EWP Options History — July 2021

In July 2021, EWP traded between $26.45 and $28.64. ATM implied volatility averaged 17.5%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 1.5% (HV 20d: 19.1%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 9.09.

Notable Days

  • 2021-07-23: Highest Volume — 1,637 contracts
  • 2021-07-06: Largest IV spike — 44.8% change
  • 2021-07-19: Highest IV Rank — 44.7%
  • 2021-07-19: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.78$26.45$28.64$28.64$27.73
Max Pain$27.81$27.00$29.00$29.00$28.00
ATM IV17.5%13.8%23.1%15.1%15.5%
Expected Move4.9%4.0%6.6%4.3%4.4%
HV 20d19.1%15.8%22.1%16.3%21.0%
HV 60d16.9%15.4%18.0%15.5%17.5%
IV Rank27.0%15.2%44.7%19.5%20.5%
IV Percentile20.4%1.6%56.7%4.0%7.9%
Term Structure1.0%-0.5%2.4%1.5%1.0%
VWIV17.6%13.7%23.4%19.2%16.5%
Skew 25d6.3%2.3%8.6%5.3%7.9%
Skew 10d9.1%0.7%16.7%5.2%15.1%
Call IV 25d14.1%10.7%18.6%13.3%11.3%
Put IV 25d20.4%15.5%25.4%18.6%19.1%
Bid-Ask Spread %35.126.9588.1512.9215.01
Gamma HHI0.270.180.650.310.29
Net GEX74.6K-370.2K318.9K318.9K130.3K
Net DEX-458.4K-2.4M1.1M-1.2M-1.0M
Net VEX-16.4K-27.2K-8.9K-18.2K-26.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.090.0083.500.0021.00
Total Volume276.1901,6371172
Total OI6,761.6193,6388,6388,0207,128

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$28.64$29.0015.1%4.3%16.3%19.5%19.2%5.3%1.5%318.9K-1.2M-18.2K0.0012.92N/AN/A1105,5732,447
2021-07-02$28.55$29.0013.8%4.0%16.3%15.2%0.0%2.3%2.1%217.2K-940.3K-16.9K0.0053.65N/AN/A005,5822,447
2021-07-06$28.38$27.0020.0%5.3%15.8%34.7%0.0%6.0%0.2%140.1K-645.8K-15.7K0.3015.08N/AN/A2785,5822,447
2021-07-07$28.29$27.0016.8%4.9%15.8%24.9%0.0%5.0%1.4%72.8K-488.5K-15.2K1.1927.37N/AN/A21255,6082,447
2021-07-08$27.72$27.0019.3%5.1%16.7%32.5%0.0%6.2%1.4%-29.3K283.0K-13.9K6.5021.48N/AN/A2135,6162,472
2021-07-09$28.27$27.0018.0%4.9%18.0%28.5%0.0%7.3%1.6%48.8K-430.1K-15.1K0.0020.18N/AN/A16805,6182,479
2021-07-12$28.36$27.0022.5%5.1%18.0%42.8%16.6%7.3%0.8%59.8K-600.6K-15.5K1.2523.69N/AN/A48605,7702,479
2021-07-13$27.80$28.0016.1%4.6%18.3%22.5%16.8%4.3%2.0%-67.2K186.2K-13.7K0.0010.30N/AN/A0855,7922,539
2021-07-14$27.74$28.0016.0%4.6%18.3%22.1%16.1%5.1%1.2%-73.9K253.8K-13.6K0.0222.93N/AN/A24855,7922,553
2021-07-15$27.22$28.0018.5%5.3%18.9%30.2%15.6%7.4%0.6%-162.9K783.6K-12.6K16.0058.17N/AN/A81286,0232,558
2021-07-16$27.05$28.0018.7%5.4%18.8%30.7%17.5%5.8%-0.0%-370.2K1.1M-12.0K0.0672.49N/AN/A836516,0312,607
2021-07-19$26.45$28.0023.1%6.6%19.0%44.7%23.4%6.9%-0.5%14.6K917.2K-8.9K0.0072.91N/AN/A0932,674964
2021-07-20$26.74$28.0018.5%5.3%19.3%30.2%22.7%7.8%0.4%56.8K483.7K-12.4K0.8528.18N/AN/A13113,324986
2021-07-21$27.45$28.0019.2%5.5%22.1%32.3%20.3%8.5%0.1%117.3K-167.0K-14.0K11.3388.15N/AN/A151703,319979
2021-07-22$27.48$27.0018.5%5.3%21.9%30.1%17.5%8.3%0.7%106.2K-236.1K-15.1K1.0810.60N/AN/A1731863,3241,079
2021-07-23$27.70$28.0014.1%4.0%21.5%16.1%17.3%6.8%2.4%84.8K-251.9K-15.9K0.0926.11N/AN/A1,5051323,2181,242
2021-07-26$27.95$28.0015.8%4.5%21.8%21.5%13.7%4.7%1.1%106.4K-572.1K-16.2K0.316.95N/AN/A103323,2181,242
2021-07-27$27.84$28.0016.9%4.8%21.0%24.9%18.2%6.3%0.6%301.8K-2.4M-23.1K11.0653.57N/AN/A1001,1064,7041,199
2021-07-28$27.90$28.0016.0%4.6%21.0%22.2%14.1%8.6%0.7%294.9K-2.4M-22.9K83.5080.35N/AN/A21674,7011,241
2021-07-29$28.11$28.0015.8%4.5%20.9%21.6%16.3%4.6%1.3%199.3K-2.3M-27.2K21.0017.44N/AN/A81684,7862,204
2021-07-30$27.73$28.0015.5%4.4%21.0%20.5%16.5%7.9%1.0%130.3K-1.0M-26.8K0.0015.01N/AN/A0724,7882,340