EWP Options History — June 2020

In June 2020, EWP traded between $22.12 and $24.56. ATM implied volatility averaged 31.8%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 7.6% (HV 20d: 39.4%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.33.

Notable Days

  • 2020-06-01: Highest Volume — 1,892 contracts
  • 2020-06-11: Largest IV spike — 27.9% change
  • 2020-06-11: Highest IV Rank — 33.1%
  • 2020-06-11: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.91$22.12$24.56$22.12$22.48
Max Pain$22.86$22.00$23.00$22.00$23.00
ATM IV31.8%28.0%35.8%31.5%29.9%
Expected Move8.9%6.9%10.3%9.0%8.6%
HV 20d39.4%36.0%47.1%36.4%36.5%
HV 60d45.1%35.6%62.9%62.7%35.6%
IV Rank28.5%24.0%33.1%28.1%26.3%
IV Percentile77.3%71.0%82.9%79.0%71.0%
Term Structure-2.2%-5.5%1.6%-4.1%-0.2%
VWIV30.2%16.8%38.3%35.4%38.3%
Skew 25d8.7%5.7%12.1%7.6%7.2%
Skew 10d19.8%13.2%31.5%20.1%15.8%
Call IV 25d27.7%22.9%30.6%27.5%27.2%
Put IV 25d36.3%28.6%41.4%35.1%34.4%
Bid-Ask Spread %71.7121.59104.7882.1226.89
Gamma HHI0.200.150.260.240.16
Net GEX47.4K-158.2K171.5K-158.2K109.1K
Net DEX-1.2M-3.2M1.2M1.2M-840.4K
Net VEX-20.0K-22.7K-11.8K-11.8K-21.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.330.0018.820.250.00
Total Volume550.364341,8921,89234
Total OI8,540.4096,34010,6066,34010,606

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$22.12$22.0031.5%9.0%36.4%28.1%35.4%7.6%-4.1%-158.2K1.2M-11.8K0.2582.12N/AN/A1,5143781,2085,132
2020-06-02$22.66$22.0031.3%9.0%36.7%27.9%34.5%8.0%-3.9%-52.7K-480.0K-17.2K2.9586.42N/AN/A1283782,5484,941
2020-06-03$23.61$22.0029.1%8.4%38.2%25.4%33.3%7.5%-4.5%-14.8K-1.7M-17.9K0.2988.34N/AN/A4571312,6435,154
2020-06-04$23.47$23.0028.4%7.5%38.1%24.5%27.0%5.7%-2.3%157-1.7M-18.5K0.7148.53N/AN/A7755483,0285,124
2020-06-05$24.10$23.0031.7%7.3%38.6%28.3%26.1%6.8%-2.5%27.4K-2.4M-18.9K0.1977.41N/AN/A127242,9315,121
2020-06-08$24.56$23.0031.8%6.9%38.7%28.4%28.9%7.2%0.4%59.9K-3.0M-18.0K0.0185.09N/AN/A827122,9765,105
2020-06-09$24.15$23.0033.7%8.4%39.1%30.7%0.0%6.8%-3.9%100.2K-3.2M-20.9K3.7084.57N/AN/A371373,7425,093
2020-06-10$23.84$23.0028.0%8.0%39.9%24.0%25.4%6.6%-1.7%80.8K-2.6M-21.7K0.2492.07N/AN/A150363,7755,122
2020-06-11$22.30$23.0035.8%10.3%47.1%33.1%36.3%10.7%-5.5%-57.0K82.5K-20.7K15.9589.67N/AN/A375903,7265,086
2020-06-12$22.55$23.0030.2%8.7%47.1%26.6%29.2%12.1%-0.2%11.7K-688.0K-19.5K0.2286.51N/AN/A176383,7214,391
2020-06-15$22.55$23.0032.2%9.2%46.5%28.9%30.4%10.2%-3.5%50.8K-886.8K-21.6K0.2267.77N/AN/A49113,8784,365
2020-06-16$22.73$23.0033.0%9.5%42.4%29.8%36.4%9.6%-3.7%76.3K-1.3M-21.3K1.11104.78N/AN/A56623,9274,356
2020-06-17$22.76$23.0032.8%9.4%38.8%29.6%30.3%8.0%-4.2%72.8K-1.4M-21.7K0.0776.45N/AN/A5843,8814,391
2020-06-18$22.46$23.0035.2%10.1%39.2%32.5%30.6%9.2%-2.7%46.0K-877.6K-21.3K0.5371.21N/AN/A51273,9344,393
2020-06-19$22.41$23.0032.4%9.3%39.3%29.1%19.8%9.1%-1.8%75.5K-893.6K-20.3K0.0169.29N/AN/A1,174123,9814,394
2020-06-22$22.73$23.0029.3%8.4%39.4%25.6%16.8%10.6%-0.4%132.4K-1.2M-20.9K0.0357.41N/AN/A9534,8264,021
2020-06-23$22.94$23.0030.3%8.7%36.0%26.7%31.0%7.9%-1.0%171.5K-1.8M-21.9K4.3767.31N/AN/A3281,4334,8294,023
2020-06-24$22.30$23.0033.4%9.6%36.6%30.4%27.8%10.8%1.6%24.2K298.7K-22.7K18.8261.29N/AN/A458474,8534,783
2020-06-25$22.61$23.0029.8%8.6%36.9%26.2%30.1%9.2%-0.6%112.9K-965.3K-21.1K1.3958.55N/AN/A36504,8414,116
2020-06-26$22.12$23.0034.8%10.0%37.7%32.0%36.2%9.4%-2.7%58.6K-238.0K-19.5K0.1674.34N/AN/A404654,8054,159
2020-06-29$22.47$23.0035.5%10.2%37.6%32.8%38.3%10.2%-1.8%116.1K-884.8K-21.7K0.1521.59N/AN/A6641005,8184,142
2020-06-30$22.48$23.0029.9%8.6%36.5%26.3%0.0%7.2%-0.2%109.1K-840.4K-21.5K0.0026.89N/AN/A3406,4524,154