EWI Options History — October 2010 In October 2010, EWI traded between $33.02 and $35.94. ATM implied volatility averaged 30.1%. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.1% (HV 20d: 26.0%). Max pain ranged from $30.00 to $36.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.38.
Notable Days 2010-10-07 : Highest Volume — 16 contracts2010-10-11 : Largest IV spike — 45.5% change2010-10-06 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $35.12 $33.02 $35.94 $33.88 $35.82 Max Pain $31.81 $30.00 $36.00 $34.00 $36.00 ATM IV 30.1% 24.7% 42.4% 29.6% 28.9% Expected Move 8.7% 7.6% 9.8% 8.5% 8.3% HV 20d 26.0% 24.1% 28.8% 24.4% 24.8% HV 60d 29.5% 28.1% 31.3% 30.3% 28.3% Term Structure 1.3% -3.6% 5.9% 2.0% 4.6% VWIV 30.7% 25.0% 49.3% 49.3% 25.0% Skew 25d 7.9% -0.9% 12.2% 8.6% -0.9% Skew 10d 15.2% 4.7% 24.6% 11.9% 4.7% Call IV 25d 28.3% 24.5% 33.2% 33.0% 24.9% Put IV 25d 36.1% 24.0% 41.5% 41.5% 24.0% Bid-Ask Spread % 91.53 58.53 111.72 111.72 103.66 Gamma HHI 0.39 0.29 0.51 0.35 0.34 Net GEX -6.8K -11.8K -3.7K -8.6K -4.9K Net DEX -97.3K -166.7K 70.1K -12.2K -166.7K Net VEX -2.0K -2.3K -1.7K -2.2K -1.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.38 0.00 3.00 0.00 0.00 Total Volume 4.524 0 16 11 0 Total OI 404.19 389 420 392 406
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2010-10-01 $33.88 $34.00 29.6% 8.5% 24.4% 0.0% 0.0% 8.6% 2.0% -8.6K -12.2K -2.2K 0.00 111.72 N/A N/A 0 11 122 270 2010-10-04 $33.02 $30.00 26.6% 9.0% 26.3% 0.0% 49.3% 10.6% -1.3% -9.2K 70.1K -2.3K 0.00 87.38 N/A N/A 0 11 122 281 2010-10-05 $34.36 $30.00 25.1% 8.9% 26.9% 0.0% 0.0% 9.5% -0.3% -10.3K -278 -2.1K 0.00 87.18 N/A N/A 0 12 122 290 2010-10-06 $34.52 $30.00 29.5% 9.8% 26.8% 0.0% 0.0% 10.1% -3.6% -9.8K -18.6K -2.2K 0.00 58.53 N/A N/A 5 0 122 290 2010-10-07 $34.54 $30.00 24.7% 9.6% 26.8% 0.0% 0.0% 9.6% -2.0% -8.6K -27.9K -2.3K 0.00 62.08 N/A N/A 0 16 127 290 2010-10-08 $34.84 $30.00 29.1% 9.2% 26.9% 0.0% 0.0% 9.5% 0.4% -11.8K -73.3K -2.0K 0.00 87.95 N/A N/A 4 0 127 282 2010-10-11 $34.74 $30.00 42.4% 9.1% 26.2% 0.0% 0.0% 10.0% -1.5% -7.4K -69.0K -2.1K 0.00 100.11 N/A N/A 0 1 130 282 2010-10-12 $34.74 $30.00 29.6% 8.9% 26.1% 0.0% 26.8% 11.6% -0.4% -7.9K -67.7K -2.1K 0.09 91.16 N/A N/A 6 1 130 282 2010-10-13 $35.38 $32.00 37.4% 7.6% 26.5% 0.0% 0.0% 11.2% 5.9% -7.0K -130.4K -2.0K 0.00 93.65 N/A N/A 0 0 136 282 2010-10-14 $35.68 $32.00 31.3% 9.0% 26.5% 0.0% 0.0% 9.2% 2.3% -6.2K -144.2K -2.0K 0.00 73.88 N/A N/A 2 0 136 282 2010-10-15 $35.38 $32.00 29.5% 8.5% 26.0% 0.0% 0.0% 7.6% 1.3% -5.6K -134.0K -2.1K 0.00 84.41 N/A N/A 0 0 138 282 2010-10-18 $35.80 $32.00 29.0% 8.3% 25.5% 0.0% 27.1% 6.4% 4.2% -7.2K -155.6K -1.7K 0.00 93.02 N/A N/A 4 0 129 260 2010-10-19 $34.88 $32.00 33.0% 9.5% 27.7% 0.0% 0.0% 10.3% -0.4% -4.9K -80.0K -2.0K 0.00 94.79 N/A N/A 0 0 132 260 2010-10-20 $35.78 $32.00 28.8% 8.3% 28.8% 0.0% 0.0% 10.3% 1.9% -5.6K -149.9K -1.7K 0.00 104.18 N/A N/A 0 0 132 260 2010-10-21 $35.90 $32.00 30.9% 8.9% 27.6% 0.0% 30.6% 2.6% 2.1% -4.0K -141.6K -1.9K 3.00 99.73 N/A N/A 1 3 132 260 2010-10-22 $35.94 $32.00 29.2% 8.4% 24.5% 0.0% 28.5% 3.9% 3.7% -4.6K -147.0K -1.9K 0.00 84.43 N/A N/A 1 0 132 263 2010-10-25 $35.72 $32.00 31.9% 9.2% 24.1% 0.0% 0.0% 2.9% -0.1% -3.7K -156.5K -1.9K 0.00 96.22 N/A N/A 0 5 133 263 2010-10-26 $35.40 $32.00 28.1% 8.1% 24.3% 0.0% 27.6% 12.2% 5.1% -6.0K -145.2K -1.7K 0.29 100.26 N/A N/A 4 1 133 263 2010-10-27 $35.22 $32.00 29.6% 8.5% 24.2% 0.0% 25.0% 10.6% -0.1% -4.9K -136.9K -1.8K 0.00 102.75 N/A N/A 0 6 136 264 2010-10-28 $35.88 $36.00 28.3% 8.1% 24.8% 0.0% 0.0% -0.4% 4.3% -5.2K -155.4K -1.8K 0.00 104.98 N/A N/A 1 0 136 269 2010-10-29 $35.82 $36.00 28.9% 8.3% 24.8% 0.0% 0.0% -0.9% 4.6% -4.9K -166.7K -1.7K 0.00 103.66 N/A N/A 0 0 137 269
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