EWP Options History — January 2020

In January 2020, EWP traded between $27.89 and $29.27. ATM implied volatility averaged 14.3%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.9% (HV 20d: 11.4%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2020-01-08: Highest Volume — 164 contracts
  • 2020-01-13: Largest IV spike — 44.2% change
  • 2020-01-31: Highest IV Rank — 13.6%
  • 2020-01-31: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.55$27.89$29.27$29.27$27.93
Max Pain$28.81$28.00$30.00$29.00$28.00
ATM IV14.3%7.4%18.1%15.3%18.1%
Expected Move4.2%3.7%5.2%4.4%5.2%
HV 20d11.4%9.4%12.6%11.1%12.5%
HV 60d10.9%10.3%11.6%11.5%11.6%
IV Rank7.5%0.0%13.6%5.8%13.6%
IV Percentile23.0%0.0%66.7%26.6%66.7%
Term Structure0.8%-0.4%2.3%-0.2%-0.4%
VWIV14.2%8.8%17.3%8.8%15.7%
Skew 25d2.6%-3.0%8.4%-0.4%7.3%
Skew 10d1.8%-6.5%8.0%-4.0%0.7%
Call IV 25d12.6%9.1%15.4%13.5%12.2%
Put IV 25d15.2%11.6%19.5%13.2%19.5%
Bid-Ask Spread %62.7616.00105.0721.1838.95
Gamma HHI0.560.340.990.990.39
Net GEX318.5K35.0K2.0M2.0M35.0K
Net DEX-431.3K-3.7M90.3K-3.7M-47.1K
Net VEX-3.1K-12.7K-1.5K-12.7K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.007.207.200.00
Total Volume29.6670164821
Total OI4,645.194957,8347,596577

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$29.27$29.0015.3%4.4%11.1%5.8%8.8%-0.4%-0.2%2.0M-3.7M-12.7K7.2021.18N/AN/A10727,207389
2020-01-03$28.89$29.0015.9%4.6%11.7%6.6%17.3%-0.2%-0.1%1.3M-1.9M-8.2K0.0016.00N/AN/A307,217387
2020-01-06$28.98$30.0017.3%4.5%11.6%8.6%0.0%3.4%0.6%1.3M-1.7M-7.5K0.0084.80N/AN/A1707,217387
2020-01-07$28.68$30.0011.8%4.4%11.8%1.3%15.8%3.9%0.8%395.1K-56.8K-2.7K3.0069.87N/AN/A137,226387
2020-01-08$28.79$29.0015.9%4.3%11.8%6.6%0.0%3.4%1.3%778.1K-699.8K-4.1K0.0281.57N/AN/A16137,227359
2020-01-09$28.69$29.0013.0%4.2%11.9%2.7%14.7%2.6%1.0%236.8K-69.5K-2.5K0.0190.99N/AN/A8017,379362
2020-01-10$28.55$29.007.4%3.9%11.5%0.0%0.0%1.5%1.9%54.3K24.9K-2.1K0.0084.60N/AN/A047,459362
2020-01-13$28.62$29.0010.7%4.0%10.2%4.1%13.8%2.3%1.8%53.9K5.1K-2.0K0.9788.21N/AN/A29287,459363
2020-01-14$28.52$28.0013.9%3.9%10.2%8.2%14.3%0.8%1.9%53.8K56.8K-2.0K0.0086.28N/AN/A037,465361
2020-01-15$28.44$28.0013.9%4.0%9.4%8.2%14.2%3.5%2.3%54.6K90.3K-1.9K0.0078.11N/AN/A017,465362
2020-01-16$28.73$28.0012.8%3.7%10.2%6.8%0.0%1.6%2.1%57.2K-12.9K-1.9K0.0082.96N/AN/A607,465362
2020-01-17$28.88$28.0012.9%3.7%10.3%6.9%12.9%3.9%2.1%69.8K-85.9K-2.0K0.0255.73N/AN/A8127,472362
2020-01-21$28.56$29.0013.3%3.8%11.1%7.4%0.0%2.4%0.5%53.5K-145.2K-1.9K0.0448.22N/AN/A241381153
2020-01-22$28.52$29.0012.9%3.7%11.1%6.9%0.0%1.8%0.8%52.9K-115.5K-1.8K0.0054.91N/AN/A20374154
2020-01-23$28.53$29.0013.1%3.8%11.1%7.2%0.0%1.3%0.7%52.3K-101.9K-1.8K0.0043.09N/AN/A00374154
2020-01-24$28.21$29.0015.2%4.4%11.7%9.9%0.0%-3.0%1.0%45.3K-155.3K-1.7K0.0016.20N/AN/A10374121
2020-01-27$27.89$29.0017.5%5.0%12.1%12.7%14.7%3.4%-0.4%36.0K-76.7K-1.5K6.6783.30N/AN/A960374121
2020-01-28$28.15$29.0015.9%4.6%12.4%10.7%0.0%7.8%0.1%35.8K-53.3K-1.9K0.0049.21N/AN/A00376181
2020-01-29$28.32$29.0015.7%4.5%12.5%10.5%15.7%-1.6%0.0%41.2K-105.1K-2.0K0.0038.67N/AN/A200376181
2020-01-30$28.40$28.0017.1%4.9%12.6%12.3%0.0%8.4%-0.3%46.9K-160.2K-2.0K0.00105.07N/AN/A00396181
2020-01-31$27.93$28.0018.1%5.2%12.5%13.6%0.0%7.3%-0.4%35.0K-47.1K-1.8K0.0038.95N/AN/A01396181