EWI Options History — November 2010

In November 2010, EWI traded between $30.22 and $36.74. ATM implied volatility averaged 35.1%. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 11.4% (HV 20d: 23.8%). 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 15 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2010-11-04: Highest Volume — 35 contracts
  • 2010-11-26: Largest IV spike — 256.1% change
  • 2010-11-26: Largest Expected Move — 30.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.12$30.22$36.74$35.18$30.22
Max Pain$31.14$30.00$36.00$36.00$30.00
ATM IV35.1%21.5%106.9%31.9%41.1%
Expected Move10.3%6.2%30.6%9.1%11.8%
HV 20d23.8%20.4%27.8%23.8%27.8%
HV 60d26.6%25.6%29.0%28.6%26.7%
Term Structure13.8%-5.6%56.7%2.6%-2.4%
VWIV29.5%16.4%46.6%31.2%41.4%
Skew 25d11.3%3.4%20.0%5.3%5.4%
Skew 10d10.8%3.1%22.4%8.7%4.8%
Call IV 25d25.2%16.0%32.7%26.3%32.7%
Put IV 25d36.5%27.6%50.9%31.6%38.1%
Bid-Ask Spread %78.5634.79188.0295.1638.55
Gamma HHI0.400.280.600.400.60
Net GEX-6.2K-10.1K-1.5K-5.7K-10.1K
Net DEX194-242.5K318.1K-119.1K318.1K
Net VEX-1.6K-1.8K-1.2K-1.8K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.001.000.670.20
Total Volume7.095035016
Total OI419.286398444406418

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$35.18$36.0031.9%9.1%23.8%0.0%0.0%5.3%2.6%-5.7K-119.1K-1.8K0.0095.16N/AN/A00137269
2010-11-02$36.00$36.0031.3%9.0%20.9%0.0%31.2%11.9%2.7%-4.3K-158.2K-1.7K0.0089.64N/AN/A03137269
2010-11-03$36.20$36.0031.2%8.9%20.9%0.0%0.0%3.4%2.6%-4.5K-149.6K-1.7K0.00102.61N/AN/A00132272
2010-11-04$36.74$36.0028.9%8.3%21.4%0.0%18.3%10.6%-1.8%-6.6K-242.5K-1.2K0.0066.21N/AN/A035132272
2010-11-05$35.78$30.0027.1%8.9%23.7%0.0%0.0%8.4%-5.6%-9.2K-137.1K-1.4K0.0069.87N/AN/A00132292
2010-11-08$35.64$30.0028.1%9.1%23.7%0.0%16.4%18.9%20.0%-6.8K-97.3K-1.7K0.0085.85N/AN/A01132292
2010-11-09$35.44$30.0029.0%9.2%23.8%0.0%18.9%8.0%27.6%-6.3K-87.4K-1.7K0.0065.80N/AN/A03132293
2010-11-10$35.24$30.0025.5%9.1%23.0%0.0%31.9%14.4%26.0%-6.7K-78.0K-1.6K0.0074.68N/AN/A05132295
2010-11-11$34.52$30.0032.1%9.2%23.9%0.0%0.0%13.5%35.5%-9.6K-6.3K-1.4K0.0084.83N/AN/A00132295
2010-11-12$34.36$30.0032.1%9.2%23.8%0.0%35.5%13.7%31.2%-5.8K33.0K-1.8K0.6777.39N/AN/A32132295
2010-11-15$34.20$30.0032.8%9.4%23.3%0.0%0.0%12.7%26.1%-6.0K15.7K-1.7K0.0083.76N/AN/A100135296
2010-11-16$33.44$30.0038.3%11.0%22.8%0.0%40.9%10.2%17.7%-3.1K74.9K-1.8K0.0075.86N/AN/A03145296
2010-11-17$33.50$30.0039.1%11.2%20.4%0.0%0.0%12.8%-1.5%-2.8K88.5K-1.7K0.0080.87N/AN/A02145299
2010-11-18$34.24$30.0029.1%8.3%22.2%0.0%21.2%10.7%27.9%-1.6K-11.7K-1.4K0.0078.53N/AN/A08145299
2010-11-19$34.42$30.0025.8%7.4%22.4%0.0%25.9%10.5%5.5%-1.5K-33.0K-1.4K0.0045.52N/AN/A100145299
2010-11-22$33.54$30.0021.5%6.2%23.9%0.0%20.1%14.5%12.8%-6.8K789-1.4K0.7184.44N/AN/A129132266
2010-11-23$32.32$30.0034.7%10.0%26.7%0.0%34.6%6.9%-0.0%-8.2K128.0K-1.5K1.0039.71N/AN/A33129270
2010-11-24$32.54$30.0030.0%8.6%27.0%0.0%0.0%17.9%8.5%-9.6K93.7K-1.3K0.0087.61N/AN/A02129273
2010-11-26$31.90$30.00106.9%30.6%26.2%0.0%46.6%20.0%56.7%-5.6K128.9K-1.8K0.20188.02N/AN/A51129273
2010-11-29$31.00$30.0040.8%11.7%27.3%0.0%41.4%8.0%-3.1%-9.3K242.8K-1.4K0.0034.79N/AN/A013134274
2010-11-30$30.22$30.0041.1%11.8%27.8%0.0%0.0%5.4%-2.4%-10.1K318.1K-1.4K0.0038.55N/AN/A016134284