EWP Options History — August 2020

In August 2020, EWP traded between $22.90 and $23.94. ATM implied volatility averaged 24.5%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.8% (HV 20d: 19.7%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 9.99.

Notable Days

  • 2020-08-11: Highest Volume — 178 contracts
  • 2020-08-31: Largest IV spike — 21.6% change
  • 2020-08-31: Highest IV Rank — 23.0%
  • 2020-08-31: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.32$22.90$23.94$22.95$23.21
Max Pain$23.38$22.00$24.00$23.00$24.00
ATM IV24.5%22.0%27.1%26.9%27.1%
Expected Move7.0%6.3%7.8%7.7%7.8%
HV 20d19.7%16.9%21.2%21.1%17.3%
HV 60d28.7%24.6%32.4%32.4%24.6%
IV Rank19.9%17.1%23.0%22.7%23.0%
IV Percentile55.0%47.6%61.5%61.1%61.5%
Term Structure0.4%-1.9%2.8%-0.7%-0.5%
VWIV24.9%21.3%29.4%27.2%25.4%
Skew 25d7.0%4.2%10.5%5.0%8.5%
Skew 10d13.8%6.2%20.1%15.5%20.1%
Call IV 25d21.1%17.7%25.4%25.4%22.0%
Put IV 25d28.1%25.0%30.5%30.4%30.5%
Bid-Ask Spread %38.3913.7781.6531.9174.02
Gamma HHI0.200.160.310.210.17
Net GEX102.0K-20.0K248.5K104.4K79.1K
Net DEX-893.0K-1.9M9.2K-840.9K-752.8K
Net VEX-15.7K-18.4K-13.5K-16.8K-13.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.990.17102.001.831.80
Total Volume55.42911783428
Total OI7,637.195,9918,4928,1516,120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$22.95$23.0026.9%7.7%21.1%22.7%27.2%5.0%-0.7%104.4K-840.9K-16.8K1.8331.91N/AN/A12225,2782,873
2020-08-04$23.12$23.0025.7%7.4%20.4%21.3%26.7%5.7%-1.9%116.8K-939.5K-17.5K6.0040.45N/AN/A2125,2802,893
2020-08-05$23.20$23.0025.6%7.3%20.4%21.2%25.2%4.2%1.3%154.7K-1.2M-17.5K18.2525.75N/AN/A4735,1822,901
2020-08-06$23.13$23.0024.6%7.2%19.2%20.1%0.0%6.8%-0.0%112.6K-829.3K-16.6K3.0076.27N/AN/A135,1832,951
2020-08-07$22.90$23.0024.2%7.1%18.4%19.6%27.3%8.9%-0.4%73.7K-512.5K-15.5K5.0081.65N/AN/A11555,1842,952
2020-08-10$23.15$22.0026.3%7.4%18.9%22.0%22.6%7.8%-0.5%108.9K-817.7K-15.6K1.0015.39N/AN/A775,1952,983
2020-08-11$23.52$22.0022.9%6.7%19.2%18.1%29.4%7.2%0.3%172.9K-1.4M-17.1K0.6325.31N/AN/A109695,2012,989
2020-08-12$23.94$22.0023.4%6.7%19.4%18.6%0.0%6.8%0.6%248.5K-1.9M-18.4K10.4014.29N/AN/A5525,2312,980
2020-08-13$23.80$22.0023.6%6.8%19.4%18.9%0.0%7.6%-0.7%191.8K-1.5M-17.1K0.0017.05N/AN/A015,1313,032
2020-08-14$23.48$24.0026.5%7.6%20.0%22.3%26.7%6.2%0.9%103.3K-917.0K-17.0K0.0024.16N/AN/A01425,1333,253
2020-08-17$23.44$24.0025.2%7.2%19.8%20.8%22.9%6.1%-1.2%92.5K-791.7K-15.4K0.4119.60N/AN/A44185,1333,252
2020-08-18$23.41$24.0025.2%7.2%19.8%20.8%25.2%5.5%-0.3%65.4K-858.4K-15.7K1.4019.90N/AN/A575,1753,253
2020-08-19$23.29$24.0023.1%6.6%19.9%18.3%23.8%5.0%1.7%48.6K-668.8K-15.1K8.7530.96N/AN/A121055,1773,252
2020-08-20$23.20$24.0022.4%6.4%19.6%17.5%0.0%8.1%2.8%43.3K-577.9K-14.9K0.0050.17N/AN/A0615,1903,246
2020-08-21$22.93$24.0022.0%6.3%19.9%17.1%23.0%5.2%2.5%-20.0K9.2K-13.5K7.2527.40N/AN/A4295,1903,302
2020-08-24$23.35$24.0025.2%7.2%21.1%20.7%23.7%9.3%-0.4%86.8K-641.6K-14.1K102.0013.77N/AN/A11024,0721,966
2020-08-25$23.43$24.0024.9%7.1%21.2%20.4%0.0%9.1%0.8%95.9K-829.4K-14.2K0.1719.19N/AN/A71124,0731,918
2020-08-26$23.41$24.0022.6%6.5%21.1%17.7%21.3%6.7%0.7%82.1K-787.5K-14.0K1.3371.83N/AN/A15204,1441,923
2020-08-27$23.21$24.0024.5%7.0%19.8%20.0%24.4%7.3%0.3%77.0K-683.9K-14.0K0.0063.65N/AN/A0284,1491,936
2020-08-28$23.61$24.0022.3%6.4%16.9%17.4%23.5%10.5%2.1%103.8K-1.2M-15.6K0.6763.51N/AN/A964,1491,956
2020-08-31$23.21$24.0027.1%7.8%17.3%23.0%25.4%8.5%-0.5%79.1K-752.8K-13.9K1.8074.02N/AN/A10184,1581,962