EWP Options History — September 2021

In September 2021, EWP traded between $26.70 and $28.62. ATM implied volatility averaged 18.3%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.3% (HV 20d: 16.0%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.70.

Notable Days

  • 2021-09-01: Highest Volume — 237 contracts
  • 2021-09-28: Largest IV spike — 31.2% change
  • 2021-09-28: Highest IV Rank — 46.6%
  • 2021-09-28: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.70$26.70$28.62$28.62$27.04
Max Pain$28.05$28.00$29.00$29.00$28.00
ATM IV18.3%12.2%23.7%12.5%22.8%
Expected Move5.3%3.6%6.8%3.6%6.5%
HV 20d16.0%13.1%20.0%13.1%19.1%
HV 60d17.1%16.7%18.1%17.1%18.1%
IV Rank29.6%10.3%46.6%11.1%43.7%
IV Percentile39.0%1.2%77.4%1.2%72.6%
Term Structure0.8%-2.0%2.4%2.4%-0.8%
VWIV19.8%11.3%68.5%13.8%68.5%
Skew 25d7.6%4.3%14.1%4.3%7.5%
Skew 10d12.5%2.1%21.1%2.1%15.4%
Call IV 25d14.8%10.7%19.1%11.8%19.1%
Put IV 25d22.5%16.2%29.6%16.2%26.6%
Bid-Ask Spread %44.6312.7695.1247.4127.63
Gamma HHI0.320.290.370.310.34
Net GEX39.1K-36.2K145.0K66.3K14.1K
Net DEX5.2K-1.5M919.4K-1.5M787.4K
Net VEX-10.7K-15.7K-6.9K-15.7K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.700.0012.003.560.00
Total Volume30.42902372374
Total OI4,821.9054,4505,1845,1844,504

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$28.62$29.0012.5%3.6%13.1%11.1%13.8%4.3%2.4%66.3K-1.5M-15.7K3.5647.41N/AN/A521853,5241,660
2021-09-02$28.61$28.0012.2%4.0%13.1%10.3%15.0%7.8%2.3%67.4K-1.4M-15.1K5.0015.87N/AN/A3153,5251,609
2021-09-03$28.32$28.0015.3%4.8%13.6%20.0%13.2%8.0%1.9%41.9K-934.2K-14.6K1.6013.35N/AN/A583,5351,526
2021-09-07$28.27$28.0016.6%4.9%13.6%24.0%16.7%6.6%1.9%35.0K-788.0K-13.6K1.0076.40N/AN/A223,5351,523
2021-09-08$28.05$28.0017.2%4.9%13.9%25.9%17.3%6.5%1.6%14.5K-324.3K-12.8K0.8212.76N/AN/A22183,5401,527
2021-09-09$27.90$28.0017.1%4.9%13.3%25.6%14.8%6.3%1.8%-13.9K-133.6K-12.6K0.2771.87N/AN/A1543,5401,515
2021-09-10$27.49$28.0019.5%5.6%14.2%33.2%17.1%5.7%0.3%-11.3K494.7K-11.7K1.8626.86N/AN/A14263,5401,528
2021-09-13$27.98$28.0016.6%4.8%15.6%24.2%0.0%7.0%1.7%-14.8K-252.0K-12.0K0.0081.87N/AN/A003,5321,529
2021-09-14$27.77$28.0016.7%4.8%15.6%24.5%16.5%5.8%2.4%-36.2K181.4K-11.3K0.5030.73N/AN/A213,5321,528
2021-09-15$27.49$28.0019.5%5.6%15.0%33.3%15.7%7.8%0.1%40.6K788.2K-10.3K9.5016.40N/AN/A2193,5321,528
2021-09-16$27.54$28.0015.9%4.6%14.5%21.9%11.3%8.6%1.5%10.1K777.3K-10.1K0.0021.43N/AN/A0243,5311,528
2021-09-17$27.37$28.0019.8%5.7%14.6%34.1%18.7%7.2%0.5%46.9K919.4K-9.6K9.0019.50N/AN/A5453,5311,516
2021-09-20$26.70$28.0022.4%6.4%16.6%42.3%22.2%14.1%-0.5%13.7K898.0K-7.8K12.0095.12N/AN/A5603,4111,039
2021-09-21$27.16$28.0021.5%6.2%17.8%39.7%16.0%9.0%-0.1%35.2K654.9K-7.9K0.2963.25N/AN/A2883,4111,039
2021-09-22$27.34$28.0021.0%6.0%18.0%38.1%21.1%7.5%-0.6%51.4K391.4K-8.5K0.2267.21N/AN/A2353,4151,048
2021-09-23$27.66$28.0016.6%4.8%18.6%24.1%0.0%8.0%1.2%95.9K-99.5K-9.2K0.0026.89N/AN/A003,4291,049
2021-09-24$27.66$28.0017.3%5.0%18.0%26.4%0.0%8.4%0.7%93.6K-115.5K-9.4K0.0021.64N/AN/A703,4521,044
2021-09-27$28.03$28.0018.1%5.2%18.3%28.9%16.4%5.8%1.4%145.0K-722.9K-9.6K0.0069.07N/AN/A103,4531,044
2021-09-28$27.36$28.0023.7%6.8%20.0%46.6%0.0%6.8%-2.0%63.0K164.4K-8.8K0.0090.91N/AN/A003,4601,044
2021-09-29$27.35$28.0022.6%6.5%20.0%43.1%22.9%11.8%-1.4%63.5K291.2K-7.9K0.3240.96N/AN/A2273,4601,044
2021-09-30$27.04$28.0022.8%6.5%19.1%43.7%68.5%7.5%-0.8%14.1K787.4K-6.9K0.0027.63N/AN/A403,4601,044