EWI Options History — December 2010

In December 2010, EWI traded between $31.44 and $33.44. ATM implied volatility averaged 28.0%. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 2.2% (HV 20d: 30.2%). Max pain ranged from $30.00 to $38.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 24.83.

Notable Days

  • 2010-12-02: Highest Volume — 77 contracts
  • 2010-12-13: Largest IV spike — 37.2% change
  • 2010-12-01: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.61$31.44$33.44$31.44$32.76
Max Pain$34.82$30.00$38.00$30.00$38.00
ATM IV28.0%19.5%34.7%34.4%26.2%
Expected Move8.0%6.5%9.9%9.9%7.5%
HV 20d30.2%17.1%33.4%30.7%17.1%
HV 60d27.2%24.7%28.3%27.3%24.8%
Term Structure3.8%-1.8%10.1%-1.8%4.7%
VWIV25.0%15.4%29.6%28.4%29.2%
Skew 25d8.8%-0.7%14.8%9.5%1.8%
Skew 10d12.2%1.2%22.4%13.1%1.2%
Call IV 25d21.4%15.4%31.0%31.0%23.4%
Put IV 25d30.2%22.8%40.6%40.6%25.1%
Bid-Ask Spread %60.1036.5580.3136.5561.37
Gamma HHI0.420.320.620.620.32
Net GEX-21.8K-40.4K-10.6K-10.6K-16.9K
Net DEX275.9K113.9K406.9K237.2K357.1K
Net VEX-1.6K-2.0K-1.3K-1.4K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio24.830.00150.0076.002.86
Total Volume22.182077354
Total OI479368663428395

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$31.44$30.0034.4%9.9%30.7%0.0%0.0%9.5%-1.8%-10.6K237.2K-1.4K0.0036.55N/AN/A035134294
2010-12-02$32.36$30.0028.3%8.1%33.0%0.0%28.4%10.3%3.9%-11.2K131.5K-1.3K76.0038.76N/AN/A176134304
2010-12-03$32.86$32.0030.0%8.6%33.0%0.0%0.0%6.6%2.0%-23.8K144.5K-1.4K0.0052.86N/AN/A04133374
2010-12-06$32.24$32.0031.1%8.8%32.5%0.0%0.0%14.8%5.3%-26.3K242.2K-1.5K0.0048.35N/AN/A02133376
2010-12-07$32.28$32.0030.9%8.8%32.6%0.0%0.0%8.9%2.9%-24.5K223.4K-1.5K0.0061.02N/AN/A01133378
2010-12-08$32.78$32.0028.7%8.9%33.4%0.0%0.0%10.8%3.3%-23.5K163.4K-1.4K1.5063.72N/AN/A23133378
2010-12-09$32.86$32.0030.8%8.6%33.4%0.0%29.6%10.1%3.8%-25.6K147.5K-1.3K0.0061.53N/AN/A20133378
2010-12-10$32.94$32.0019.5%8.6%32.9%0.0%0.0%9.4%2.0%-23.3K121.5K-1.3K150.0062.38N/AN/A175134378
2010-12-13$33.44$32.0026.8%7.6%33.4%0.0%0.0%12.6%7.6%-23.3K113.9K-1.4K0.0068.57N/AN/A020134436
2010-12-14$33.38$32.0034.7%6.6%33.4%0.0%0.0%11.8%10.1%-25.9K157.8K-1.5K0.8567.77N/AN/A2017134456
2010-12-15$32.66$32.0029.3%8.4%33.3%0.0%25.7%7.0%4.0%-40.4K233.9K-1.7K3.8466.69N/AN/A1037154468
2010-12-16$32.80$38.0028.6%8.2%33.4%0.0%17.8%14.4%3.5%-32.2K291.9K-1.6K0.0065.13N/AN/A019152494
2010-12-17$32.22$38.0028.7%8.2%32.7%0.0%22.2%14.4%3.8%-19.3K333.5K-1.7K2.2058.19N/AN/A511152511
2010-12-20$32.36$38.0024.4%7.0%32.7%0.0%24.7%11.0%4.6%-19.4K405.4K-1.7K0.0063.49N/AN/A0562311
2010-12-21$32.68$38.0027.1%7.8%31.9%0.0%27.1%7.8%3.0%-18.6K401.0K-1.8K1.0751.70N/AN/A151652316
2010-12-22$32.72$38.0026.1%7.5%28.9%0.0%0.0%2.5%3.7%-18.4K377.5K-1.9K0.0055.31N/AN/A0067320
2010-12-23$32.70$38.0025.7%7.4%28.8%0.0%15.4%7.7%4.1%-17.9K378.9K-1.9K10.0066.89N/AN/A1567320
2010-12-27$32.54$38.0027.6%7.9%27.9%0.0%27.6%6.6%2.7%-18.9K389.2K-1.9K2.8680.31N/AN/A41068325
2010-12-28$32.42$38.0027.6%7.9%25.7%0.0%27.7%-0.7%1.7%-19.2K406.2K-2.0K0.0057.04N/AN/A0171335
2010-12-29$32.52$38.0027.1%7.8%23.6%0.0%0.0%8.8%2.1%-20.2K406.9K-1.9K0.0068.03N/AN/A0971336
2010-12-30$32.38$38.0022.7%6.5%19.5%0.0%0.0%6.6%7.1%-19.2K405.9K-1.9K0.0066.54N/AN/A07771333
2010-12-31$32.76$38.0026.2%7.5%17.1%0.0%29.2%1.8%4.7%-16.9K357.1K-1.9K0.0061.37N/AN/A0471324