EWP Options History — November 2021

In November 2021, EWP traded between $25.43 and $28.72. ATM implied volatility averaged 19.1%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.0% (HV 20d: 14.2%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2021-11-24: Highest Volume — 402 contracts
  • 2021-11-26: Largest IV spike — 22.4% change
  • 2021-11-30: Highest IV Rank — 100.0%
  • 2021-11-30: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.36$25.43$28.72$28.72$25.43
Max Pain$27.43$27.00$28.00$27.00$27.00
ATM IV19.1%14.4%30.0%14.4%30.0%
Expected Move5.6%4.1%8.6%4.1%8.6%
HV 20d14.2%12.5%17.9%13.8%16.0%
HV 60d16.0%15.5%17.2%15.8%17.2%
IV Rank50.1%18.6%100.0%18.6%100.0%
IV Percentile50.9%6.0%100.0%6.0%100.0%
Term Structure-1.0%-6.7%2.5%1.2%-6.7%
VWIV20.0%15.6%26.4%15.8%25.2%
Skew 25d6.6%1.5%13.8%4.2%9.4%
Skew 10d12.1%-0.5%24.5%1.9%24.3%
Call IV 25d16.0%11.2%25.1%14.5%25.1%
Put IV 25d22.5%16.7%34.5%18.7%34.5%
Bid-Ask Spread %76.9824.42123.2558.0491.48
Gamma HHI0.390.270.530.530.29
Net GEX70.3K-18.8K160.7K160.7K-16.7K
Net DEX-139.0K-907.2K543.6K-907.2K543.6K
Net VEX-3.2K-5.9K-1.3K-5.9K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.441.040.610.78
Total Volume310.81274402274332
Total OI1,869.9051,8191,9911,8231,991

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$28.72$27.0014.4%4.1%13.8%18.6%15.8%4.2%1.2%160.7K-907.2K-5.9K0.6158.04N/AN/A1701041,620203
2021-11-02$28.46$27.0017.0%4.9%14.0%27.7%15.6%1.5%2.4%145.3K-645.1K-5.1K0.6239.73N/AN/A1701051,617202
2021-11-03$28.41$27.0015.6%4.5%13.4%25.8%16.4%4.3%2.5%141.8K-661.2K-5.2K0.59100.74N/AN/A1841081,617203
2021-11-04$28.02$28.0014.8%4.9%13.6%30.0%19.4%4.4%-0.9%111.2K-409.5K-4.5K0.5960.97N/AN/A1841081,625203
2021-11-05$28.31$28.0016.0%5.2%14.0%36.0%19.5%4.9%-1.0%129.9K-499.7K-4.4K0.5937.57N/AN/A1841081,625202
2021-11-08$28.22$28.0016.7%5.3%13.2%39.1%20.1%5.1%-1.3%124.7K-472.7K-4.3K0.5791.34N/AN/A1891081,625202
2021-11-09$28.15$28.0016.9%5.3%13.1%40.2%20.3%5.1%-0.8%119.5K-409.6K-4.0K0.5466.11N/AN/A1901031,638202
2021-11-10$28.04$28.0019.3%5.5%13.2%52.5%22.5%6.0%-0.4%114.5K-428.1K-4.2K0.5437.77N/AN/A1901031,640209
2021-11-11$27.96$28.0017.9%5.1%13.2%45.5%20.5%10.1%-0.5%113.2K-384.3K-4.2K0.5462.05N/AN/A1901031,640209
2021-11-12$27.84$28.0017.6%5.0%13.2%43.8%18.8%7.5%-1.2%103.0K-297.1K-3.7K0.54102.15N/AN/A1901031,640209
2021-11-15$27.75$28.0017.3%5.0%13.1%42.6%19.7%7.9%-0.1%95.8K-198.6K-3.2K0.48103.22N/AN/A190911,640209
2021-11-16$27.46$28.0018.8%5.4%13.1%49.9%18.8%5.2%-1.3%63.0K-78.4K-2.8K0.4880.87N/AN/A192921,640212
2021-11-17$27.36$27.0018.9%5.4%12.7%50.6%19.6%5.9%-1.1%61.2K-76.9K-2.9K0.46101.33N/AN/A200921,638213
2021-11-18$27.14$27.0018.4%5.3%12.5%47.8%18.3%8.6%-0.9%20.9K98.6K-1.8K0.4482.72N/AN/A209921,646213
2021-11-19$26.47$27.0021.4%6.1%15.0%63.5%18.8%7.1%-2.9%20.9K174.6K-1.8K0.5187.41N/AN/A2181111,661213
2021-11-22$26.59$27.0019.8%5.7%15.2%55.1%19.2%7.0%-0.7%16.2K153.3K-1.7K0.6687.37N/AN/A2061351,615224
2021-11-23$26.65$27.0019.5%5.6%14.8%53.7%21.3%8.1%-0.2%-4.3K272.6K-2.0K0.9124.42N/AN/A2081901,615325
2021-11-24$26.46$27.0020.9%6.0%14.9%60.6%20.3%4.4%-1.7%-17.6K347.5K-1.6K1.0488.72N/AN/A1972051,617325
2021-11-26$25.54$27.0025.6%7.3%17.6%84.4%26.4%7.3%-2.2%-7.3K455.5K-1.7K0.76123.25N/AN/A1871421,629340
2021-11-29$25.64$27.0025.5%7.3%17.9%84.0%23.2%13.8%-2.2%-18.8K502.6K-1.3K0.8489.40N/AN/A1871571,629342
2021-11-30$25.43$27.0030.0%8.6%16.0%100.0%25.2%9.4%-6.7%-16.7K543.6K-1.4K0.7891.48N/AN/A1871451,629362