EWP Options History — February 2021

In February 2021, EWP traded between $26.12 and $27.48. ATM implied volatility averaged 21.7%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.5% (HV 20d: 20.2%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 7.39.

Notable Days

2021-02-25: Highest Volume — 265 contracts
2021-02-03: Largest IV drop — 18.3% change
2021-02-01: Highest IV Rank — 16.4%
2021-02-01: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.98	$26.12	$27.48	$26.12	$27.13
Max Pain	$27.11	$25.00	$28.00	$27.00	$28.00
ATM IV	21.7%	19.5%	26.4%	26.4%	23.6%
Expected Move	6.2%	5.7%	7.6%	7.6%	6.8%
HV 20d	20.2%	15.2%	23.5%	23.2%	15.2%
HV 60d	20.5%	18.3%	26.3%	26.3%	18.3%
IV Rank	7.8%	3.8%	16.4%	16.4%	6.9%
IV Percentile	12.7%	2.8%	45.6%	45.6%	23.0%
Term Structure	0.6%	-1.3%	2.6%	0.5%	-0.8%
VWIV	21.5%	18.6%	31.9%	25.4%	21.1%
Skew 25d	7.5%	2.3%	11.1%	9.0%	6.6%
Skew 10d	15.5%	5.1%	21.9%	8.9%	12.5%
Call IV 25d	18.5%	15.5%	22.3%	22.3%	20.5%
Put IV 25d	26.0%	22.3%	31.3%	31.3%	27.1%
Bid-Ask Spread %	53.46	22.42	94.79	60.24	43.86
Gamma HHI	0.32	0.27	0.38	0.28	0.32
Net GEX	109.4K	24.3K	170.4K	24.3K	140.5K
Net DEX	507.8K	-204.2K	1.2M	951.0K	1.2M
Net VEX	-14.8K	-17.0K	-13.3K	-14.5K	-16.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.39	0.12	43.17	0.73	0.66
Total Volume	128.842	6	265	6	174
Total OI	4,774.789	4,228	5,348	4,231	5,348

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
2021-02-01	$26.12	$27.00	26.4%	7.6%	23.2%	16.4%	0.0%	9.0%	0.5%	24.3K	951.0K	-14.5K	0.00	60.24	N/A	N/A	0	6	2,262	1,969
2021-02-02	$26.39	$27.00	24.7%	7.1%	23.3%	14.2%	0.0%	9.8%	0.1%	31.3K	856.7K	-13.7K	0.73	51.85	N/A	N/A	74	54	2,262	1,966
2021-02-03	$26.70	$27.00	20.1%	5.8%	23.5%	8.5%	25.4%	10.8%	1.4%	67.5K	549.1K	-14.4K	0.17	22.42	N/A	N/A	134	23	2,336	2,012
2021-02-04	$26.79	$25.00	21.3%	6.1%	20.4%	9.4%	24.4%	7.9%	1.4%	87.1K	375.8K	-14.9K	0.57	64.18	N/A	N/A	61	35	2,470	2,029
2021-02-05	$27.19	$25.00	19.8%	6.0%	21.2%	7.5%	18.6%	7.1%	0.9%	148.5K	-105.1K	-15.4K	0.69	55.64	N/A	N/A	61	42	2,530	2,064
2021-02-08	$27.21	$25.00	20.8%	6.0%	21.2%	7.6%	19.4%	7.0%	0.6%	162.3K	-204.2K	-15.0K	0.44	31.56	N/A	N/A	82	36	2,569	2,064
2021-02-09	$27.04	$27.00	19.5%	5.8%	21.2%	6.0%	19.4%	8.3%	1.3%	138.5K	126.2K	-14.9K	3.67	35.31	N/A	N/A	3	11	2,648	2,109
2021-02-10	$26.85	$27.00	21.9%	6.3%	21.2%	8.9%	21.9%	7.2%	0.2%	111.2K	358.4K	-14.7K	14.40	90.49	N/A	N/A	10	144	2,651	2,117
2021-02-11	$26.90	$27.00	20.6%	5.9%	21.1%	7.3%	20.7%	6.4%	2.6%	84.8K	364.3K	-15.0K	0.00	83.65	N/A	N/A	0	69	2,661	2,223
2021-02-12	$26.95	$27.00	20.5%	5.9%	21.2%	6.6%	20.7%	4.7%	1.9%	72.9K	401.7K	-13.9K	0.00	92.41	N/A	N/A	0	242	2,661	2,242
2021-02-16	$27.13	$28.00	21.8%	6.2%	19.2%	8.1%	21.6%	6.7%	-0.8%	125.6K	351.4K	-15.4K	0.00	53.01	N/A	N/A	0	48	2,660	2,366
2021-02-17	$27.05	$28.00	20.5%	5.9%	19.2%	6.5%	20.5%	6.3%	0.8%	97.6K	626.7K	-14.2K	10.22	31.34	N/A	N/A	9	92	2,660	2,402
2021-02-18	$26.91	$28.00	20.4%	5.8%	19.3%	6.3%	20.2%	2.3%	1.6%	65.5K	805.8K	-14.0K	1.63	27.59	N/A	N/A	19	31	2,669	2,394
2021-02-19	$27.11	$27.00	20.0%	5.7%	19.4%	3.8%	19.4%	5.1%	1.6%	99.1K	560.0K	-14.1K	11.60	38.35	N/A	N/A	10	116	2,669	2,414
2021-02-22	$26.97	$28.00	21.3%	6.1%	19.2%	5.5%	21.4%	7.5%	0.2%	122.1K	981.7K	-13.3K	20.91	70.54	N/A	N/A	11	230	2,409	2,163
2021-02-23	$27.46	$28.00	22.4%	6.4%	19.6%	5.3%	19.0%	9.9%	-0.7%	165.9K	441.5K	-15.6K	1.91	94.79	N/A	N/A	32	61	2,419	2,338
2021-02-24	$27.48	$28.00	21.9%	6.3%	19.4%	4.6%	19.7%	8.9%	0.1%	170.4K	524.9K	-15.4K	0.12	26.65	N/A	N/A	235	28	2,450	2,393
2021-02-25	$27.32	$28.00	24.5%	7.0%	16.2%	8.1%	31.9%	11.1%	-1.3%	163.3K	520.0K	-17.0K	43.17	41.95	N/A	N/A	6	259	2,706	2,416
2021-02-26	$27.13	$28.00	23.6%	6.8%	15.2%	6.9%	21.1%	6.6%	-0.8%	140.5K	1.2M	-16.3K	0.66	43.86	N/A	N/A	105	69	2,709	2,639