EWP Options History — September 2022

In September 2022, EWP traded between $19.79 and $23.50. ATM implied volatility averaged 32.8%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 0.9% (HV 20d: 33.7%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 20.97.

Notable Days

  • 2022-09-26: Highest Volume — 2,279 contracts
  • 2022-09-15: Largest IV drop — 47.8% change
  • 2022-09-14: Highest IV Rank — 79.7%
  • 2022-09-14: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.57$19.79$23.50$21.62$19.85
Max Pain$24.81$23.00$25.00$23.00$25.00
ATM IV32.8%25.1%48.0%31.5%35.3%
Expected Move9.2%7.2%13.8%9.0%10.1%
HV 20d33.7%20.8%43.6%20.8%43.6%
HV 60d28.3%23.4%31.8%26.4%31.3%
IV Rank47.3%30.7%79.7%44.5%52.6%
IV Percentile85.2%48.4%99.2%88.5%92.9%
Term Structure0.8%-3.0%20.9%-2.4%-1.6%
VWIV29.2%15.2%47.1%31.2%35.1%
Skew 25d10.1%5.9%34.5%5.9%7.1%
Skew 10d15.4%-4.9%28.3%4.9%9.8%
Call IV 25d26.3%10.7%34.2%29.6%31.2%
Put IV 25d36.4%31.0%45.6%35.5%38.3%
Bid-Ask Spread %76.4431.7388.5779.1584.16
Gamma HHI0.360.240.510.360.49
Net GEX-232.1K-460.9K-90.0K-282.6K-107.7K
Net DEX10.8M7.7M14.3M14.0M9.7M
Net VEX-10.6K-18.0K-3.8K-13.7K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio20.971.81115.002.312.08
Total Volume789.04812,2791062,146
Total OI7,560.4766,2098,7308,6967,826

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$21.62$23.0031.5%9.0%20.8%44.5%31.2%5.9%-2.4%-282.6K14.0M-13.7K2.3179.15N/AN/A32747317,965
2022-09-02$21.34$23.0033.7%9.7%20.9%49.1%0.0%9.5%-1.8%-236.3K14.3M-11.4K0.0071.95N/AN/A0187497,981
2022-09-06$21.41$25.0033.8%8.9%20.8%49.3%15.2%8.1%-1.5%-250.8K14.2M-11.7K14.3173.04N/AN/A1311,8747497,956
2022-09-07$21.89$25.0031.6%8.2%22.2%44.7%27.2%8.1%-0.8%-251.4K11.1M-11.8K1.8567.49N/AN/A1312437496,558
2022-09-08$21.88$25.0029.6%8.1%21.3%40.4%25.8%8.5%-0.2%-233.0K11.2M-10.6K115.0073.38N/AN/A11157496,526
2022-09-09$22.51$25.0027.2%7.6%24.2%35.2%27.2%8.1%-0.1%-298.2K10.6M-12.7K14.0081.94N/AN/A4567506,502
2022-09-12$23.02$25.0031.1%7.9%25.5%43.6%24.4%7.3%-0.1%-388.7K9.5M-15.1K4.7774.44N/AN/A13627546,448
2022-09-13$22.15$25.0035.9%8.6%28.7%53.9%28.0%6.6%-1.1%-249.9K10.7M-11.0K1.8174.60N/AN/A1132057606,412
2022-09-14$23.50$25.0048.0%13.8%36.2%79.7%47.1%34.5%12.1%-437.1K7.7M-18.0K0.0083.29N/AN/A017606,418
2022-09-15$23.50$25.0025.1%7.2%35.6%30.7%31.3%34.3%20.9%-460.9K8.0M-17.9K2.1388.57N/AN/A3106607606,418
2022-09-16$22.22$25.0030.0%8.6%39.1%41.3%31.5%7.9%-0.2%-265.4K11.0M-12.4K7.8071.53N/AN/A1078351,0086,979
2022-09-19$22.34$25.0030.0%8.6%38.7%41.3%21.0%7.5%-0.7%-285.2K10.9M-12.0K0.0074.04N/AN/A099346,520
2022-09-20$21.88$25.0030.9%8.8%38.9%43.1%21.4%6.9%-0.6%-235.5K11.3M-9.9K73.5084.24N/AN/A21479346,517
2022-09-21$21.41$25.0031.1%8.9%39.6%43.7%30.4%7.5%-0.8%-186.3K11.3M-7.9K75.0081.99N/AN/A1759366,329
2022-09-22$21.51$25.0029.0%8.3%39.7%39.1%19.2%8.8%0.2%-173.7K11.4M-7.1K0.0084.84N/AN/A0609376,279
2022-09-23$20.60$25.0032.4%9.3%42.1%46.3%28.1%6.7%-0.7%-122.2K11.5M-5.4K33.3631.73N/AN/A113679376,271
2022-09-26$20.18$25.0035.0%10.0%41.8%52.0%34.1%6.4%-0.4%-90.0K9.6M-3.8K2.3075.12N/AN/A6901,5899395,270
2022-09-27$19.79$25.0037.9%10.9%42.0%58.2%35.8%7.1%-3.0%-105.1K9.7M-7.5K2.1180.92N/AN/A6971,4741,5406,313
2022-09-28$20.31$25.0035.5%10.2%43.5%52.9%34.2%9.1%-1.7%-107.3K9.6M-7.6K2.1186.64N/AN/A6971,4741,5476,280
2022-09-29$19.98$25.0034.5%9.9%43.6%50.9%36.1%6.2%0.5%-106.1K9.6M-7.3K2.0882.26N/AN/A6971,4491,5436,236
2022-09-30$19.85$25.0035.3%10.1%43.6%52.6%35.1%7.1%-1.6%-107.7K9.7M-6.9K2.0884.16N/AN/A6971,4491,5406,286