EWP Options History — January 2021

In January 2021, EWP traded between $26.05 and $28.48. ATM implied volatility averaged 23.6%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.1% (HV 20d: 19.5%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 5.99.

Notable Days

2021-01-20: Highest Volume — 1,009 contracts
2021-01-27: Largest IV spike — 24.0% change
2021-01-04: Highest IV Rank — 24.8%
2021-01-27: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.53	$26.05	$28.48	$27.27	$26.05
Max Pain	$27.00	$27.00	$27.00	$27.00	$27.00
ATM IV	23.6%	19.4%	28.6%	28.6%	27.6%
Expected Move	6.5%	5.6%	8.0%	7.1%	7.9%
HV 20d	19.5%	15.8%	23.7%	16.6%	23.7%
HV 60d	27.3%	25.9%	27.8%	27.3%	27.2%
IV Rank	15.0%	8.1%	24.8%	24.8%	17.8%
IV Percentile	27.0%	9.9%	57.5%	57.5%	53.6%
Term Structure	0.8%	-1.1%	2.2%	-1.1%	-0.4%
VWIV	24.9%	16.9%	32.6%	32.6%	29.9%
Skew 25d	7.2%	-0.1%	9.5%	7.1%	9.3%
Skew 10d	15.2%	3.2%	21.7%	20.1%	13.1%
Call IV 25d	19.4%	17.6%	22.5%	20.7%	22.5%
Put IV 25d	26.7%	21.5%	31.9%	27.9%	31.9%
Bid-Ask Spread %	79.89	26.03	104.39	92.32	77.32
Gamma HHI	0.46	0.22	0.77	0.51	0.29
Net GEX	226.7K	-35.1K	733.9K	207.2K	19.2K
Net DEX	-947.2K	-3.6M	1.1M	-555.4K	1.1M
Net VEX	-14.3K	-16.1K	-12.0K	-15.1K	-14.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.99	0.01	37.25	0.64	0.43
Total Volume	168.263	6	1,009	172	298
Total OI	5,065.737	2,780	6,360	6,152	4,046

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$27.27	$27.00	28.6%	7.1%	16.6%	24.8%	32.6%	7.1%	-1.1%	207.2K	-555.4K	-15.1K	0.64	92.32	N/A	N/A	105	67	2,228	3,924
2021-01-05	$27.51	$27.00	22.7%	6.3%	15.8%	17.8%	28.1%	9.5%	1.4%	264.8K	-864.7K	-15.4K	4.20	86.14	N/A	N/A	5	21	2,327	3,947
2021-01-06	$28.36	$27.00	24.1%	6.5%	19.1%	19.5%	30.3%	7.9%	1.3%	327.9K	-2.6M	-15.1K	37.25	31.03	N/A	N/A	4	149	2,322	3,963
2021-01-07	$28.43	$27.00	24.3%	6.4%	19.1%	19.8%	19.9%	6.6%	1.0%	367.6K	-2.7M	-14.6K	21.40	73.64	N/A	N/A	5	107	2,318	4,042
2021-01-08	$28.48	$27.00	23.5%	6.4%	19.1%	18.8%	19.2%	7.6%	0.1%	385.9K	-2.9M	-14.2K	0.70	55.46	N/A	N/A	30	21	2,323	3,956
2021-01-11	$28.29	$27.00	26.0%	6.4%	19.3%	21.7%	28.1%	7.8%	0.8%	471.8K	-2.5M	-13.8K	0.00	85.79	N/A	N/A	0	39	2,313	3,959
2021-01-12	$28.15	$27.00	26.4%	6.3%	18.8%	19.0%	19.3%	8.4%	1.1%	535.4K	-2.3M	-13.5K	1.33	84.87	N/A	N/A	18	24	2,313	3,956
2021-01-13	$28.29	$27.00	22.2%	6.4%	18.4%	11.6%	0.0%	6.9%	1.3%	733.9K	-2.8M	-13.3K	0.00	89.15	N/A	N/A	0	6	2,322	3,977
2021-01-14	$28.30	$27.00	20.3%	5.8%	18.4%	9.3%	16.9%	6.9%	0.8%	702.0K	-3.6M	-12.2K	0.35	99.10	N/A	N/A	95	33	2,322	3,982
2021-01-15	$27.54	$27.00	21.2%	6.1%	21.1%	10.4%	28.0%	7.6%	1.8%	-21.0K	183.5K	-12.5K	1.14	93.10	N/A	N/A	146	167	2,318	3,995
2021-01-19	$27.62	$27.00	21.1%	6.0%	21.0%	10.2%	23.6%	6.9%	0.3%	-31.1K	390.4K	-12.2K	2.20	82.52	N/A	N/A	5	11	925	1,855
2021-01-20	$27.55	$27.00	19.4%	5.6%	20.3%	8.1%	25.6%	5.8%	2.2%	-35.1K	454.2K	-12.0K	0.01	26.03	N/A	N/A	1,000	9	926	1,866
2021-01-21	$27.39	$27.00	21.5%	6.2%	19.2%	10.8%	0.0%	6.4%	1.0%	96.5K	-544.4K	-16.1K	0.00	84.05	N/A	N/A	0	47	1,926	1,865
2021-01-22	$27.14	$27.00	21.6%	6.2%	19.6%	10.7%	23.9%	7.1%	1.2%	77.3K	-247.2K	-16.0K	0.00	71.99	N/A	N/A	0	72	1,926	1,912
2021-01-25	$26.77	$27.00	23.7%	6.8%	18.6%	13.0%	20.2%	8.6%	-0.1%	45.4K	257.5K	-15.4K	0.89	85.61	N/A	N/A	116	103	1,926	1,974
2021-01-26	$26.97	$27.00	22.6%	6.5%	18.7%	11.6%	0.0%	7.9%	0.8%	75.3K	-18.4K	-16.0K	0.00	91.40	N/A	N/A	0	185	2,039	2,011
2021-01-27	$26.20	$27.00	28.0%	8.0%	21.1%	18.4%	27.4%	9.3%	-0.4%	26.5K	896.5K	-15.3K	7.30	104.07	N/A	N/A	27	197	2,039	2,103
2021-01-28	$26.70	$27.00	22.8%	6.5%	22.2%	11.8%	0.0%	-0.1%	1.4%	58.4K	438.4K	-15.6K	0.00	104.39	N/A	N/A	0	85	2,064	2,039
2021-01-29	$26.05	$27.00	27.6%	7.9%	23.7%	17.8%	29.9%	9.3%	-0.4%	19.2K	1.1M	-14.0K	0.43	77.32	N/A	N/A	208	90	2,064	1,982