EWP Options History — June 2021

In June 2021, EWP traded between $28.37 and $30.72. ATM implied volatility averaged 15.7%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.0% (HV 20d: 13.7%). Max pain ranged from $29.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2021-06-29: Highest Volume — 1,507 contracts
  • 2021-06-08: Largest IV spike — 49.9% change
  • 2021-06-30: Highest IV Rank — 28.5%
  • 2021-06-30: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.76$28.37$30.72$30.72$28.37
Max Pain$30.18$29.00$32.00$30.00$29.00
ATM IV15.7%8.9%18.0%16.9%18.0%
Expected Move4.6%3.9%5.2%4.8%5.2%
HV 20d13.7%11.7%15.7%15.1%15.7%
HV 60d14.5%13.7%15.9%13.8%15.4%
IV Rank19.9%0.0%28.5%17.7%28.5%
IV Percentile7.7%0.0%21.4%7.9%21.4%
Term Structure1.6%-0.5%3.1%-0.5%1.0%
VWIV16.3%12.7%29.6%19.5%16.8%
Skew 25d5.2%2.9%10.2%6.3%4.7%
Skew 10d14.1%4.8%27.7%27.7%8.0%
Call IV 25d13.5%8.4%16.2%13.9%16.2%
Put IV 25d18.8%16.5%22.2%20.2%20.8%
Bid-Ask Spread %42.5514.6999.3999.3916.06
Gamma HHI0.330.150.530.200.26
Net GEX308.1K30.3K722.1K58.3K179.8K
Net DEX-642.7K-2.3M1.2M631.1K-602.5K
Net VEX-11.1K-17.0K-4.9K-6.8K-15.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.004.671.670.39
Total Volume377.22701,50716488
Total OI5,4093,6137,7683,6137,768

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$30.72$30.0016.9%4.8%15.1%17.7%19.5%6.3%-0.5%58.3K631.1K-6.8K1.6799.39N/AN/A6101,1622,451
2021-06-02$30.60$30.0014.7%4.2%14.7%10.2%14.8%5.5%1.0%53.2K713.2K-6.1K0.0315.86N/AN/A5821,1622,461
2021-06-03$30.38$32.0017.3%4.8%14.6%19.2%17.1%4.9%2.0%33.2K1.0M-5.3K0.0094.72N/AN/A3901,1542,459
2021-06-04$30.29$32.0015.3%4.5%14.5%12.2%15.8%4.9%2.0%57.8K927.6K-5.2K0.0525.88N/AN/A10451,1902,459
2021-06-07$30.55$32.008.9%3.9%13.2%0.0%15.1%3.8%3.1%93.6K940.2K-4.9K0.0080.71N/AN/A2201,2862,464
2021-06-08$30.47$32.0013.4%4.3%13.2%14.1%0.0%3.6%2.7%79.4K837.3K-5.7K0.0052.14N/AN/A201,2642,464
2021-06-09$30.53$32.0014.1%4.0%12.5%16.3%0.0%5.9%2.7%80.4K746.9K-5.8K0.0058.04N/AN/A001,2662,464
2021-06-10$29.97$32.0016.0%4.6%14.1%22.1%14.3%5.3%2.3%30.3K1.2M-6.3K0.0033.52N/AN/A60201,2562,464
2021-06-11$30.06$31.0016.1%4.6%14.0%22.7%16.2%4.7%1.7%132.3K304.3K-7.5K0.0135.16N/AN/A1,00791,7342,350
2021-06-14$30.34$30.0016.1%4.6%11.7%22.5%15.4%5.1%2.3%429.3K-2.2M-10.6K0.0057.15N/AN/A1102,7342,196
2021-06-15$30.27$30.0016.8%4.8%11.7%24.9%0.0%2.9%1.3%407.0K-1.8M-10.1K0.9923.62N/AN/A3393372,7252,196
2021-06-16$29.94$30.0016.4%4.7%12.1%23.4%0.0%3.2%2.3%395.0K-1.7M-14.1K1.0074.38N/AN/A1631633,0622,533
2021-06-17$29.60$30.0014.8%4.2%11.7%18.5%14.2%3.7%2.2%389.3K-1.3M-15.7K0.0041.39N/AN/A1,19713,2252,696
2021-06-18$29.01$29.0017.5%5.0%13.0%26.9%17.1%6.3%1.0%399.6K-1.4M-15.3K0.1034.46N/AN/A210204,4122,340
2021-06-21$29.26$29.0016.9%4.9%13.2%25.2%14.1%4.6%1.2%631.5K-2.3M-16.0K4.6744.68N/AN/A12564,5342,283
2021-06-22$29.23$29.0016.1%4.6%13.0%22.4%0.0%10.2%1.6%640.0K-2.1M-15.9K0.2731.76N/AN/A2264,5422,339
2021-06-23$28.89$29.0016.3%4.7%13.3%23.2%16.3%4.4%0.8%486.9K-1.3M-14.3K0.9118.09N/AN/A5324864,5642,341
2021-06-24$29.29$29.0016.6%4.8%14.5%24.1%12.9%5.7%0.5%685.9K-2.3M-16.2K2.4428.61N/AN/A411004,6152,341
2021-06-25$29.35$29.0016.3%4.7%14.6%23.2%29.6%5.9%1.3%722.1K-2.1M-15.8K0.0531.65N/AN/A188104,6052,441
2021-06-28$28.81$29.0015.3%4.4%15.4%20.1%12.7%9.1%1.7%421.9K-1.1M-14.0K0.0224.22N/AN/A53594,7882,441
2021-06-29$28.70$29.0015.4%4.4%15.4%20.2%15.7%5.0%1.4%371.7K-1.3M-17.0K0.3914.69N/AN/A1,0824255,3202,447
2021-06-30$28.37$29.0018.0%5.2%15.7%28.5%16.8%4.7%1.0%179.8K-602.5K-15.8K0.3916.06N/AN/A3521365,3212,447