EWP Options History — December 2020

In December 2020, EWP traded between $26.52 and $28.07. ATM implied volatility averaged 23.1%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.1% (HV 20d: 21.1%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 26.21.

Notable Days

  • 2020-12-11: Highest Volume — 1,401 contracts
  • 2020-12-09: Largest IV drop — 20.2% change
  • 2020-12-07: Highest IV Rank — 21.4%
  • 2020-12-31: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.38$26.52$28.07$27.30$27.01
Max Pain$25.59$25.00$28.00$27.00$26.00
ATM IV23.1%18.4%25.7%24.8%25.6%
Expected Move6.4%5.3%7.3%7.1%7.3%
HV 20d21.1%15.9%33.8%33.8%16.2%
HV 60d27.6%26.6%28.6%28.6%27.3%
IV Rank18.3%12.9%21.4%20.3%21.2%
IV Percentile28.4%16.7%42.9%36.5%41.7%
Term Structure-0.1%-4.1%2.4%-4.1%-1.7%
VWIV24.9%19.1%30.5%26.5%26.4%
Skew 25d7.0%3.3%10.6%6.5%7.8%
Skew 10d17.9%7.9%47.5%24.3%16.9%
Call IV 25d19.2%15.6%21.6%19.6%20.8%
Put IV 25d26.2%22.5%29.9%26.2%28.6%
Bid-Ask Spread %54.2115.7486.4676.0786.46
Gamma HHI0.400.270.520.270.46
Net GEX138.2K-251.5K234.5K19.1K163.3K
Net DEX-1.6M-3.9M831.7K-2.4M-138.6K
Net VEX-17.0K-20.0K-14.9K-15.0K-15.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio26.210.28409.002.624.20
Total Volume304.90911,4011,03526
Total OI8,504.6826,13910,3739,8396,146

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$27.30$27.0024.8%7.1%33.8%20.3%26.5%6.5%-4.1%19.1K-2.4M-15.0K2.6276.07N/AN/A2867493,1556,684
2020-12-02$27.73$28.0024.4%7.0%32.6%19.8%27.3%9.4%-3.2%184.9K-3.4M-15.9K23.0058.19N/AN/A112533,4136,283
2020-12-03$27.63$25.0025.2%5.6%32.5%20.8%21.5%5.8%0.2%155.7K-3.2M-16.4K409.0032.40N/AN/A14093,4236,096
2020-12-04$28.07$25.0024.8%5.7%31.9%20.4%20.2%4.3%0.1%224.1K-3.9M-15.9K1.0467.16N/AN/A3013123,4236,376
2020-12-07$27.84$25.0025.7%5.9%32.5%21.4%22.7%5.2%0.2%180.5K-3.2M-17.1K12.2515.74N/AN/A242943,7026,634
2020-12-08$27.82$25.0023.5%5.5%22.7%18.8%21.4%5.4%1.0%185.9K-2.7M-17.7K1.3466.56N/AN/A3104163,7206,653
2020-12-09$27.74$25.0018.7%5.4%18.7%13.2%24.4%4.3%1.4%208.9K-3.3M-15.8K0.0058.42N/AN/A02153,9046,325
2020-12-10$27.77$25.0018.4%5.3%18.6%12.9%26.2%7.2%1.2%227.6K-3.4M-14.9K2.3780.20N/AN/A1543653,9006,152
2020-12-11$27.43$25.0020.5%5.9%18.3%15.3%19.1%3.3%2.4%118.2K-2.5M-16.1K0.2864.78N/AN/A1,0943074,0465,992
2020-12-14$27.20$25.0024.1%6.9%16.5%19.5%24.4%7.1%0.1%136.3K-1.4M-20.0K0.7958.32N/AN/A1551233,6995,943
2020-12-15$27.35$25.0023.4%6.7%16.0%18.6%23.6%8.4%-0.2%134.4K-1.5M-19.6K2.7256.88N/AN/A32873,6105,995
2020-12-16$27.30$25.0022.6%6.5%16.0%17.8%29.4%7.0%-0.2%119.2K-1.5M-18.7K15.3652.47N/AN/A111693,5785,995
2020-12-17$27.44$25.0022.1%6.3%15.9%17.2%24.8%5.9%0.7%147.1K-1.7M-19.1K0.5025.08N/AN/A52263,5775,940
2020-12-18$27.05$25.0022.1%6.4%16.8%17.2%24.7%6.2%0.3%-251.5K-992.0K-18.4K0.6337.93N/AN/A52333,6275,964
2020-12-21$26.56$26.0022.6%6.5%18.1%17.8%30.5%8.6%0.9%55.2K831.7K-17.2K6.3265.75N/AN/A281772,1584,027
2020-12-22$26.52$26.0023.8%6.8%18.0%19.2%29.6%8.3%0.2%52.5K769.6K-16.9K0.0037.84N/AN/A0202,1873,967
2020-12-23$27.12$26.0023.4%6.7%18.1%18.7%23.4%6.3%0.1%144.3K-92.2K-17.1K1.3529.82N/AN/A52702,1873,952
2020-12-24$27.20$26.0023.3%6.7%18.2%18.6%0.0%8.1%0.0%156.1K-359.0K-17.1K0.0016.77N/AN/A012,2373,929
2020-12-28$27.39$26.0024.1%6.9%18.3%19.4%23.7%9.3%-1.2%213.4K-625.0K-16.3K0.5674.17N/AN/A952,2373,929
2020-12-29$27.53$26.0021.2%6.1%17.4%16.1%26.5%10.6%-0.3%230.9K-773.2K-16.2K5.3875.45N/AN/A8432,2353,932
2020-12-30$27.44$26.0024.1%6.9%16.3%19.5%27.0%9.0%-1.5%234.5K-673.6K-16.0K8.3356.22N/AN/A3252,2283,943
2020-12-31$27.01$26.0025.6%7.3%16.2%21.2%26.4%7.8%-1.7%163.3K-138.6K-15.8K4.2086.46N/AN/A5212,2253,921