EWP Options History — November 2019

In November 2019, EWP traded between $27.85 and $28.98. ATM implied volatility averaged 15.9%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 5.6% (HV 20d: 10.3%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.10.

Notable Days

  • 2019-11-07: Highest Volume — 3,341 contracts
  • 2019-11-13: Largest IV spike — 64.4% change
  • 2019-11-20: Highest IV Rank — 11.5%
  • 2019-11-20: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.39$27.85$28.98$28.79$28.37
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV15.9%10.9%19.6%14.3%18.6%
Expected Move5.1%4.1%5.6%4.1%5.3%
HV 20d10.3%8.6%12.3%12.2%10.0%
HV 60d11.8%11.0%13.4%13.3%11.2%
IV Rank6.2%0.0%11.5%3.3%10.2%
IV Percentile29.6%0.0%61.9%8.3%54.8%
Term Structure-1.7%-3.6%2.6%2.6%-3.6%
VWIV17.6%15.4%21.5%18.0%17.8%
Skew 25d3.8%-5.4%9.9%-5.4%4.8%
Skew 10d14.3%0.4%30.7%0.4%0.5%
Call IV 25d13.8%9.2%17.1%15.9%10.3%
Put IV 25d17.6%10.5%20.2%10.5%15.1%
Bid-Ask Spread %99.3186.48114.98114.9889.64
Gamma HHI0.570.270.810.430.61
Net GEX320.1K-11.4K518.9K-11.4K483.5K
Net DEX-894.5K-1.9M298.5K298.5K-1.2M
Net VEX-8.2K-13.1K-980-995-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.000.560.000.00
Total Volume313.103,34180
Total OI4,052.84135,8464135,580

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$28.79$28.0014.3%4.1%12.2%3.3%0.0%-5.4%2.6%-11.4K298.5K-9950.00114.98N/AN/A80103310
2019-11-04$28.98$28.0014.2%5.2%12.3%3.1%0.0%2.3%-1.4%-6.6K254.3K-1.0K0.00101.17N/AN/A00111310
2019-11-05$28.88$28.0014.8%5.2%11.4%3.9%0.0%2.4%-1.6%-8.2K272.0K-1.0K0.0099.86N/AN/A010111310
2019-11-06$28.73$28.0014.0%4.9%11.6%2.9%0.0%3.1%-1.1%-6.2K283.6K-9800.00105.62N/AN/A01111304
2019-11-07$28.78$28.0014.5%5.6%11.2%3.5%18.0%0.9%-1.1%-4.8K270.7K-9920.01107.18N/AN/A3,31130111305
2019-11-08$28.66$28.0012.3%5.1%8.7%0.5%0.0%2.4%-1.6%402.6K-1.9M-13.1K0.00108.40N/AN/A303,398335
2019-11-11$28.70$28.0011.5%4.9%8.6%0.0%16.9%6.5%-1.1%426.3K-1.7M-12.2K0.30106.32N/AN/A67203,401335
2019-11-12$28.28$28.0010.9%5.3%8.9%0.0%17.9%2.5%-1.5%314.1K-1.0M-9.7K0.03103.15N/AN/A1,558483,460355
2019-11-13$27.90$28.0017.9%5.1%9.8%9.3%17.4%2.5%-2.2%323.7K-850.2K-10.7K0.56103.76N/AN/A39225,016396
2019-11-14$27.85$28.0017.6%5.0%9.7%8.9%15.4%3.4%-1.1%260.7K-457.6K-8.1K0.07103.39N/AN/A409285,053402
2019-11-15$28.11$28.0016.8%4.8%10.2%7.9%0.0%0.9%-1.3%437.9K-1.5M-11.8K0.00112.07N/AN/A2905,453393
2019-11-18$28.20$28.0017.7%5.1%10.2%9.0%17.0%9.9%-1.6%501.5K-1.6M-11.7K0.1191.64N/AN/A1825,431368
2019-11-19$28.23$28.0017.4%5.0%10.1%8.6%16.4%2.4%-1.6%518.9K-1.7M-11.9K0.1486.48N/AN/A138205,442365
2019-11-20$28.06$28.0019.6%5.6%10.0%11.5%18.8%8.7%-2.9%443.1K-1.3M-11.2K0.0687.99N/AN/A5335,396365
2019-11-21$28.15$28.0017.3%5.0%10.1%8.5%21.5%2.4%-2.3%456.0K-1.3M-10.3K0.0288.06N/AN/A402105,390368
2019-11-22$28.18$28.0016.9%4.8%10.2%8.0%0.0%5.9%-2.6%423.2K-1.0M-9.3K0.00102.31N/AN/A505,181378
2019-11-25$28.34$28.0017.0%4.9%10.3%8.1%16.2%7.9%-2.4%481.7K-1.2M-9.9K0.2596.27N/AN/A415,186383
2019-11-26$28.31$28.0017.4%5.0%10.2%8.6%0.0%8.4%-3.1%470.3K-1.2M-9.9K0.0087.94N/AN/A005,186384
2019-11-27$28.38$28.0017.7%5.1%10.0%9.0%17.8%4.7%-3.4%496.0K-1.3M-9.8K0.0090.05N/AN/A2305,186384
2019-11-29$28.37$28.0018.6%5.3%10.0%10.2%0.0%4.8%-3.6%483.5K-1.2M-9.4K0.0089.64N/AN/A005,196384