EWP Options History — November 2022

In November 2022, EWP traded between $21.38 and $24.51. ATM implied volatility averaged 32.2%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 8.1% (HV 20d: 24.1%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 10.77.

Notable Days

  • 2022-11-18: Highest Volume — 1,668 contracts
  • 2022-11-28: Largest IV spike — 88.9% change
  • 2022-11-28: Highest IV Rank — 100.0%
  • 2022-11-28: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.13$21.38$24.51$22.00$24.51
Max Pain$22.38$22.00$23.00$22.00$23.00
ATM IV32.2%24.4%69.9%30.3%36.8%
Expected Move9.2%7.0%20.0%8.7%10.5%
HV 20d24.1%21.2%27.6%27.6%23.3%
HV 60d34.0%33.5%34.8%33.5%34.1%
IV Rank43.6%29.3%100.0%41.8%44.0%
IV Percentile68.0%25.0%100.0%70.2%92.9%
Term Structure-3.8%-21.3%8.4%-0.4%-21.3%
VWIV32.2%26.4%37.2%30.4%36.7%
Skew 25d3.4%-25.1%7.7%4.3%-25.1%
Skew 10d7.2%-25.7%23.3%16.1%-25.7%
Call IV 25d26.0%20.8%40.2%26.7%40.2%
Put IV 25d29.3%15.1%33.8%31.0%15.1%
Bid-Ask Spread %99.3277.61125.4282.68115.91
Gamma HHI0.270.180.380.330.33
Net GEX-31.3K-71.7K24.9K-6.0K-37.9K
Net DEX-40.6K-1.0M901.4K289.4K186.7K
Net VEX-3.8K-6.0K-1.6K-5.8K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.770.0014.7413.260.04
Total Volume1,129.52401,6681,412234
Total OI3,086.7141,8253,9263,5401,927

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$22.00$22.0030.3%8.7%27.6%41.8%30.4%4.3%-0.4%-6.0K289.4K-5.8K13.2682.68N/AN/A991,3137342,806
2022-11-02$21.69$22.0029.4%8.4%27.6%39.9%30.0%3.3%1.2%-17.7K614.3K-6.0K12.9696.25N/AN/A991,2837342,841
2022-11-03$21.38$22.0030.6%8.9%26.1%42.6%30.9%7.1%-1.9%-32.0K901.4K-5.8K13.5677.61N/AN/A991,3427342,842
2022-11-04$22.11$22.0028.9%8.4%27.3%38.9%30.5%6.7%-2.0%9.7K212.1K-5.4K12.8681.35N/AN/A991,2737342,864
2022-11-07$22.18$22.0029.5%8.2%27.2%40.3%31.2%6.3%-1.3%15.7K127.4K-5.2K13.0480.68N/AN/A991,2917342,917
2022-11-08$22.35$22.0029.8%8.9%26.0%40.8%32.1%7.7%-4.0%17.5K25.1K-5.2K13.04100.36N/AN/A991,2917342,971
2022-11-09$22.22$22.0031.2%9.0%25.7%43.9%31.9%5.6%-2.6%24.9K123.8K-5.2K12.07100.66N/AN/A1071,2917422,971
2022-11-10$22.97$22.0027.7%8.0%26.1%36.4%31.2%5.5%-1.4%7.4K-461.5K-4.4K13.4284.39N/AN/A1041,3967422,971
2022-11-11$23.33$22.0028.6%8.2%25.4%38.3%31.7%5.2%-3.0%-15.7K-824.7K-3.5K13.5688.98N/AN/A1041,4107392,958
2022-11-14$23.36$22.0029.0%8.3%23.0%39.2%33.3%4.6%-2.9%-21.5K-871.3K-3.3K13.5085.56N/AN/A1041,4047372,960
2022-11-15$23.41$22.0028.8%8.3%23.0%38.8%34.4%6.0%-2.1%-35.9K-898.6K-3.2K13.2288.43N/AN/A1061,4017372,962
2022-11-16$23.50$22.0029.5%8.5%21.2%40.2%33.8%6.6%-2.5%-66.6K-1.0M-2.9K14.6782.75N/AN/A1061,5557392,962
2022-11-17$23.29$22.0030.4%8.7%22.0%42.2%37.2%2.5%-3.2%-63.3K-761.6K-3.9K14.72107.42N/AN/A1061,5607393,182
2022-11-18$23.43$23.0027.6%7.9%21.8%36.1%34.9%3.8%-8.3%-71.7K-864.0K-3.5K14.74111.75N/AN/A1061,5627393,187
2022-11-21$23.44$23.0030.9%8.9%21.7%43.3%33.1%2.1%-6.4%-64.4K578.1K-3.2K9.01107.93N/AN/A86775831,755
2022-11-22$23.99$23.0030.4%8.7%21.7%42.1%34.8%6.1%-6.7%-60.3K380.8K-2.4K8.24111.78N/AN/A94775831,742
2022-11-23$24.13$23.0024.4%7.0%21.4%29.3%26.4%4.6%-3.2%-57.7K323.5K-2.1K8.58125.42N/AN/A96824921,743
2022-11-25$24.47$23.0037.0%10.6%21.4%56.2%0.0%-1.6%8.4%-56.2K370.4K-2.2K0.00121.91N/AN/A50941,793
2022-11-28$23.98$23.0069.9%20.0%23.2%100.0%0.0%2.5%-7.9%-70.2K430.6K-2.5K0.00120.81N/AN/A00981,793
2022-11-29$24.05$23.0035.4%10.2%22.7%41.8%27.8%6.5%-7.2%-54.3K275.7K-1.6K1.00113.06N/AN/A11111131,793
2022-11-30$24.51$23.0036.8%10.5%23.3%44.0%36.7%-25.1%-21.3%-37.9K186.7K-1.6K0.04115.91N/AN/A224101241,803