EWP Options History — March 2021

In March 2021, EWP traded between $26.94 and $27.94. ATM implied volatility averaged 19.7%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 7.4% (HV 20d: 12.3%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 14.44.

Notable Days

  • 2021-03-01: Highest Volume — 418 contracts
  • 2021-03-04: Largest IV spike — 14.4% change
  • 2021-03-04: Highest IV Rank — 7.5%
  • 2021-03-01: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.40$26.94$27.94$27.41$27.41
Max Pain$27.13$27.00$28.00$28.00$27.00
ATM IV19.7%16.5%24.0%23.3%19.3%
Expected Move5.6%4.7%6.7%6.7%5.5%
HV 20d12.3%10.6%13.8%12.2%10.6%
HV 60d17.4%16.4%18.0%18.0%16.4%
IV Rank3.6%0.0%7.5%6.5%5.6%
IV Percentile7.1%0.0%28.6%19.8%5.6%
Term Structure1.5%-1.3%4.6%-1.3%0.4%
VWIV22.7%15.7%72.8%19.6%16.1%
Skew 25d6.3%2.1%12.1%9.6%2.8%
Skew 10d10.4%1.6%20.8%10.3%4.6%
Call IV 25d16.5%10.0%20.2%17.7%15.0%
Put IV 25d22.8%17.7%27.8%27.2%17.7%
Bid-Ask Spread %52.5914.55105.3128.6345.22
Gamma HHI0.340.170.680.340.17
Net GEX160.4K-117.2K828.2K170.0K-93.8K
Net DEX1.9M420.9K2.7M721.3K2.5M
Net VEX-13.1K-16.1K-10.8K-15.8K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.440.0953.0018.9030.00
Total Volume86.391241841831
Total OI5,262.6524,4785,8015,3154,627

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$27.41$28.0023.3%6.7%12.2%6.5%19.6%9.6%-1.3%170.0K721.3K-15.8K18.9028.63N/AN/A213972,6352,680
2021-03-02$27.43$28.0022.4%6.4%12.2%5.3%0.0%7.9%-0.4%173.5K1.3M-16.1K0.0014.55N/AN/A01832,6352,905
2021-03-03$27.05$28.0021.0%6.0%13.1%3.5%19.1%6.2%0.4%102.5K2.2M-15.7K53.0020.55N/AN/A21062,6352,996
2021-03-04$26.94$27.0024.0%6.6%12.7%7.5%23.0%7.1%0.9%103.8K2.1M-15.5K0.0055.69N/AN/A01012,6362,891
2021-03-05$27.12$27.0022.9%6.1%12.8%6.0%19.7%8.7%0.5%102.7K2.0M-15.2K0.0960.03N/AN/A245232,6362,995
2021-03-08$27.04$27.0024.0%6.2%11.7%7.5%21.5%7.5%1.2%101.6K2.2M-13.8K0.0054.27N/AN/A0212,5982,980
2021-03-09$27.35$27.0021.1%6.1%12.4%3.6%22.1%7.4%0.9%194.6K1.9M-13.7K38.0056.87N/AN/A1382,5982,996
2021-03-10$27.47$27.0021.0%6.0%12.3%3.5%18.1%6.4%0.8%270.0K1.6M-13.6K0.0043.93N/AN/A0772,5983,009
2021-03-11$27.74$27.0018.3%5.2%12.3%0.0%20.9%7.2%2.9%382.8K1.1M-13.4K5.6457.90N/AN/A221242,5982,969
2021-03-12$27.94$27.0018.7%5.4%12.4%0.6%0.0%5.2%2.6%466.4K420.9K-15.1K5.5060.52N/AN/A4222,6213,076
2021-03-15$27.82$27.0018.4%5.3%12.6%0.1%19.8%5.5%3.7%485.4K873.9K-14.3K6.3377.71N/AN/A6382,6233,093
2021-03-16$27.80$27.0017.4%5.0%12.5%0.0%72.8%5.4%4.1%637.9K1.1M-13.3K19.0064.75N/AN/A2382,6293,110
2021-03-17$27.86$27.0016.5%4.7%12.4%0.0%0.0%2.1%4.6%828.2K764.1K-11.9K0.20105.31N/AN/A2042,6293,148
2021-03-18$27.66$27.0017.9%5.1%12.6%2.2%0.0%3.7%1.9%504.1K1.8M-12.7K0.0076.75N/AN/A022,6493,152
2021-03-19$27.61$27.0016.6%4.8%12.4%0.3%0.0%8.2%2.9%-66.8K2.2M-11.4K3.7981.88N/AN/A391482,6493,151
2021-03-22$27.15$27.0018.4%5.3%13.8%3.9%20.5%5.4%2.2%-90.4K2.6M-11.4K8.6786.49N/AN/A3261,5762,902
2021-03-23$27.01$27.0017.5%5.0%12.2%2.1%17.8%4.6%3.1%-94.3K2.7M-11.7K0.9223.42N/AN/A26241,5772,920
2021-03-24$27.07$27.0017.8%5.1%12.2%2.7%16.7%5.1%1.9%-98.7K2.7M-11.5K0.0028.08N/AN/A0521,5872,942
2021-03-25$27.11$27.0018.8%5.4%12.1%4.6%15.7%12.1%0.7%-117.2K2.7M-11.0K25.5079.28N/AN/A2511,5872,991
2021-03-26$27.35$27.0019.5%5.6%12.3%6.0%0.0%6.6%-0.3%-94.3K2.5M-11.3K0.0020.43N/AN/A0521,5862,991
2021-03-29$27.38$27.0019.7%5.6%11.7%6.3%18.9%5.1%0.1%-91.9K2.5M-11.1K1.0024.60N/AN/A881,5853,031
2021-03-30$27.47$27.0019.0%5.5%11.8%5.1%0.0%5.5%1.2%-86.3K2.4M-11.0K0.0042.71N/AN/A0201,5863,033
2021-03-31$27.41$27.0019.3%5.5%10.6%5.6%16.1%2.8%0.4%-93.8K2.5M-10.8K30.0045.22N/AN/A1301,5863,041