EWP Options History — May 2020

In May 2020, EWP traded between $19.45 and $21.87. ATM implied volatility averaged 31.6%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 1.3% (HV 20d: 32.9%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 34.46.

Notable Days

  • 2020-05-28: Highest Volume — 1,556 contracts
  • 2020-05-18: Largest IV drop — 24.6% change
  • 2020-05-06: Highest IV Rank — 36.5%
  • 2020-05-04: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.35$19.45$21.87$20.38$21.72
Max Pain$20.25$20.00$22.00$21.00$22.00
ATM IV31.6%24.9%38.7%37.7%29.9%
Expected Move9.1%7.1%11.5%10.8%8.6%
HV 20d32.9%25.3%40.2%34.8%36.9%
HV 60d61.9%61.0%63.4%61.1%63.1%
IV Rank28.2%20.4%36.5%35.3%26.2%
IV Percentile79.5%72.2%84.9%84.9%77.0%
Term Structure0.6%-8.4%37.4%1.6%-3.0%
VWIV35.8%25.4%47.7%39.2%33.7%
Skew 25d11.0%2.3%39.0%13.9%6.0%
Skew 10d20.5%3.2%32.9%24.7%17.2%
Call IV 25d26.7%19.9%33.0%30.3%28.9%
Put IV 25d37.8%29.0%67.5%44.2%34.9%
Bid-Ask Spread %102.8285.78123.2794.7585.78
Gamma HHI0.240.190.350.230.23
Net GEX-144.8K-214.2K-62.7K-136.4K-194.9K
Net DEX2.0M454.2K3.2M2.2M1.9M
Net VEX-11.5K-14.5K-8.3K-14.5K-12.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio34.460.33314.0017.0061.90
Total Volume256.7181,55618629
Total OI5,766.15,1796,5195,8806,519

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$20.38$21.0037.7%10.8%34.8%35.3%39.2%13.9%1.6%-136.4K2.2M-14.5K17.0094.75N/AN/A1171,0794,801
2020-05-04$20.20$20.0038.2%11.5%34.8%35.9%29.9%12.2%-5.1%-145.5K2.3M-13.7K32.8985.96N/AN/A92961,0744,799
2020-05-05$19.99$20.0033.6%10.6%31.0%30.6%40.6%7.3%-1.6%-163.3K2.5M-13.3K0.00101.65N/AN/A01161,0794,801
2020-05-06$19.82$20.0038.7%10.0%30.7%36.5%42.5%39.0%37.4%-188.2K2.4M-10.2K6.60118.02N/AN/A301981,0794,831
2020-05-07$19.95$20.0033.8%9.4%30.9%30.8%35.0%14.5%6.0%-152.5K2.2M-10.0K6.09123.27N/AN/A11671,0894,852
2020-05-08$20.23$20.0028.1%9.5%29.5%24.2%0.0%13.4%-4.2%-183.9K2.2M-11.7K7.33106.70N/AN/A3221,1004,906
2020-05-11$19.98$20.0031.3%9.1%29.6%27.9%38.6%11.0%-2.2%-209.4K2.4M-11.3K1.30108.61N/AN/A23301,1034,908
2020-05-12$20.11$20.0028.6%8.1%29.3%24.8%29.8%9.3%0.1%-214.2K2.2M-11.5K2.12108.56N/AN/A661401,1254,900
2020-05-13$19.70$20.0033.1%9.5%27.0%30.0%45.4%11.0%-3.4%-198.0K2.7M-12.1K62.0094.28N/AN/A21241,1914,819
2020-05-14$19.72$20.0031.6%9.0%26.4%28.2%37.7%11.3%-1.8%-205.8K2.7M-11.9K52.6098.50N/AN/A52631,1914,830
2020-05-15$19.45$20.0035.5%10.2%25.3%32.8%35.7%7.2%-1.0%-118.5K3.2M-12.1K314.00105.03N/AN/A13141,1964,912
2020-05-18$20.63$20.0026.8%7.7%32.4%22.6%31.6%8.9%0.6%-105.5K1.5M-10.6K10.30100.70N/AN/A101031,1514,028
2020-05-19$19.80$20.0029.6%8.5%35.5%25.9%32.1%7.6%-0.2%-126.7K2.2M-11.6K0.7896.59N/AN/A1661291,1594,122
2020-05-20$20.15$20.0029.7%8.5%35.9%26.0%30.8%7.1%-2.0%-112.8K1.8M-11.6K1.82109.29N/AN/A22401,3224,151
2020-05-21$20.20$20.0030.1%8.6%35.5%26.5%25.4%8.2%0.5%-117.2K1.8M-11.7K0.33101.81N/AN/A55181,3434,181
2020-05-22$20.19$20.0030.0%8.6%35.4%26.4%47.7%10.6%-1.8%-121.4K1.9M-11.2K0.00108.02N/AN/A0431,3364,189
2020-05-26$21.20$20.0032.7%9.4%39.2%29.6%35.1%2.3%-8.4%-69.3K905.6K-10.2K0.8498.30N/AN/A3062561,3364,215
2020-05-27$21.80$21.0024.9%7.1%40.2%20.4%39.4%11.9%-0.0%-69.7K454.2K-8.3K1.33112.79N/AN/A27361,1804,103
2020-05-28$21.87$21.0027.6%7.9%37.5%23.6%29.3%8.3%1.7%-62.7K534.2K-9.9K41.0597.85N/AN/A371,5191,1954,127
2020-05-29$21.72$22.0029.9%8.6%36.9%26.2%33.7%6.0%-3.0%-194.9K1.9M-12.5K61.9085.78N/AN/A106191,2165,303