EWP Options History — December 2019

In December 2019, EWP traded between $27.99 and $29.20. ATM implied volatility averaged 15.4%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.3% (HV 20d: 11.1%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.66.

Notable Days

  • 2019-12-12: Highest Volume — 764 contracts
  • 2019-12-09: Largest IV spike — 49.2% change
  • 2019-12-09: Highest IV Rank — 15.5%
  • 2019-12-02: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.69$27.99$29.20$27.99$28.86
Max Pain$28.52$28.00$29.00$28.00$29.00
ATM IV15.4%11.6%22.6%20.0%15.3%
Expected Move4.2%3.3%5.7%5.7%4.4%
HV 20d11.1%10.1%11.8%10.5%10.2%
HV 60d11.8%11.1%12.2%11.6%11.2%
IV Rank6.0%1.0%15.5%12.1%5.8%
IV Percentile24.8%0.8%84.9%68.3%25.8%
Term Structure1.3%-3.5%10.3%-3.4%-0.1%
VWIV13.8%8.4%21.3%21.3%17.2%
Skew 25d4.6%-1.6%27.2%6.8%-0.8%
Skew 10d11.7%-2.3%43.5%31.3%2.6%
Call IV 25d11.9%8.4%14.6%14.6%12.0%
Put IV 25d16.5%9.0%39.4%21.4%11.2%
Bid-Ask Spread %77.9520.42112.1184.6231.32
Gamma HHI0.780.530.990.540.98
Net GEX994.6K312.5K1.7M324.9K1.2M
Net DEX-2.0M-3.4M-561.1K-633.4K-1.8M
Net VEX-10.8K-17.5K-6.4K-7.0K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.0016.751.420.00
Total Volume83.33307642910
Total OI6,781.4765,5807,8025,5807,586

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$27.99$28.0020.0%5.7%10.5%12.1%21.3%6.8%-3.4%324.9K-633.4K-7.0K1.4284.62N/AN/A12175,196384
2019-12-03$27.99$28.0019.3%5.5%10.1%11.1%0.0%6.6%-2.7%312.5K-561.1K-6.8K0.0091.98N/AN/A005,194391
2019-12-04$28.34$28.0019.0%5.4%11.3%10.8%0.0%27.2%-3.5%464.9K-1.1M-8.1K0.0089.93N/AN/A1505,194391
2019-12-05$28.26$28.0019.3%4.3%11.2%11.1%0.0%2.1%1.8%431.8K-950.7K-7.6K0.0088.47N/AN/A005,194391
2019-12-06$28.55$28.0015.2%3.9%11.8%5.7%0.0%1.3%1.3%532.4K-1.2M-7.5K16.7593.64N/AN/A4675,194391
2019-12-09$28.44$28.0022.6%4.5%11.8%15.5%0.0%2.1%0.8%503.7K-1.0M-7.8K0.3899.03N/AN/A835,190455
2019-12-10$28.43$28.0016.3%4.3%11.8%7.2%9.0%8.0%2.1%457.4K-773.7K-6.4K0.4686.17N/AN/A24115,189458
2019-12-11$28.70$28.0013.4%3.8%11.0%3.4%0.0%2.6%2.6%615.7K-1.3M-7.4K0.00112.11N/AN/A105,191467
2019-12-12$29.11$28.0014.1%4.0%10.6%4.3%8.4%6.1%3.2%940.8K-2.4M-10.3K0.0093.69N/AN/A76135,191467
2019-12-13$29.20$28.0011.6%3.3%10.5%1.0%13.2%17.6%10.3%1.4M-3.1M-12.7K0.00104.12N/AN/A68506,943464
2019-12-16$28.86$29.0013.8%4.0%11.3%3.9%0.0%6.5%2.4%1.4M-3.4M-17.5K0.00100.42N/AN/A0377,302464
2019-12-17$28.88$29.0013.7%3.9%11.3%3.7%13.5%3.0%2.5%1.4M-3.0M-15.8K4.00104.21N/AN/A5207,302484
2019-12-18$28.81$29.0014.2%4.1%11.4%4.4%14.3%2.0%1.9%1.3M-3.0M-15.6K0.0098.76N/AN/A1307,300492
2019-12-19$28.80$29.0013.6%3.9%11.1%3.7%0.0%2.9%2.8%1.3M-2.7M-14.1K0.0090.09N/AN/A1107,310492
2019-12-20$28.81$29.0012.7%3.6%11.1%2.4%0.0%-0.1%3.1%1.4M-2.4M-12.8K0.0094.54N/AN/A507,310492
2019-12-23$28.82$29.0013.1%3.7%11.1%2.9%0.0%-0.4%0.9%1.2M-2.1M-11.7K0.0040.81N/AN/A007,192394
2019-12-24$28.77$29.0013.2%3.8%11.0%3.1%0.0%-0.3%1.2%1.2M-2.1M-10.9K0.0027.07N/AN/A007,192394
2019-12-26$28.90$29.0014.4%4.1%11.0%4.7%13.9%4.1%-0.1%1.4M-2.8M-12.7K0.1742.14N/AN/A2957,192394
2019-12-27$29.09$29.0013.4%3.8%11.2%3.3%17.2%-1.6%1.2%1.7M-2.9M-13.1K0.0020.42N/AN/A407,211389
2019-12-30$28.91$29.0015.5%4.4%11.5%6.1%0.0%0.7%-0.3%1.4M-2.9M-12.4K0.0043.49N/AN/A007,207377
2019-12-31$28.86$29.0015.3%4.4%10.2%5.8%0.0%-0.8%-0.1%1.2M-1.8M-9.1K0.0031.32N/AN/A0107,207379