EWP Options History — September 2019 In September 2019, EWP traded between $26.66 and $27.96. ATM implied volatility averaged 18.7%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 7.0% (HV 20d: 11.7%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.58.
Notable Days 2019-09-10 : Highest Volume — 41 contracts2019-09-18 : Largest IV spike — 12.9% change2019-09-18 : Highest IV Rank — 11.3%2019-09-18 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $27.54 $26.66 $27.96 $26.66 $27.84 Max Pain $27.90 $27.00 $28.00 $27.00 $28.00 ATM IV 18.7% 16.9% 20.3% 20.2% 18.0% Expected Move 5.3% 4.9% 5.8% 5.8% 5.2% HV 20d 11.7% 9.0% 16.0% 15.2% 9.1% HV 60d 13.6% 13.3% 13.9% 13.5% 13.3% IV Rank 9.1% 6.8% 11.3% 11.2% 8.2% IV Percentile 46.0% 32.5% 59.5% 57.9% 41.7% Term Structure 2.7% -0.2% 27.0% 0.2% 0.2% VWIV 19.1% 17.0% 23.8% 21.5% 18.9% Skew 25d 4.5% -1.1% 10.3% 10.3% 3.1% Skew 10d 3.9% -1.4% 10.3% 10.0% 3.1% Call IV 25d 15.7% 13.0% 17.9% 15.3% 16.6% Put IV 25d 20.2% 16.5% 25.6% 25.6% 19.7% Bid-Ask Spread % 101.79 77.20 140.72 82.84 92.81 Gamma HHI 0.28 0.21 0.34 0.21 0.32 Net GEX -4.9K -6.8K -2.1K -6.4K -4.3K Net DEX 367.5K 310.3K 467.9K 467.9K 344.5K Net VEX -1.1K -1.2K -921 -1.1K -921 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.00 1.28 0.33 0.00 Total Volume 6.05 0 41 5 0 Total OI 403.2 381 422 400 397
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-09-03 $26.66 $27.00 20.2% 5.8% 15.2% 11.2% 21.5% 10.3% 0.2% -6.4K 467.9K -1.1K 0.00 82.84 N/A N/A 0 5 103 297 2019-09-04 $26.93 $27.00 19.9% 5.7% 15.6% 10.8% 19.4% 7.8% -0.0% -6.3K 443.5K -1.1K 0.33 90.81 N/A N/A 6 2 103 296 2019-09-05 $27.23 $28.00 19.3% 5.8% 16.0% 10.0% 0.0% 5.0% 0.4% -6.2K 407.5K -1.2K 1.00 94.72 N/A N/A 2 2 109 298 2019-09-06 $27.26 $28.00 18.7% 5.4% 16.0% 9.1% 17.3% 2.7% 1.5% -6.1K 405.6K -1.1K 0.00 99.60 N/A N/A 0 1 110 298 2019-09-09 $27.38 $28.00 19.7% 5.3% 16.0% 10.5% 0.0% 6.6% 1.9% -6.0K 404.3K -1.1K 0.00 95.39 N/A N/A 0 0 109 295 2019-09-10 $27.63 $28.00 19.3% 5.1% 15.1% 10.0% 18.7% 4.3% 1.9% -6.8K 380.1K -1.1K 1.28 96.39 N/A N/A 18 23 109 295 2019-09-11 $27.59 $28.00 17.1% 4.9% 15.1% 7.0% 19.3% 3.5% 2.2% -2.6K 361.6K -1.1K 0.67 97.49 N/A N/A 9 6 122 288 2019-09-12 $27.84 $28.00 18.8% 5.4% 10.2% 9.2% 0.0% 7.0% 0.1% -2.3K 341.9K -1.2K 1.20 111.20 N/A N/A 5 6 131 291 2019-09-13 $27.96 $28.00 19.1% 5.5% 10.2% 9.7% 19.1% 2.7% -0.2% -3.3K 312.2K -1.2K 0.00 108.31 N/A N/A 0 3 126 291 2019-09-16 $27.62 $28.00 18.5% 5.3% 10.3% 8.8% 0.0% 4.1% 0.3% -2.3K 336.1K -1.1K 0.00 112.34 N/A N/A 0 0 126 287 2019-09-17 $27.62 $28.00 18.0% 5.2% 10.4% 8.2% 0.0% 5.9% 0.9% -2.1K 359.9K -1.1K 0.00 104.91 N/A N/A 0 0 126 287 2019-09-18 $27.70 $28.00 20.3% 5.8% 9.6% 11.3% 23.8% -1.1% 7.6% -4.5K 331.4K -1.1K 0.00 140.72 N/A N/A 0 1 126 287 2019-09-19 $27.82 $28.00 17.8% 5.1% 9.5% 7.9% 17.4% 2.1% 3.0% -2.4K 310.3K -1.1K 0.00 113.63 N/A N/A 4 0 126 286 2019-09-20 $27.79 $28.00 18.0% 5.2% 9.5% 8.3% 17.8% 5.9% 2.7% -5.4K 313.6K -1.1K 0.00 123.82 N/A N/A 0 6 126 286 2019-09-23 $27.62 $28.00 16.9% 4.9% 9.1% 6.8% 17.0% 5.2% 27.0% -5.6K 350.6K -972 0.20 95.05 N/A N/A 10 2 111 270 2019-09-24 $27.61 $28.00 18.6% 5.3% 9.0% 9.0% 0.0% 2.2% 2.1% -6.1K 361.5K -984 0.00 107.41 N/A N/A 0 0 111 277 2019-09-25 $27.52 $28.00 17.9% 5.1% 9.1% 8.1% 0.0% 7.0% 0.6% -6.0K 381.9K -941 0.00 77.20 N/A N/A 0 1 111 277 2019-09-26 $27.61 $28.00 18.0% 5.2% 9.1% 8.2% 0.0% 1.9% 1.7% -6.1K 369.9K -965 0.00 90.81 N/A N/A 0 0 111 277 2019-09-27 $27.64 $28.00 18.9% 5.4% 9.1% 9.5% 18.9% 3.5% 0.4% -6.2K 365.2K -958 0.00 100.44 N/A N/A 9 0 111 277 2019-09-30 $27.84 $28.00 18.0% 5.2% 9.1% 8.2% 0.0% 3.1% 0.2% -4.3K 344.5K -921 0.00 92.81 N/A N/A 0 0 120 277
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