EWP Options History — December 2021

In December 2021, EWP traded between $24.82 and $26.37. ATM implied volatility averaged 22.9%, placing in the 63.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.9% (HV 20d: 20.0%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2021-12-30: Highest Volume — 802 contracts
  • 2021-12-15: Largest IV drop — 31.3% change
  • 2021-12-01: Highest IV Rank — 100.0%
  • 2021-12-03: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.54$24.82$26.37$25.37$26.36
Max Pain$27.86$27.00$28.00$27.00$28.00
ATM IV22.9%18.2%31.0%30.7%19.1%
Expected Move6.3%5.2%8.9%8.8%5.5%
HV 20d20.0%16.0%22.8%16.0%18.9%
HV 60d17.5%17.0%18.6%17.2%17.0%
IV Rank63.7%42.1%100.0%100.0%46.3%
IV Percentile77.1%50.4%100.0%100.0%58.3%
Term Structure0.0%-6.9%2.5%-6.9%0.0%
VWIV19.6%15.8%31.4%26.2%17.2%
Skew 25d8.0%4.5%19.3%7.4%6.4%
Skew 10d14.8%5.0%28.4%13.7%10.0%
Call IV 25d18.0%11.3%25.1%24.8%15.1%
Put IV 25d25.9%21.0%39.1%32.2%21.6%
Bid-Ask Spread %70.2724.06105.75105.7541.56
Gamma HHI0.440.260.900.260.87
Net GEX-44.0K-161.5K-10.6K-11.5K-115.2K
Net DEX608.1K349.3K934.4K514.0K735.6K
Net VEX-1.4K-3.2K-725-1.6K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.733.220.761.27
Total Volume384.545321802329498
Total OI2,106.7731,8942,7481,9952,554

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$25.37$27.0030.7%8.8%16.0%100.0%26.2%7.4%-6.9%-11.5K514.0K-1.6K0.76105.75N/AN/A1871421,629366
2021-12-02$25.44$27.0029.5%8.5%16.3%94.6%25.3%10.6%-4.3%-20.8K593.9K-1.3K0.7899.08N/AN/A1871451,629379
2021-12-03$25.03$27.0031.0%8.9%16.5%100.0%31.4%19.3%-4.6%-13.8K613.6K-1.4K0.7634.34N/AN/A1871431,629382
2021-12-06$25.66$28.0025.6%6.7%18.9%75.6%20.9%7.9%-0.8%-21.1K537.6K-1.5K0.7975.14N/AN/A1871481,631382
2021-12-07$25.84$28.0024.3%5.6%19.4%69.9%17.0%5.4%2.3%-36.3K563.2K-1.1K0.8892.26N/AN/A1871651,631379
2021-12-08$25.94$28.0023.5%5.5%19.6%66.0%16.2%5.6%1.6%-46.0K588.1K-1.1K0.8877.29N/AN/A1871651,631396
2021-12-09$25.42$28.0019.8%6.2%20.4%49.1%17.0%7.3%1.4%-33.1K702.0K-8890.8979.36N/AN/A1861651,631396
2021-12-10$25.48$28.0020.5%5.4%20.6%52.4%16.1%4.5%2.5%-38.2K708.0K-8070.8992.13N/AN/A1861651,632397
2021-12-13$24.88$28.0026.0%5.8%21.7%77.3%18.1%6.3%1.9%-24.1K723.0K-8600.8996.47N/AN/A1861661,633397
2021-12-14$24.95$28.0030.3%6.6%21.9%96.9%19.3%8.6%0.9%-23.7K635.5K-9140.8979.55N/AN/A1861661,633369
2021-12-15$24.99$28.0020.8%6.0%21.9%53.8%20.5%5.7%2.0%-24.8K657.6K-8070.9187.60N/AN/A1861691,633368
2021-12-16$25.09$28.0020.6%5.9%22.1%52.7%21.3%6.1%0.5%-26.8K638.5K-7610.8145.31N/AN/A1911541,634362
2021-12-17$24.82$28.0021.4%6.1%22.2%56.5%20.0%7.2%0.9%-23.0K654.3K-7250.8977.29N/AN/A1911701,638362
2021-12-20$24.87$28.0023.6%6.8%20.9%66.6%22.1%10.0%0.4%-10.6K419.2K-8440.8895.88N/AN/A1711501,619275
2021-12-21$25.23$28.0024.2%6.9%21.7%69.3%19.6%10.1%-1.9%-13.2K395.8K-8700.9647.58N/AN/A1851771,619275
2021-12-22$25.58$28.0019.2%5.5%22.4%46.5%17.3%9.1%0.4%-16.4K388.8K-1.1K0.9638.12N/AN/A1851771,634311
2021-12-23$25.88$28.0018.2%5.2%22.8%42.1%15.9%7.9%1.6%-17.8K349.3K-1.1K1.1491.20N/AN/A1892161,634311
2021-12-27$26.11$28.0018.3%5.2%19.1%42.5%16.7%11.0%1.4%-52.3K498.0K-1.6K0.7336.71N/AN/A2431781,636491
2021-12-28$26.29$28.0019.6%5.6%19.2%48.6%17.6%6.7%0.2%-79.3K607.9K-2.3K0.9224.06N/AN/A2101931,689675
2021-12-29$26.37$28.0019.4%5.5%18.9%47.3%15.8%5.3%0.8%-158.1K918.9K-3.2K0.8575.50N/AN/A2101791,7101,019
2021-12-30$26.30$28.0019.3%5.5%18.9%47.1%19.1%6.5%0.2%-161.5K934.4K-3.1K3.2253.76N/AN/A1906121,7101,038
2021-12-31$26.36$28.0019.1%5.5%18.9%46.3%17.2%6.4%0.0%-115.2K735.6K-2.8K1.2741.56N/AN/A2192791,710844