EWP Options History — November 2020

In November 2020, EWP traded between $21.41 and $27.24. ATM implied volatility averaged 26.1%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 9.4% (HV 20d: 35.4%). Max pain ranged from $23.00 to $27.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 14.50.

Notable Days

  • 2020-11-11: Highest Volume — 2,775 contracts
  • 2020-11-04: Largest IV drop — 19.9% change
  • 2020-11-02: Highest IV Rank — 35.8%
  • 2020-11-02: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.23$21.41$27.24$21.41$26.82
Max Pain$25.05$23.00$27.00$23.00$27.00
ATM IV26.1%21.6%38.1%38.1%25.3%
Expected Move7.5%6.2%10.9%10.9%7.2%
HV 20d35.4%23.3%40.8%23.3%33.9%
HV 60d26.8%21.0%28.8%21.0%28.5%
IV Rank21.8%16.6%35.8%35.8%20.9%
IV Percentile43.8%24.6%83.3%83.3%40.1%
Term Structure-3.1%-5.4%-0.9%-5.4%-3.7%
VWIV27.4%22.4%38.3%38.3%25.9%
Skew 25d7.0%3.2%13.3%8.8%7.6%
Skew 10d16.0%1.7%33.6%20.6%13.1%
Call IV 25d22.3%18.6%33.2%33.2%22.7%
Put IV 25d29.3%24.0%42.1%42.1%30.4%
Bid-Ask Spread %61.7923.6988.1323.6963.46
Gamma HHI0.290.160.520.170.22
Net GEX40.3K-163.6K193.7K-67.3K-67.2K
Net DEX-1.8M-4.9M1.5M1.5M-782.0K
Net VEX-11.3K-17.5K-6.7K-6.8K-17.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.500.1566.001.9030.88
Total Volume737.05222,77561765
Total OI7,914.454,85510,1434,8559,716

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$21.41$23.0038.1%10.9%23.3%35.8%38.3%8.8%-5.4%-67.3K1.5M-6.8K1.9023.69N/AN/A21402,9371,918
2020-11-03$22.20$23.0034.6%9.9%27.0%31.7%34.7%13.3%-5.4%-54.0K925.9K-7.4K10.0065.42N/AN/A2202,9371,918
2020-11-04$22.07$23.0027.7%7.9%26.8%23.7%27.8%6.9%-1.3%-72.4K1.0M-6.7K29.7888.13N/AN/A371,1022,9501,939
2020-11-05$22.72$23.0024.9%7.8%28.5%20.5%29.3%7.0%-3.5%-120.2K1.1M-9.2K49.3682.82N/AN/A115432,9762,893
2020-11-06$22.84$23.0025.5%7.6%28.6%21.1%29.6%8.7%-2.8%-163.6K1.2M-10.5K12.2868.47N/AN/A506142,9823,312
2020-11-09$24.56$23.0026.7%7.1%38.5%22.5%28.8%6.0%-2.6%13.6K-1.2M-10.5K7.3455.19N/AN/A503673,0323,852
2020-11-10$25.60$23.0026.8%7.3%39.8%22.7%26.3%5.1%-3.6%121.3K-2.6M-10.8K1.2625.46N/AN/A1592013,0674,025
2020-11-11$25.59$23.0023.9%6.8%39.9%19.2%27.0%5.7%-1.6%96.6K-2.3M-10.2K1.2268.77N/AN/A1,2511,5242,9214,168
2020-11-12$25.22$26.0027.2%7.8%40.0%23.1%27.6%7.0%-2.8%146.2K-2.1M-16.8K29.3060.64N/AN/A205864,1475,679
2020-11-13$25.94$25.0024.9%7.1%40.8%20.4%27.1%8.3%-3.5%193.7K-4.2M-14.6K0.7470.59N/AN/A3822834,1475,996
2020-11-16$26.30$26.0026.4%7.6%40.6%22.1%27.1%6.5%-3.4%161.9K-4.9M-12.3K0.1969.29N/AN/A1,4932783,8776,184
2020-11-17$26.30$26.0025.4%7.3%40.3%21.0%27.7%6.0%-3.1%115.5K-3.8M-12.1K0.1579.63N/AN/A7381113,4446,143
2020-11-18$26.20$26.0025.3%7.3%39.7%20.9%25.4%6.1%-3.9%71.6K-3.0M-11.6K0.4945.80N/AN/A3141533,2526,228
2020-11-19$26.44$26.0026.3%7.5%39.6%22.1%27.1%8.1%-4.3%67.6K-3.4M-11.3K0.0066.18N/AN/A05163,2566,208
2020-11-20$26.38$27.0023.6%6.8%39.7%18.9%22.5%6.1%-2.7%51.6K-3.2M-11.2K66.0043.60N/AN/A31983,2206,329
2020-11-23$26.51$27.0021.6%6.2%38.7%16.6%25.6%7.7%-1.6%43.1K-1.6M-11.1K7.9351.79N/AN/A302382,6494,819
2020-11-24$27.09$27.0022.6%6.5%37.1%17.7%24.6%6.9%-2.9%114.0K-2.7M-10.3K0.5477.28N/AN/A4222292,6794,936
2020-11-25$27.15$27.0022.4%6.4%33.5%17.4%22.7%3.2%-0.9%124.3K-2.6M-11.2K11.6649.51N/AN/A1341,5633,0445,004
2020-11-27$27.24$27.0022.1%6.3%32.8%17.2%22.4%5.4%-3.0%30.4K-2.3M-14.4K0.0080.07N/AN/A02933,1686,337
2020-11-30$26.82$27.0025.3%7.2%33.9%20.9%25.9%7.6%-3.7%-67.2K-782.0K-17.5K30.8863.46N/AN/A247413,1646,552