EWI Options History — January 2011

In January 2011, EWI traded between $31.84 and $36.86. ATM implied volatility averaged 25.1%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.4% (HV 20d: 20.7%). Max pain ranged from $32.00 to $38.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 7.94.

Notable Days

  • 2011-01-24: Highest Volume — 75 contracts
  • 2011-01-13: Largest IV spike — 32.2% change
  • 2011-01-18: Highest IV Rank — 11.0%
  • 2011-01-18: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.48$31.84$36.86$32.88$36.26
Max Pain$34.40$32.00$38.00$38.00$36.00
ATM IV25.1%19.1%28.7%27.5%26.3%
Expected Move7.5%6.5%8.2%7.9%7.5%
HV 20d20.7%14.6%27.7%16.2%27.7%
HV 60d25.9%24.7%27.2%24.8%27.2%
IV Rank6.1%0.0%11.0%4.8%8.2%
IV Percentile9.8%0.0%31.3%2.4%17.1%
Term Structure2.6%-1.8%7.7%3.7%5.4%
VWIV27.2%22.8%31.3%23.9%26.3%
Skew 25d8.4%3.6%13.8%3.6%12.3%
Skew 10d8.0%3.0%15.5%3.1%13.5%
Call IV 25d20.4%14.5%26.6%23.0%18.8%
Put IV 25d28.8%19.7%34.5%26.6%31.1%
Bid-Ask Spread %70.4147.48101.9564.0570.60
Gamma HHI0.290.210.360.320.21
Net GEX-20.0K-25.3K-15.8K-16.8K-23.6K
Net DEX229.2K-65.9K461.5K333.5K67.7K
Net VEX-1.8K-2.0K-1.4K-1.8K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.940.0051.000.362.80
Total Volume19.4075810
Total OI488.45393611393611

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$32.88$38.0027.5%7.9%16.2%0.0%23.9%3.6%3.7%-16.8K333.5K-1.8K0.3664.05N/AN/A6271322
2011-01-04$32.92$38.0027.0%7.8%14.6%0.0%0.0%4.6%4.3%-16.2K329.7K-1.8K0.0062.41N/AN/A0377322
2011-01-05$32.94$38.0027.3%7.8%14.6%0.0%0.0%9.4%3.5%-17.3K336.1K-1.8K0.0071.06N/AN/A0077322
2011-01-06$32.34$38.0026.4%7.6%15.1%0.0%0.0%4.7%1.2%-16.9K363.6K-1.8K0.0073.14N/AN/A01777322
2011-01-07$32.26$34.0026.6%8.1%15.1%0.0%27.1%7.2%2.2%-20.6K402.8K-1.8K0.8374.07N/AN/A6577334
2011-01-10$31.84$32.0023.7%8.1%15.6%4.8%28.3%11.0%1.4%-22.7K444.8K-1.7K0.0072.83N/AN/A04083339
2011-01-11$32.02$32.0019.1%8.0%14.6%0.0%0.0%13.8%1.0%-25.3K461.5K-1.8K0.0074.31N/AN/A0183379
2011-01-12$33.68$32.0020.0%7.1%23.7%1.1%29.4%9.0%-1.8%-25.2K287.9K-1.6K51.00101.95N/AN/A12683379
2011-01-13$34.12$32.0026.5%7.6%22.6%8.4%30.9%7.8%0.7%-17.8K273.6K-1.9K12.5068.74N/AN/A22583397
2011-01-14$34.92$32.0026.7%7.6%23.8%8.6%26.7%8.2%0.8%-19.0K250.4K-1.7K0.0064.57N/AN/A4083421
2011-01-18$35.00$32.0028.7%8.2%22.5%11.0%28.7%8.6%0.5%-19.1K249.0K-1.7K0.0073.15N/AN/A04583421
2011-01-19$35.24$32.0023.8%6.8%22.5%5.3%0.0%7.7%4.7%-20.4K246.6K-1.7K0.7060.27N/AN/A5483443
2011-01-20$35.56$32.0026.5%7.6%22.5%8.5%0.0%7.9%3.6%-18.6K220.9K-1.7K0.0066.29N/AN/A0083442
2011-01-21$36.24$32.0023.9%6.8%23.0%5.4%31.3%6.2%7.7%-15.8K130.1K-1.6K0.00101.59N/AN/A03483428
2011-01-24$36.52$34.0024.8%7.1%22.9%6.5%24.8%13.1%-0.9%-17.0K-8.0K-1.4K2.7370.95N/AN/A205582395
2011-01-25$36.16$36.0023.8%6.8%23.3%5.4%0.0%12.2%6.3%-24.6K77.0K-1.8K0.0064.77N/AN/A00102447
2011-01-26$36.28$36.0022.8%6.5%23.1%4.2%22.8%3.8%5.6%-24.2K43.4K-1.7K0.5865.87N/AN/A2816102447
2011-01-27$36.86$36.0024.6%7.0%23.3%6.2%24.7%7.5%-1.2%-16.6K-65.9K-1.7K0.0060.19N/AN/A023129456
2011-01-28$35.60$36.0026.0%7.4%27.3%7.9%29.3%9.4%3.1%-22.6K140.2K-2.0K0.0047.48N/AN/A010129472
2011-01-31$36.26$36.0026.3%7.5%27.7%8.2%26.3%12.3%5.4%-23.6K67.7K-1.9K2.8070.60N/AN/A37129482