EWI Options History — September 2010

In September 2010, EWI traded between $30.84 and $33.60. ATM implied volatility averaged 36.3%. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 6.3% (HV 20d: 30.0%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.48.

Notable Days

  • 2010-09-15: Highest Volume — 41 contracts
  • 2010-09-08: Largest IV spike — 78.1% change
  • 2010-09-08: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.30$30.84$33.60$31.00$33.60
Max Pain$32.48$30.00$34.00$30.00$34.00
ATM IV36.3%24.8%76.4%40.2%29.8%
Expected Move10.0%7.1%14.5%11.5%8.6%
HV 20d30.0%24.6%36.6%34.2%24.6%
HV 60d31.0%30.5%31.6%31.6%30.5%
Term Structure2.4%-10.6%28.2%1.4%1.4%
VWIV32.8%26.9%40.0%40.0%30.3%
Skew 25d10.5%3.0%21.4%8.7%7.9%
Skew 10d15.1%2.0%23.1%19.6%7.2%
Call IV 25d30.3%24.6%43.5%35.0%31.9%
Put IV 25d40.7%32.3%64.9%43.7%39.8%
Bid-Ask Spread %94.0745.63174.5545.63107.57
Gamma HHI0.500.340.700.700.34
Net GEX-7.7K-10.4K-5.2K-9.8K-8.4K
Net DEX104.8K10.6K204.8K204.8K10.6K
Net VEX-2.3K-2.5K-1.9K-1.9K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.006.360.200.00
Total Volume12.286041341
Total OI392.714341462341392

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$31.00$30.0040.2%11.5%34.2%0.0%40.0%8.7%1.4%-9.8K204.8K-1.9K0.2045.63N/AN/A28699242
2010-09-02$31.40$30.0038.9%11.2%34.7%0.0%37.6%10.1%0.0%-9.9K151.3K-2.0K0.6068.29N/AN/A138113247
2010-09-03$31.76$32.0043.1%11.3%35.1%0.0%0.0%16.8%-10.6%-8.4K121.1K-2.0K0.0097.06N/AN/A01118250
2010-09-07$30.84$32.0042.9%11.6%36.3%0.0%0.0%3.3%4.9%-8.7K158.6K-2.0K2.1079.03N/AN/A511118250
2010-09-08$31.12$32.0076.4%14.5%36.6%0.0%0.0%21.4%-6.2%-6.4K137.6K-2.2K0.00174.55N/AN/A07123260
2010-09-09$31.40$32.0039.4%11.3%29.1%0.0%0.0%16.6%3.8%-8.7K133.6K-2.2K3.2778.36N/AN/A618123267
2010-09-10$31.54$32.0038.3%11.0%29.1%0.0%0.0%17.8%-10.1%-10.4K163.5K-2.2K0.0099.37N/AN/A025128277
2010-09-13$32.26$32.0032.7%9.4%29.9%0.0%29.2%8.3%28.2%-7.7K115.0K-2.3K0.0083.25N/AN/A01128295
2010-09-14$32.56$32.0033.4%9.6%30.0%0.0%0.0%11.8%-0.5%-7.1K119.4K-2.3K0.1589.68N/AN/A102128295
2010-09-15$32.46$32.0037.7%10.8%29.8%0.0%0.0%15.2%1.2%-5.8K97.5K-2.4K6.3682.76N/AN/A635138296
2010-09-16$32.40$32.0037.8%10.8%29.7%0.0%0.0%10.6%4.6%-7.8K124.8K-2.5K0.0093.85N/AN/A01144317
2010-09-17$31.96$32.0036.1%10.3%27.6%0.0%0.0%14.5%5.0%-8.6K148.8K-2.5K1.2282.45N/AN/A56144318
2010-09-20$32.62$32.0029.5%8.5%27.6%0.0%0.0%3.0%2.4%-5.9K96.0K-2.3K0.00102.10N/AN/A160130252
2010-09-21$32.84$32.0033.3%9.6%27.6%0.0%26.9%10.1%1.3%-5.2K69.2K-2.4K0.0092.93N/AN/A01116252
2010-09-22$32.78$34.0034.8%10.0%25.8%0.0%0.0%5.5%1.7%-5.5K76.1K-2.4K0.0086.16N/AN/A00116252
2010-09-23$32.20$34.0034.1%9.8%27.0%0.0%0.0%7.5%1.5%-5.7K111.4K-2.4K1.8290.73N/AN/A610116252
2010-09-24$33.50$34.0024.8%7.1%29.8%0.0%30.3%7.7%5.8%-7.6K18.2K-2.3K0.00105.20N/AN/A08122258
2010-09-27$33.14$34.0025.3%7.3%29.8%0.0%0.0%9.4%2.6%-7.5K47.3K-2.4K0.00113.62N/AN/A06122265
2010-09-28$33.58$34.0025.9%7.4%27.7%0.0%0.0%6.5%6.6%-8.3K41.2K-2.4K0.55101.91N/AN/A106122270
2010-09-29$33.36$34.0028.3%8.1%28.0%0.0%0.0%7.1%6.1%-7.9K55.4K-2.4K0.00100.86N/AN/A00122270
2010-09-30$33.60$34.0029.8%8.6%24.6%0.0%0.0%7.9%1.4%-8.4K10.6K-2.3K0.00107.57N/AN/A10122270