EWI Options History — August 2010

In August 2010, EWI traded between $29.50 and $33.86. ATM implied volatility averaged 44.4%. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 12.3% (HV 20d: 32.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 10.34.

Notable Days

  • 2010-08-25: Highest Volume — 57 contracts
  • 2010-08-27: Largest IV spike — 69.3% change
  • 2010-08-27: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.53$29.50$33.86$33.82$29.72
Max Pain$33.86$30.00$35.00$30.00$30.00
ATM IV44.4%31.7%67.6%33.7%43.9%
Expected Move12.4%8.5%19.1%9.7%12.6%
HV 20d32.1%28.5%37.2%32.7%29.5%
Term Structure4.1%-22.3%40.1%1.6%-13.2%
VWIV42.9%33.4%57.3%33.4%57.3%
Skew 25d12.0%-3.1%22.1%-3.1%15.8%
Skew 10d13.0%0.5%25.4%3.4%18.1%
Call IV 25d50.9%27.5%70.1%68.7%32.3%
Put IV 25d63.0%42.8%80.2%65.5%48.1%
Bid-Ask Spread %123.5681.20174.39110.1295.88
Gamma HHI0.570.280.990.600.72
Net GEX-5.6K-10.1K5.4K-1.1K-8.6K
Net DEX128.8K-67.6K286.5K-41.2K259.0K
Net VEX-1.2K-1.8K-297-297-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.340.2250.004.334.00
Total Volume17.273057925
Total OI227.091121323121323

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$33.82$30.0033.7%9.7%0.0%0.0%0.0%0.0%1.6%-1.1K-41.2K-2974.33110.12N/AN/A273586
2010-08-03$33.86$30.0033.0%9.5%32.7%0.0%33.4%-3.1%-1.6%-5.9K-23.4K-4890.22110.64N/AN/A1943692
2010-08-04$33.74$30.0035.0%10.0%31.8%0.0%0.0%11.5%-8.3%-800-67.6K-5450.00120.22N/AN/A075596
2010-08-05$33.54$30.0032.6%9.3%31.0%0.0%0.0%8.1%-8.5%-4.5K-51.7K-6720.00115.08N/AN/A03355103
2010-08-06$33.62$35.0031.7%8.5%30.1%0.0%0.0%0.0%7.7%-8.7K32.1K-8450.0081.20N/AN/A0355135
2010-08-09$33.64$35.0050.1%12.6%29.3%0.0%0.0%7.1%23.9%-4.0K-9.2K-39338.50140.45N/AN/A13955138
2010-08-10$33.64$35.0044.7%13.0%28.5%0.0%0.0%16.8%23.4%-5.4K74.6K-1.1K0.00159.35N/AN/A0256177
2010-08-11$31.56$35.0067.6%13.7%37.2%0.0%0.0%18.3%-3.7%-5.7K124.0K-1.3K0.00116.84N/AN/A0056179
2010-08-12$31.46$35.0046.0%13.2%37.1%0.0%0.0%14.1%9.4%-5.0K141.9K-1.3K0.00126.84N/AN/A0356179
2010-08-13$31.16$35.0034.2%9.8%35.4%0.0%0.0%17.3%26.0%-5.0K175.2K-1.3K0.00163.51N/AN/A01356180
2010-08-16$31.24$35.0046.8%13.4%34.8%0.0%40.4%19.5%8.9%-4.8K139.2K-1.3K0.00144.12N/AN/A01356180
2010-08-17$31.68$35.0042.4%12.1%35.1%0.0%0.0%18.9%16.9%-6.0K142.5K-1.3K0.00154.58N/AN/A0556181
2010-08-18$31.60$35.0064.4%18.5%33.8%0.0%0.0%4.3%-22.3%-6.8K134.7K-1.3K0.00174.39N/AN/A0156186
2010-08-19$30.60$35.0046.6%13.3%31.5%0.0%46.7%5.9%-3.1%-4.4K206.0K-1.3K0.9582.97N/AN/A101056187
2010-08-20$30.16$35.0045.6%13.1%31.7%0.0%44.5%8.8%13.5%5.4K186.5K-1.4K50.00118.33N/AN/A15066194
2010-08-23$30.20$35.0037.2%10.7%31.1%0.0%0.0%17.2%40.1%-8.9K184.9K-1.5K0.00128.10N/AN/A0046198
2010-08-24$29.50$35.0036.1%10.3%30.9%0.0%36.1%14.0%5.8%-9.9K238.9K-1.4K1.6997.10N/AN/A71146198
2010-08-25$29.56$35.0041.9%12.0%30.9%0.0%41.7%6.6%-3.5%-10.1K286.5K-1.5K2.56105.63N/AN/A164152209
2010-08-26$29.66$35.0039.4%11.3%30.6%0.0%0.0%5.1%0.5%-8.7K244.0K-1.6K0.2796.02N/AN/A6268204
2010-08-27$30.28$35.0066.7%19.1%32.0%0.0%0.0%12.6%-4.5%-6.8K214.6K-1.6K0.00170.19N/AN/A0073204
2010-08-30$29.50$35.0056.8%16.3%29.2%0.0%57.3%22.1%-18.1%-7.6K243.1K-1.6K0.90106.84N/AN/A262373204
2010-08-31$29.72$30.0043.9%12.6%29.5%0.0%0.0%15.8%-13.2%-8.6K259.0K-1.8K4.0095.88N/AN/A52099224