EWP Options History — September 2020

In September 2020, EWP traded between $21.35 and $23.20. ATM implied volatility averaged 26.3%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.0% (HV 20d: 19.3%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 22.36.

Notable Days

  • 2020-09-09: Highest Volume — 1,157 contracts
  • 2020-09-21: Largest IV spike — 25.2% change
  • 2020-09-25: Highest IV Rank — 26.8%
  • 2020-09-25: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.49$21.35$23.20$23.01$21.79
Max Pain$24.14$23.00$25.00$24.00$24.00
ATM IV26.3%21.7%30.4%27.8%26.1%
Expected Move7.5%6.2%8.7%8.0%7.5%
HV 20d19.3%17.4%22.1%17.4%21.4%
HV 60d20.8%19.6%24.3%24.3%19.6%
IV Rank22.1%16.7%26.8%23.8%21.8%
IV Percentile56.7%41.7%71.0%62.3%54.4%
Term Structure1.9%-0.6%4.4%-0.6%3.8%
VWIV26.4%20.6%31.5%31.5%31.1%
Skew 25d7.6%5.9%11.6%7.5%5.9%
Skew 10d15.6%2.9%24.1%16.0%11.0%
Call IV 25d23.3%18.9%27.1%24.8%25.5%
Put IV 25d30.9%26.4%34.1%32.3%31.3%
Bid-Ask Spread %40.3410.3580.2178.5773.09
Gamma HHI0.170.150.230.160.16
Net GEX-15.4K-90.9K72.4K70.1K-44.3K
Net DEX491.2K-672.3K1.4M-637.8K1.1M
Net VEX-11.0K-14.6K-7.1K-13.8K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio22.360.5480.1328.001.00
Total Volume205.762201,1572966
Total OI6,649.8576,1317,3176,1346,705

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$23.01$24.0027.8%8.0%17.4%23.8%31.5%7.5%-0.6%70.1K-637.8K-13.8K28.0078.57N/AN/A1284,1571,977
2020-09-02$23.12$24.0025.8%7.4%17.4%21.5%26.4%6.7%-0.0%70.5K-573.3K-13.1K0.5480.21N/AN/A1374,1581,973
2020-09-03$22.93$23.0028.8%8.0%17.6%25.0%28.8%8.5%1.2%67.4K-598.5K-13.6K12.5053.32N/AN/A121504,1631,977
2020-09-04$23.20$23.0028.7%7.9%17.8%24.9%26.8%8.7%1.3%72.4K-672.3K-14.0K3.4659.85N/AN/A13454,1582,093
2020-09-08$22.70$23.0028.7%7.7%19.0%24.8%0.0%8.8%2.3%36.1K-184.6K-12.4K1.0070.17N/AN/A10104,1712,095
2020-09-09$23.07$23.0027.3%7.8%19.0%23.2%27.9%8.3%0.5%55.3K-469.3K-12.9K67.0627.00N/AN/A171,1404,1712,123
2020-09-10$22.80$24.0025.6%7.3%18.1%21.2%25.1%7.3%2.8%-75.2K930.3K-14.6K19.9324.57N/AN/A142794,1733,144
2020-09-11$22.80$24.0024.1%6.9%18.0%19.5%23.4%8.0%3.1%-90.9K1.0M-13.6K80.1320.23N/AN/A86414,1733,108
2020-09-14$22.88$25.0023.9%6.8%17.6%19.2%23.9%6.8%2.6%-54.4K493.7K-12.7K23.2918.16N/AN/A71634,1782,812
2020-09-15$23.06$25.0023.3%6.7%17.9%18.6%20.6%6.1%3.7%-43.2K254.1K-12.0K4.1721.86N/AN/A6254,1802,747
2020-09-16$23.11$25.0024.1%6.9%17.9%19.5%21.8%6.9%2.3%-49.0K161.4K-12.1K4.8034.76N/AN/A5244,1852,766
2020-09-17$23.16$25.0024.0%6.9%17.9%19.3%23.7%7.6%1.7%-53.5K157.7K-11.9K16.0032.07N/AN/A4644,1822,757
2020-09-18$22.70$25.0021.7%6.2%19.2%16.7%24.0%6.6%4.4%-10.6K816.8K-10.4K0.0019.51N/AN/A02894,1812,755
2020-09-21$22.02$25.0027.2%7.8%21.6%23.1%27.1%9.1%2.7%-43.6K1.1M-9.6K37.0612.49N/AN/A165934,1502,518
2020-09-22$21.64$25.0025.8%7.4%20.8%21.5%26.9%8.6%1.8%-36.3K1.3M-8.6K0.0054.63N/AN/A01654,1562,465
2020-09-23$21.35$24.0029.3%8.4%20.9%25.6%28.1%7.0%1.7%-43.0K1.4M-7.1K0.0014.72N/AN/A01314,1562,411
2020-09-24$21.56$24.0026.3%7.5%21.5%22.1%24.9%7.5%2.0%-41.7K1.3M-7.7K60.0062.48N/AN/A1604,1562,493
2020-09-25$21.49$24.0030.4%8.7%21.4%26.8%26.6%11.6%0.5%-41.0K1.3M-8.0K13.4015.56N/AN/A5674,1562,476
2020-09-28$21.96$24.0026.9%7.7%22.1%22.8%27.4%6.4%1.7%-32.9K1.0M-7.8K7.7310.35N/AN/A151164,1512,471
2020-09-29$21.86$24.0027.6%7.9%21.5%23.6%31.3%6.9%1.1%-35.4K1.0M-8.0K0.0063.54N/AN/A01114,1512,475
2020-09-30$21.79$24.0026.1%7.5%21.4%21.8%31.1%5.9%3.8%-44.3K1.1M-7.7K1.0073.09N/AN/A33334,1512,554