EWI Options History — March 2011

In March 2011, EWI traded between $34.28 and $37.54. ATM implied volatility averaged 28.2%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 1.1% (HV 20d: 29.3%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 9.85.

Notable Days

  • 2011-03-16: Highest Volume — 128 contracts
  • 2011-03-02: Largest IV drop — 25.9% change
  • 2011-03-16: Highest IV Rank — 21.7%
  • 2011-03-16: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.65$34.28$37.54$36.34$37.16
Max Pain$39.74$38.00$40.00$38.00$40.00
ATM IV28.2%19.0%37.0%34.5%19.0%
Expected Move8.3%5.5%10.6%9.9%5.5%
HV 20d29.3%26.0%36.2%27.8%29.3%
HV 60d26.2%24.2%28.2%24.5%28.2%
IV Rank11.7%1.5%21.7%18.8%1.5%
IV Percentile38.3%0.5%80.1%71.9%0.5%
Term Structure2.2%-0.6%7.4%-0.4%3.2%
VWIV25.8%17.1%32.8%25.5%28.2%
Skew 25d11.6%3.4%20.9%6.0%7.0%
Skew 10d14.7%4.2%24.1%5.1%5.1%
Call IV 25d22.3%18.4%31.2%26.8%19.6%
Put IV 25d33.9%24.3%41.6%32.8%26.6%
Bid-Ask Spread %53.1833.7475.7533.7449.53
Gamma HHI0.510.250.700.320.69
Net GEX-41.5K-55.5K-34.1K-34.1K-52.5K
Net DEX601.2K375.5K1.1M622.0K460.1K
Net VEX-1.9K-2.6K-1.4K-2.6K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.859.859.859.859.85
Total Volume20.870128110
Total OI694.217345959880362

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$36.34$38.0034.5%9.9%27.8%18.8%25.5%6.0%-0.4%-34.1K622.0K-2.6K0.0033.74N/AN/A011192688
2011-03-02$36.98$38.0025.6%7.3%26.0%8.8%0.0%11.2%7.4%-35.1K518.4K-2.6K0.0041.19N/AN/A08192698
2011-03-03$37.30$38.0024.1%6.9%26.1%7.2%0.0%10.3%3.5%-36.2K448.5K-2.6K0.0037.84N/AN/A025192706
2011-03-04$36.88$40.0023.3%9.2%26.3%6.3%0.0%15.2%2.1%-40.0K628.8K-2.6K0.0054.40N/AN/A00192731
2011-03-07$36.84$40.0025.6%9.2%26.3%8.8%0.0%17.7%1.5%-41.1K629.6K-2.5K0.0050.39N/AN/A07192731
2011-03-08$37.16$40.0026.1%8.3%26.4%9.4%0.0%20.9%2.2%-39.4K544.0K-2.5K0.0066.73N/AN/A01192724
2011-03-09$37.32$40.0026.8%8.1%26.3%10.2%29.1%18.1%4.1%-41.1K481.5K-2.4K0.0068.96N/AN/A038192724
2011-03-10$36.20$40.0033.2%9.5%28.4%17.4%28.8%13.1%2.2%-44.6K881.0K-2.3K0.0054.04N/AN/A017192762
2011-03-11$36.44$40.0032.9%9.4%28.4%17.0%32.8%14.8%2.1%-47.0K858.0K-2.3K0.0058.58N/AN/A080192767
2011-03-14$36.46$40.0034.9%10.0%28.3%19.3%0.0%14.1%0.5%-38.6K775.9K-2.0K0.0053.65N/AN/A05192734
2011-03-15$35.84$40.0035.8%10.3%28.9%20.2%31.7%13.2%-0.6%-40.8K915.5K-1.9K9.8558.13N/AN/A1099187736
2011-03-16$34.28$40.0037.0%10.6%32.6%21.7%22.5%8.1%1.7%-42.2K1.1M-1.6K0.0075.75N/AN/A0128197705
2011-03-17$35.38$40.0033.8%9.7%34.0%18.0%18.9%18.8%1.5%-41.7K767.3K-1.6K0.0069.73N/AN/A020197678
2011-03-18$35.90$40.0032.1%9.2%34.5%16.1%32.4%9.8%1.3%-34.3K693.1K-1.6K0.0047.40N/AN/A05197685
2011-03-21$36.92$40.0027.4%7.9%36.2%10.9%23.2%13.4%1.9%-37.5K426.5K-1.6K0.0042.51N/AN/A0360285
2011-03-22$36.72$40.0027.2%7.8%29.5%10.7%17.1%12.8%2.0%-38.0K464.3K-1.6K0.0045.59N/AN/A0660288
2011-03-23$36.80$40.0029.7%8.5%29.4%13.5%20.8%11.8%0.5%-36.9K465.0K-1.6K0.0040.67N/AN/A0560292
2011-03-24$37.54$40.0023.7%6.8%30.1%6.7%24.9%6.4%2.4%-43.8K375.5K-1.6K0.0051.73N/AN/A0560292
2011-03-25$36.98$40.0028.6%8.2%30.2%12.3%28.2%4.9%1.1%-41.1K449.6K-1.6K0.0058.12N/AN/A0760295
2011-03-28$37.02$40.0022.1%6.3%30.1%4.9%0.0%6.0%2.7%-46.0K450.6K-1.5K0.0058.73N/AN/A0060302
2011-03-29$36.92$40.0025.3%7.3%29.4%8.5%0.0%3.4%3.6%-46.7K490.4K-1.4K0.0060.98N/AN/A0060302
2011-03-30$37.50$40.0019.8%5.7%29.2%2.3%0.0%10.1%4.0%-55.5K408.4K-1.4K0.0044.75N/AN/A0060302
2011-03-31$37.16$40.0019.0%5.5%29.3%1.5%0.0%7.0%3.2%-52.5K460.1K-1.4K0.0049.53N/AN/A0060302