EWP Options History — July 2020

In July 2020, EWP traded between $22.52 and $23.96. ATM implied volatility averaged 27.3%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.4% (HV 20d: 24.9%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 5.17.

Notable Days

  • 2020-07-06: Highest Volume — 3,039 contracts
  • 2020-07-15: Largest IV drop — 24.1% change
  • 2020-07-13: Highest IV Rank — 32.5%
  • 2020-07-31: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.44$22.52$23.96$22.52$22.56
Max Pain$24.14$23.00$25.00$23.00$24.00
ATM IV27.3%22.7%35.2%24.5%30.8%
Expected Move7.6%6.5%8.8%7.0%8.8%
HV 20d24.9%17.7%34.6%33.1%20.9%
HV 60d33.3%31.3%34.9%34.5%32.3%
IV Rank23.3%17.9%32.5%20.0%27.3%
IV Percentile64.1%53.6%81.3%62.3%72.2%
Term Structure-0.6%-2.6%1.5%1.5%-2.0%
VWIV27.8%18.2%38.7%34.9%30.6%
Skew 25d7.2%4.7%9.6%6.8%5.1%
Skew 10d17.1%4.4%25.1%13.1%18.8%
Call IV 25d24.0%21.5%30.0%26.6%30.0%
Put IV 25d31.2%26.4%35.1%33.4%35.1%
Bid-Ask Spread %45.6118.4179.7465.4122.70
Gamma HHI0.250.140.480.160.19
Net GEX219.4K48.2K569.1K110.1K61.0K
Net DEX-1.7M-2.7M-297.0K-895.6K-297.0K
Net VEX-21.3K-23.5K-17.3K-21.5K-17.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.170.0022.507.000.14
Total Volume409.36483,0398228
Total OI9,697.4097,70811,69510,5738,003

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$22.52$23.0024.5%7.0%33.1%20.0%34.9%6.8%1.5%110.1K-895.6K-21.5K7.0065.41N/AN/A176,4194,154
2020-07-02$23.11$23.0027.3%7.8%34.6%23.3%27.4%7.5%0.4%237.4K-2.0M-23.2K0.1271.67N/AN/A311386,4204,150
2020-07-06$23.48$24.0030.4%8.3%33.6%26.8%33.4%9.4%-2.6%303.0K-2.5M-22.6K2.8475.26N/AN/A7922,2476,1214,182
2020-07-07$23.09$25.0030.2%7.8%33.2%26.6%27.2%7.2%0.8%102.8K-806.8K-22.9K20.1079.74N/AN/A204026,0305,665
2020-07-08$23.22$25.0029.6%8.0%32.9%26.0%28.0%8.3%-1.1%156.0K-1.2M-22.6K10.6768.49N/AN/A6646,0345,428
2020-07-09$22.79$25.0029.6%8.1%33.2%25.9%27.1%9.1%-2.0%48.2K-303.5K-21.3K8.2355.17N/AN/A131075,9525,405
2020-07-10$23.20$25.0028.8%8.1%23.6%25.0%28.1%9.0%-0.7%129.8K-941.5K-21.7K0.3857.89N/AN/A2185,9575,399
2020-07-13$23.15$25.0035.2%8.3%23.4%32.5%28.4%9.6%-1.9%130.7K-984.6K-21.3K0.2539.80N/AN/A103265,9505,405
2020-07-14$23.43$24.0035.0%8.3%23.7%32.2%29.0%8.7%-0.8%167.4K-1.2M-20.4K5.7148.58N/AN/A14805,8765,414
2020-07-15$23.82$24.0026.6%7.6%24.2%22.4%38.7%8.1%-0.3%360.3K-2.2M-21.3K2.3249.46N/AN/A7501,7415,8595,388
2020-07-16$23.73$24.0026.9%7.7%24.3%22.7%27.2%6.9%-2.6%324.5K-1.9M-20.9K0.0533.68N/AN/A4225,8585,386
2020-07-17$23.82$24.0025.6%7.3%23.6%21.3%24.1%5.8%-0.7%569.1K-1.9M-20.0K0.0023.94N/AN/A1,01335,8865,387
2020-07-20$23.95$24.0024.2%6.9%23.5%19.6%22.8%6.0%0.1%241.9K-2.5M-22.1K0.0351.03N/AN/A381105,0192,689
2020-07-21$23.96$24.0024.2%6.9%23.2%19.6%25.3%6.5%-0.0%268.9K-2.7M-23.5K6.6729.85N/AN/A3205,3062,691
2020-07-22$23.96$24.0023.2%6.7%23.1%18.5%0.0%4.7%0.3%271.3K-2.6M-22.6K0.0036.97N/AN/A1105,3072,683
2020-07-23$23.70$24.0023.7%6.8%20.7%19.0%18.2%6.3%0.2%237.0K-2.3M-21.2K0.3330.06N/AN/A1245,3182,683
2020-07-24$23.68$24.0022.7%6.5%20.4%17.9%24.3%7.6%0.0%233.3K-2.1M-21.0K0.1932.74N/AN/A1635,3302,683
2020-07-27$23.65$24.0022.9%6.6%18.3%18.1%25.3%7.1%-0.7%221.8K-2.0M-20.0K9.0029.31N/AN/A195,3272,681
2020-07-28$23.71$24.0024.1%6.9%17.7%19.5%27.5%6.6%1.0%234.7K-2.2M-20.8K17.0018.41N/AN/A2345,3162,683
2020-07-29$23.80$24.0025.2%7.2%17.7%20.7%26.2%6.7%1.0%259.8K-2.4M-20.9K0.1850.87N/AN/A191355,3162,715
2020-07-30$23.28$24.0030.5%8.7%19.8%27.0%30.4%5.7%-2.0%156.5K-1.4M-19.6K22.5032.28N/AN/A102255,1272,741
2020-07-31$22.56$24.0030.8%8.8%20.9%27.3%30.6%5.1%-2.0%61.0K-297.0K-17.3K0.1422.70N/AN/A200285,1372,866