EWP Options History — March 2020

In March 2020, EWP traded between $17.93 and $27.29. ATM implied volatility averaged 61.6%, placing in the 77.6% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 5.5% (HV 20d: 67.2%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 317.85.

Notable Days

  • 2020-03-12: Highest Volume — 14,609 contracts
  • 2020-03-09: Largest IV spike — 64.5% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-17: Largest Expected Move — 26.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.61$17.93$27.29$26.71$20.18
Max Pain$26.27$26.00$28.00$28.00$26.00
ATM IV61.6%28.8%93.1%34.4%51.9%
Expected Move17.1%8.3%26.7%9.8%14.9%
HV 20d67.2%25.2%97.5%25.3%96.6%
HV 60d41.5%17.3%57.9%17.5%57.8%
IV Rank77.6%51.9%100.0%72.3%51.9%
IV Percentile97.9%93.7%100.0%99.2%93.7%
Term Structure-13.0%-31.4%-1.5%-5.1%-4.1%
VWIV67.4%30.1%102.4%40.0%68.3%
Skew 25d29.6%7.7%67.1%10.0%25.5%
Skew 10d43.4%-18.4%85.0%10.9%48.3%
Call IV 25d45.2%22.5%66.0%30.7%36.9%
Put IV 25d74.7%31.9%116.3%40.6%62.4%
Bid-Ask Spread %87.0967.5599.7688.9195.84
Gamma HHI0.180.100.330.280.14
Net GEX-375.0K-760.1K285.6K-72.9K-738.1K
Net DEX11.0M-5.0M25.0M1.2M13.4M
Net VEX-30.5K-50.4K-3.3K-3.3K-33.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio317.850.071622.22288.50136.09
Total Volume3,978.5453514,6095791,508
Total OI19,519.3181,20832,6541,20828,114

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$26.71$28.0034.4%9.8%25.3%72.3%40.0%10.0%-5.1%-72.9K1.2M-3.3K288.5088.91N/AN/A2577276932
2020-03-03$26.60$28.0035.1%10.1%25.2%74.2%40.3%9.3%-5.6%-101.2K1.5M-4.3K0.0791.46N/AN/A3,6142532781,511
2020-03-04$27.29$28.0028.8%8.3%26.2%57.4%30.1%9.4%-3.2%285.6K-5.0M-16.9K14.4086.78N/AN/A101443,8901,532
2020-03-05$26.12$26.0039.0%9.3%29.5%84.7%32.2%7.7%-5.3%235.9K-2.4M-17.4K10.5084.17N/AN/A6633,8991,666
2020-03-06$25.62$26.0040.2%10.7%29.7%87.9%35.7%11.1%-9.7%191.2K-1.7M-16.9K0.0085.71N/AN/A0353,9041,692
2020-03-09$23.50$26.0066.1%16.0%41.1%100.0%51.9%18.6%-23.3%104.1K1.0M-11.7K74.2088.55N/AN/A53713,9041,693
2020-03-10$23.52$26.0073.0%14.8%41.1%100.0%73.8%18.0%-9.3%79.0K885.6K-13.6K315.0371.59N/AN/A3711,6563,9072,229
2020-03-11$22.51$26.0061.3%17.6%42.3%82.1%76.4%28.1%-12.5%-262.2K8.7M-34.7K144.7378.65N/AN/A446,3683,93311,829
2020-03-12$19.44$26.0082.5%23.7%63.0%100.0%89.4%36.2%-30.7%-396.9K16.5M-33.3K1622.2274.62N/AN/A914,6003,97314,913
2020-03-13$20.48$26.0081.0%23.2%67.9%98.0%90.6%40.8%-26.4%-533.3K15.5M-43.8K101.3067.55N/AN/A909,1173,97620,664
2020-03-16$18.14$26.0089.8%25.8%76.7%100.0%85.5%67.1%-31.4%-682.9K25.0M-41.7K526.7591.73N/AN/A2010,5354,03324,995
2020-03-17$19.44$26.0093.1%26.7%83.1%100.0%102.4%60.7%-30.4%-573.1K18.3M-41.3K966.0082.97N/AN/A98,6944,05322,627
2020-03-18$17.93$26.0080.4%23.0%85.1%85.2%83.5%52.9%-13.2%-760.1K24.9M-50.4K233.8699.76N/AN/A358,1854,16128,493
2020-03-19$18.69$26.0074.9%21.5%88.2%78.8%92.9%48.1%-22.6%-698.3K19.9M-42.5K25.6694.05N/AN/A1032,6434,18224,871
2020-03-20$18.56$26.0065.4%18.7%88.1%67.7%84.7%43.1%-10.9%-558.9K21.5M-41.7K1513.0096.36N/AN/A11,5134,17026,310
2020-03-23$18.39$26.0066.0%18.9%88.1%68.4%61.7%33.8%-6.9%-640.7K18.7M-37.9K0.0089.76N/AN/A09834,09222,159
2020-03-24$19.61$26.0056.6%16.2%93.0%57.5%68.3%31.3%-3.8%-642.2K15.5M-37.5K61.0088.25N/AN/A342,0744,09222,081
2020-03-25$20.77$26.0055.3%15.8%96.3%55.9%70.4%28.0%-1.5%-586.7K12.2M-37.5K37.8391.22N/AN/A421,5894,12622,473
2020-03-26$21.22$26.0054.8%15.7%97.0%55.3%69.4%23.5%-3.8%-574.4K11.1M-36.9K5.1287.16N/AN/A1799164,15023,385
2020-03-27$20.34$26.0065.5%18.8%97.5%67.8%69.8%25.6%-15.0%-620.2K13.0M-38.5K240.6793.41N/AN/A37224,30923,589
2020-03-30$20.32$26.0060.5%17.4%96.6%62.0%64.8%21.6%-10.8%-704.2K13.4M-35.5K40.0687.48N/AN/A187214,31224,047
2020-03-31$20.18$26.0051.9%14.9%96.6%51.9%68.3%25.5%-4.1%-738.1K13.4M-33.2K136.0995.84N/AN/A111,4974,32923,785