7%-161.1K2.5M-16.9K4.17131.52N/AN/A9003,7491,1663,917
2018-11-09$28.84$27.0021.2%6.0%21.9%19.2%22.8%4.4%-1.7%-184.0K3.4M-14.7K4.17118.17N/AN/A9003,7491,1684,067
2018-11-12$28.21$27.0024.7%6.8%23.3%25.7%24.0%5.8%-3.4%-202.8K3.8M-14.7K4.17113.15N/AN/A9003,7491,1684,067
2018-11-13$28.44$27.0021.3%6.7%22.7%19.4%24.7%7.3%-6.3%-188.5K3.6M-14.4K3.56103.66N/AN/A9143,2571,1684,066
2018-11-14$28.78$27.0022.1%6.3%22.6%20.9%23.7%3.1%-3.5%-180.9K3.4M-14.2K3.5696.58N/AN/A9143,2581,1734,074
2018-11-15$28.76$27.0022.1%6.3%19.8%20.9%25.9%4.4%-6.4%-176.7K3.7M-14.2K3.56100.05N/AN/A9143,2581,1734,077
2018-11-16$28.79$27.0021.8%6.2%18.8%20.2%24.2%4.0%-2.0%-181.2K3.5M-14.4K3.5661.69N/AN/A9143,2581,1734,047
2018-11-19$28.54$27.0021.0%6.0%18.1%18.8%24.7%4.7%-1.2%-194.7K3.4M-13.5K3.5777.68N/AN/A8753,1211,1183,920
2018-11-20$27.95$27.0023.8%6.8%19.8%23.9%27.5%6.6%-3.2%-203.4K4.1M-13.6K19.5685.22N/AN/A1573,0711,1183,940
2018-11-21$28.20$27.0023.2%6.7%17.5%22.9%24.3%6.1%-2.4%-207.1K3.9M-13.6K19.56103.30N/AN/A1573,0711,1203,940
2018-11-23$27.95$27.0024.2%6.9%17.6%24.7%25.0%5.5%-3.7%-205.5K4.0M-13.1K19.5692.80N/AN/A1573,0711,1203,940
2018-11-26$28.58$27.0021.3%6.1%19.1%19.4%28.0%6.8%-3.8%-196.9K3.5M-13.2K19.3097.45N/AN/A1593,0691,1203,940
2018-11-27$28.50$27.0024.3%7.0%19.2%24.9%24.6%4.3%-4.3%-196.1K3.6M-12.7K19.1899.76N/AN/A1603,0691,1233,941
2018-11-28$29.00$27.0028.0%8.0%19.7%32.0%27.9%9.5%-2.5%-195.5K3.2M-12.5K19.18112.33N/AN/A1603,0691,1243,941
2018-11-29$28.74$27.0024.1%6.9%20.1%24.6%25.6%-0.1%-2.0%-195.6K3.4M-12.9K19.18105.59N/AN/A1603,0691,1243,942
2018-11-30$28.50$27.0025.6%7.3%19.7%27.4%24.9%3.8%-4.8%-199.2K3.6M-11.6K19.1890.37N/AN/A1603,0691,1243,942