EWI Options History — February 2011 In February 2011, EWI traded between $35.72 and $37.84. ATM implied volatility averaged 24.9%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 1.9% (HV 20d: 26.8%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.40.
Notable Days 2011-02-22 : Highest Volume — 126 contracts2011-02-22 : Largest IV spike — 35.0% change2011-02-24 : Highest IV Rank — 19.5%2011-02-24 : Largest Expected Move — 10.1%Monthly Statistics Metric Avg Min Max Open Close Price $36.99 $35.72 $37.84 $37.44 $37.02 Max Pain $37.53 $35.00 $38.00 $36.00 $38.00 ATM IV 24.9% 17.7% 35.1% 21.8% 25.2% Expected Move 7.2% 5.5% 10.1% 6.3% 7.2% HV 20d 26.8% 22.0% 30.4% 29.3% 27.6% HV 60d 26.6% 24.6% 27.8% 27.8% 24.8% IV Rank 7.7% 0.0% 19.5% 3.1% 8.4% IV Percentile 19.3% 0.0% 75.2% 2.8% 18.2% Term Structure 4.3% -2.0% 8.0% 2.3% 3.7% VWIV 27.6% 23.8% 31.5% 29.2% 26.4% Skew 25d 8.8% 6.2% 14.0% 6.8% 6.9% Skew 10d 11.8% 3.1% 23.4% 3.1% 9.5% Call IV 25d 20.5% 14.9% 28.0% 22.3% 22.5% Put IV 25d 29.4% 23.8% 37.1% 29.1% 29.4% Bid-Ask Spread % 60.29 29.91 80.74 56.01 29.91 Gamma HHI 0.29 0.18 0.53 0.19 0.35 Net GEX -28.2K -39.5K -14.8K -18.2K -30.0K Net DEX 79.7K -159.7K 451.8K -142.0K 422.6K Net VEX -1.8K -2.5K -1.4K -1.5K -2.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.40 0.17 3.50 3.50 0.26 Total Volume 30.579 0 126 63 54 Total OI 747.421 589 854 620 854
Daily Data (19 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 2011-02-01 $37.44 $36.00 21.8% 6.3% 29.3% 3.1% 29.2% 6.8% 2.3% -18.2K -142.0K -1.5K 0.00 56.01 N/A N/A 0 63 132 488 2011-02-02 $37.22 $36.00 19.1% 5.5% 29.5% 0.0% 0.0% 7.1% 6.4% -19.6K -117.1K -1.6K 3.50 49.09 N/A N/A 5 18 132 533 2011-02-03 $36.92 $36.00 24.5% 7.0% 29.9% 6.2% 0.0% 9.3% -1.9% -17.3K -66.8K -1.7K 0.00 59.79 N/A N/A 0 5 137 541 2011-02-04 $36.90 $35.00 26.5% 7.0% 28.6% 8.5% 24.0% 14.0% 5.8% -21.0K -44.2K -1.8K 0.00 73.83 N/A N/A 0 93 137 542 2011-02-07 $36.90 $38.00 26.2% 7.0% 28.6% 8.1% 0.0% 10.8% 5.6% -37.8K 129.8K -2.1K 0.00 80.74 N/A N/A 0 0 137 634 2011-02-08 $37.24 $38.00 17.7% 6.7% 27.6% 0.0% 26.4% 9.9% 3.9% -36.6K 49.7K -1.8K 1.67 60.02 N/A N/A 3 5 137 634 2011-02-09 $37.26 $38.00 20.0% 6.6% 27.7% 2.6% 26.7% 8.9% 4.2% -34.5K 39.2K -1.9K 0.00 59.64 N/A N/A 0 5 138 634 2011-02-10 $36.90 $38.00 23.9% 6.8% 23.2% 6.9% 27.1% 6.9% 7.0% -38.3K 88.8K -1.9K 0.00 62.58 N/A N/A 0 8 138 638 2011-02-11 $37.12 $38.00 23.0% 6.6% 23.0% 6.0% 0.0% 9.3% 4.9% -35.7K 23.6K -1.7K 0.00 61.61 N/A N/A 0 0 138 643 2011-02-14 $36.94 $38.00 22.7% 6.5% 22.0% 5.5% 31.5% 10.4% 7.3% -38.6K 48.8K -1.6K 0.00 76.31 N/A N/A 0 1 138 643 2011-02-15 $36.90 $38.00 24.4% 7.0% 22.1% 7.5% 29.9% 9.1% 7.1% -39.5K 57.5K -1.7K 0.00 72.80 N/A N/A 0 6 138 643 2011-02-16 $37.62 $38.00 23.0% 6.6% 22.8% 5.9% 23.8% 6.2% 4.8% -27.8K -96.5K -1.4K 0.00 70.76 N/A N/A 0 8 138 645 2011-02-17 $37.82 $38.00 23.9% 6.8% 22.8% 6.9% 0.0% 9.8% 6.4% -24.9K -139.4K -1.4K 0.17 75.87 N/A N/A 15 3 138 647 2011-02-18 $37.84 $38.00 24.9% 7.1% 22.0% 8.1% 28.9% 10.4% 5.4% -23.7K -159.7K -1.5K 0.00 76.66 N/A N/A 0 5 153 650 2011-02-22 $35.72 $38.00 33.6% 9.6% 30.4% 17.8% 28.0% 9.1% -0.3% -29.0K 335.7K -1.8K 0.26 46.62 N/A N/A 100 26 93 496 2011-02-23 $36.04 $38.00 32.5% 9.3% 30.4% 16.6% 28.6% 7.3% 2.7% -14.8K 248.1K -2.1K 0.00 46.35 N/A N/A 0 96 192 509 2011-02-24 $36.20 $38.00 35.1% 10.1% 30.4% 19.5% 27.0% 7.7% -2.0% -24.1K 451.8K -2.5K 0.00 39.15 N/A N/A 0 22 192 603 2011-02-25 $36.76 $38.00 25.1% 7.2% 30.4% 8.2% 28.9% 8.3% 8.0% -25.2K 385.5K -2.4K 0.00 47.75 N/A N/A 0 40 192 624 2011-02-28 $37.02 $38.00 25.2% 7.2% 27.6% 8.4% 26.4% 6.9% 3.7% -30.0K 422.6K -2.5K 0.00 29.91 N/A N/A 0 54 192 662
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