EWP Options History — October 2021

In October 2021, EWP traded between $27.21 and $28.37. ATM implied volatility averaged 18.6%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.4% (HV 20d: 17.2%). Max pain ranged from $18.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2021-10-25: Highest Volume — 312 contracts
  • 2021-10-11: Largest IV spike — 44.7% change
  • 2021-10-11: Highest IV Rank — 61.2%
  • 2021-10-04: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.80$27.21$28.37$27.21$28.25
Max Pain$22.00$18.00$28.00$28.00$27.00
ATM IV18.6%14.5%28.4%21.5%15.8%
Expected Move5.1%4.2%6.4%6.2%4.5%
HV 20d17.2%12.7%20.6%19.3%12.8%
HV 60d16.0%15.2%17.7%17.7%15.4%
IV Rank30.4%17.5%61.2%39.6%23.5%
IV Percentile40.1%6.0%96.0%62.7%18.7%
Term Structure0.8%-1.5%2.4%-0.8%2.3%
VWIV17.3%15.1%21.7%19.6%16.4%
Skew 25d5.8%2.7%8.2%8.2%3.8%
Skew 10d10.1%-1.2%18.7%8.6%5.6%
Call IV 25d15.9%10.6%19.4%17.8%14.3%
Put IV 25d21.6%17.2%26.4%26.1%18.1%
Bid-Ask Spread %47.1913.0090.9968.2825.70
Gamma HHI0.440.320.640.340.51
Net GEX147.6K7.5K621.9K18.2K129.1K
Net DEX-265.7K-787.2K694.8K694.8K-598.8K
Net VEX-5.8K-7.4K-4.5K-6.7K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.001.000.000.52
Total Volume122.09503120308
Total OI3,210.9521,7284,5084,5081,820

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$27.21$28.0021.5%6.2%19.3%39.6%0.0%8.2%-0.8%18.2K694.8K-6.7K0.0068.28N/AN/A003,4641,044
2021-10-04$27.23$18.0026.1%6.4%19.2%54.1%0.0%7.7%-1.5%38.2K522.3K-7.0K0.0087.67N/AN/A103,4621,044
2021-10-05$27.55$18.0018.5%5.6%19.8%30.0%19.6%7.8%-0.9%92.4K111.2K-7.2K0.0038.98N/AN/A303,4621,044
2021-10-06$27.28$18.0023.5%6.2%19.9%45.8%0.0%6.7%-0.5%7.5K576.3K-6.6K0.0037.54N/AN/A003,4621,044
2021-10-07$27.69$18.0018.1%5.5%20.6%28.8%0.0%5.9%0.1%136.3K-202.4K-7.3K0.0078.99N/AN/A003,4631,044
2021-10-08$27.80$18.0019.6%5.2%19.9%33.6%21.7%6.8%0.6%161.3K-441.1K-7.4K0.0077.80N/AN/A1203,4631,044
2021-10-11$27.47$18.0028.4%6.0%19.3%61.2%0.0%5.8%-0.2%66.4K229.7K-6.4K0.0059.84N/AN/A003,4581,044
2021-10-12$27.66$18.0021.0%5.4%19.3%38.0%0.0%7.5%0.4%173.3K-279.4K-6.2K0.0036.99N/AN/A0123,4641,044
2021-10-13$27.71$18.0017.7%5.1%19.0%27.6%0.0%6.2%0.5%260.8K-170.2K-5.6K0.0055.00N/AN/A003,4641,044
2021-10-14$27.82$18.0017.3%5.0%19.0%26.5%18.0%4.8%1.4%356.9K-441.4K-5.5K0.4683.26N/AN/A35163,4641,044
2021-10-15$27.96$18.0016.9%4.9%18.9%25.2%17.6%4.7%1.0%621.9K-787.2K-5.4K1.0027.72N/AN/A11113,4621,044
2021-10-18$27.79$18.0017.1%4.9%16.6%25.8%17.3%4.7%1.6%96.8K-399.8K-4.5K0.0730.12N/AN/A1411,591137
2021-10-19$28.05$20.0016.8%4.8%15.8%24.9%16.8%4.6%1.1%115.5K-557.9K-5.3K0.0045.19N/AN/A401,598145
2021-10-20$28.27$27.0017.2%4.9%15.9%25.9%17.9%5.8%0.7%131.8K-658.6K-5.5K0.3632.55N/AN/A214771,615146
2021-10-21$27.97$27.0016.3%4.7%16.0%23.0%17.5%5.4%1.8%112.5K-513.0K-5.1K0.4143.16N/AN/A214881,615171
2021-10-22$27.91$27.0014.5%4.2%16.0%17.5%15.9%3.2%2.4%109.9K-535.6K-5.3K0.4190.99N/AN/A214881,615183
2021-10-25$27.84$27.0015.7%4.5%15.3%21.2%15.8%6.4%1.8%105.4K-439.1K-4.8K0.4618.24N/AN/A214981,615183
2021-10-26$28.06$27.0015.6%4.5%12.7%21.0%16.6%2.7%2.2%115.8K-512.3K-4.9K0.4617.22N/AN/A214981,615193
2021-10-27$27.97$27.0015.6%4.5%12.8%20.9%15.1%6.9%2.2%112.3K-466.7K-4.9K0.4613.00N/AN/A214981,615193
2021-10-28$28.37$27.0016.9%4.8%12.7%25.0%16.2%5.4%1.1%137.1K-710.5K-5.6K0.5022.80N/AN/A2031021,615193
2021-10-29$28.25$27.0015.8%4.5%12.8%23.5%16.4%3.8%2.3%129.1K-598.8K-5.3K0.5225.70N/AN/A2031051,620200