EWP Options History — October 2020

In October 2020, EWP traded between $20.95 and $22.90. ATM implied volatility averaged 28.6%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 8.2% (HV 20d: 20.4%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 25.41.

Notable Days

  • 2020-10-05: Highest Volume — 799 contracts
  • 2020-10-26: Largest IV spike — 22.0% change
  • 2020-10-28: Highest IV Rank — 38.8%
  • 2020-10-28: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.26$20.95$22.90$21.85$20.95
Max Pain$23.09$23.00$24.00$24.00$23.00
ATM IV28.6%21.0%40.7%26.6%36.0%
Expected Move8.3%6.5%11.7%7.6%10.3%
HV 20d20.4%17.4%23.2%21.3%22.8%
HV 60d19.6%19.1%20.5%19.5%20.5%
IV Rank24.8%15.9%38.8%22.4%33.4%
IV Percentile60.0%36.5%86.9%55.6%82.1%
Term Structure-1.0%-5.7%3.3%1.4%-4.7%
VWIV29.6%24.2%39.1%29.2%39.1%
Skew 25d8.1%4.9%12.3%4.9%9.2%
Skew 10d18.4%10.1%28.0%14.8%15.2%
Call IV 25d25.3%20.0%34.4%25.5%33.2%
Put IV 25d33.4%27.1%46.7%30.4%42.4%
Bid-Ask Spread %54.2414.3085.9714.3083.07
Gamma HHI0.200.150.370.160.18
Net GEX-66.7K-196.7K165-44.3K-70.2K
Net DEX1.0M269.6K1.8M1.1M1.8M
Net VEX-8.7K-10.6K-6.4K-7.8K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio25.410.91186.002.198.00
Total Volume185.4091579967108
Total OI6,200.8644,4807,8886,7244,870

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$21.85$24.0026.6%7.6%21.3%22.4%29.2%4.9%1.4%-44.3K1.1M-7.8K2.1914.30N/AN/A21464,1392,585
2020-10-02$22.05$24.0026.8%7.7%21.6%22.7%27.8%5.6%1.1%-52.6K1.1M-8.8K6.9476.24N/AN/A161114,1602,780
2020-10-05$22.45$23.0026.7%8.4%22.3%22.5%28.2%7.7%-0.7%-49.3K737.6K-9.0K43.3953.55N/AN/A187814,1742,846
2020-10-06$22.41$23.0029.3%8.5%21.0%25.6%27.6%8.1%-0.6%-94.8K1.2M-10.1K4.7543.58N/AN/A20954,1773,303
2020-10-07$22.63$23.0023.7%7.3%20.4%19.0%27.7%7.8%-0.4%-97.0K1.1M-10.0K9.0054.39N/AN/A7634,1723,365
2020-10-08$22.90$23.0021.0%7.2%20.5%15.9%25.1%6.6%0.4%-84.0K789.3K-10.1K186.0047.41N/AN/A11864,1773,412
2020-10-09$22.84$23.0021.1%6.9%20.5%16.0%24.4%6.8%0.1%-104.1K834.8K-10.6K3.1649.04N/AN/A31984,1783,535
2020-10-12$22.86$23.0022.5%6.5%20.4%17.7%27.8%6.8%0.5%-116.1K904.5K-9.4K1.1156.97N/AN/A18204,1823,563
2020-10-13$22.44$23.0027.4%7.5%21.2%23.4%25.8%7.1%-1.9%-166.0K1.4M-9.5K12.8063.89N/AN/A5644,1763,578
2020-10-14$22.55$23.0023.7%6.8%21.3%19.0%24.7%6.2%-0.7%-128.1K1.3M-8.9K51.6357.78N/AN/A84134,1743,565
2020-10-15$22.28$23.0027.2%7.8%21.6%23.1%24.9%8.9%0.1%-196.7K1.7M-8.8K106.8067.76N/AN/A55344,1793,709
2020-10-16$22.35$23.0026.3%7.5%20.6%22.1%24.8%8.2%0.0%-24.5K1.1M-8.6K9.1659.43N/AN/A191744,1833,483
2020-10-19$22.28$23.0025.9%7.4%17.4%21.6%24.2%8.9%3.3%-29.5K712.0K-8.1K12.5061.56N/AN/A2252,8661,664
2020-10-20$22.82$23.0026.6%7.6%17.9%22.4%27.9%8.2%-1.2%-6.5K398.0K-8.4K10.5739.33N/AN/A7742,8671,667
2020-10-21$22.48$23.0031.9%9.2%18.1%28.6%33.5%10.7%-0.8%-19.0K650.4K-7.6K24.5030.97N/AN/A2492,8741,606
2020-10-22$22.47$23.0031.1%8.9%17.9%27.6%29.3%8.1%-0.6%-13.4K531.8K-8.3K0.0024.95N/AN/A0382,8731,638
2020-10-23$22.76$23.0028.2%8.1%18.2%24.3%36.6%7.1%-0.4%165269.6K-8.8K0.0045.38N/AN/A0152,8731,640
2020-10-26$22.38$23.0034.4%9.9%18.0%31.6%34.7%9.8%-2.8%-14.5K564.5K-8.2K3.5823.10N/AN/A1003582,8731,647
2020-10-27$21.88$23.0033.9%9.7%19.8%30.9%33.7%8.8%-2.6%-43.8K1.1M-8.4K6.6072.38N/AN/A301982,9621,955
2020-10-28$21.16$23.0040.7%11.7%23.1%38.8%38.1%12.3%-5.7%-50.2K1.6M-7.6K0.9185.97N/AN/A108982,9591,946
2020-10-29$20.99$23.0038.3%11.0%23.2%36.0%37.0%10.3%-4.9%-63.3K1.7M-6.8K4.6582.25N/AN/A20932,9181,926
2020-10-30$20.95$23.0036.0%10.3%22.8%33.4%39.1%9.2%-4.7%-70.2K1.8M-6.4K8.0083.07N/AN/A12962,9381,932