EWI Options History — April 2011

In April 2011, EWI traded between $36.44 and $40.30. ATM implied volatility averaged 19.0%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.8% (HV 20d: 23.8%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.80.

Notable Days

2011-04-12: Highest Volume — 83 contracts
2011-04-12: Largest IV spike — 41.4% change
2011-04-18: Highest IV Rank — 9.6%
2011-04-18: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.23	$36.44	$40.30	$37.42	$40.30
Max Pain	$38.20	$38.00	$40.00	$40.00	$40.00
ATM IV	19.0%	15.7%	24.4%	19.7%	17.4%
Expected Move	6.1%	4.7%	7.0%	5.7%	5.0%
HV 20d	23.8%	18.2%	29.9%	29.1%	21.9%
HV 60d	26.7%	25.7%	28.3%	28.3%	25.7%
IV Rank	3.3%	0.0%	9.6%	2.3%	1.8%
IV Percentile	4.8%	0.0%	19.1%	2.7%	2.5%
Term Structure	3.3%	1.0%	8.6%	2.6%	8.0%
VWIV	20.5%	16.7%	23.7%	18.7%	17.7%
Skew 25d	7.6%	-1.8%	15.6%	10.3%	-1.5%
Skew 10d	6.3%	-2.8%	11.7%	8.6%	-2.8%
Call IV 25d	16.6%	11.3%	26.6%	19.6%	17.7%
Put IV 25d	24.2%	14.5%	29.8%	29.8%	16.3%
Bid-Ask Spread %	69.06	33.41	112.65	34.50	109.56
Gamma HHI	0.67	0.32	0.91	0.71	0.35
Net GEX	-46.0K	-93.0K	-8.0K	-57.4K	-15.0K
Net DEX	142.0K	-85.2K	423.4K	423.4K	-58.4K
Net VEX	-960	-1.4K	-667	-1.4K	-713
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.80	0.80	0.80	0.80
Total Volume	10.7	0	83	10	5
Total OI	282.65	191	376	362	228

Daily Data (20 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
2011-04-01	$37.42	$40.00	19.7%	5.7%	29.1%	2.3%	18.7%	10.3%	2.6%	-57.4K	423.4K	-1.4K	0.00	34.50	N/A	N/A	0	10	60	302
2011-04-04	$37.64	$38.00	16.7%	6.7%	29.1%	0.0%	0.0%	12.4%	5.2%	-75.5K	410.9K	-1.3K	0.00	85.27	N/A	N/A	0	0	60	302
2011-04-05	$37.56	$38.00	17.7%	6.5%	29.0%	1.2%	0.0%	13.6%	2.9%	-71.7K	384.6K	-1.2K	0.00	72.10	N/A	N/A	0	0	60	302
2011-04-06	$38.38	$38.00	19.8%	6.8%	29.9%	3.5%	23.7%	9.0%	3.9%	-74.2K	231.4K	-1.1K	0.00	74.84	N/A	N/A	0	9	60	302
2011-04-07	$38.24	$38.00	18.4%	6.8%	27.5%	1.9%	0.0%	8.4%	2.4%	-85.1K	256.2K	-1.2K	0.00	72.70	N/A	N/A	0	6	60	304
2011-04-08	$38.60	$38.00	17.0%	6.7%	27.6%	0.4%	23.4%	7.5%	1.0%	-75.0K	157.5K	-1.1K	0.00	74.45	N/A	N/A	0	6	60	308
2011-04-11	$38.52	$38.00	15.7%	6.4%	27.7%	0.0%	21.8%	8.2%	2.9%	-86.8K	164.7K	-1.0K	0.00	76.23	N/A	N/A	0	3	60	313
2011-04-12	$38.10	$38.00	22.2%	6.8%	27.2%	7.1%	0.0%	15.6%	2.0%	-93.0K	253.2K	-1.1K	0.00	81.90	N/A	N/A	0	83	60	316
2011-04-13	$38.10	$38.00	16.3%	6.6%	20.6%	0.6%	22.9%	13.7%	1.8%	-61.2K	142.2K	-936	0.00	84.39	N/A	N/A	0	7	60	236
2011-04-14	$38.04	$38.00	21.5%	6.2%	18.2%	6.4%	21.4%	11.0%	3.4%	-79.3K	165.3K	-942	0.80	78.94	N/A	N/A	5	4	60	238
2011-04-15	$37.76	$38.00	22.4%	6.4%	18.2%	7.3%	22.3%	9.1%	1.5%	-68.3K	181.9K	-924	0.00	78.81	N/A	N/A	0	32	65	230
2011-04-18	$36.44	$38.00	24.4%	7.0%	20.2%	9.6%	22.8%	8.7%	2.0%	-8.0K	112.6K	-854	0.00	57.15	N/A	N/A	0	2	55	136
2011-04-19	$36.82	$38.00	23.9%	6.8%	20.5%	9.0%	20.0%	8.6%	1.8%	-8.4K	90.0K	-852	0.00	63.78	N/A	N/A	0	3	55	137
2011-04-20	$37.66	$38.00	18.4%	5.3%	22.0%	3.0%	18.2%	8.0%	2.7%	-8.7K	37.4K	-809	0.00	34.87	N/A	N/A	0	11	55	136
2011-04-21	$38.06	$38.00	18.3%	5.3%	21.2%	2.9%	0.0%	0.9%	2.8%	-11.6K	30.9K	-844	0.00	46.17	N/A	N/A	0	3	55	146
2011-04-25	$38.22	$38.00	19.5%	5.6%	20.4%	4.2%	0.0%	-1.8%	8.6%	-9.2K	25.2K	-834	0.00	112.65	N/A	N/A	0	0	55	148
2011-04-26	$38.70	$38.00	16.5%	4.7%	20.7%	0.9%	16.7%	5.6%	5.8%	-11.9K	-19.1K	-747	0.00	66.28	N/A	N/A	0	5	55	148
2011-04-27	$39.86	$38.00	17.7%	5.1%	22.8%	2.1%	0.0%	3.3%	2.0%	-9.4K	-65.3K	-723	0.00	33.41	N/A	N/A	0	10	55	153
2011-04-28	$40.08	$38.00	17.4%	5.0%	22.4%	1.8%	17.4%	1.2%	3.4%	-10.1K	-85.2K	-667	0.00	43.26	N/A	N/A	0	10	55	163
2011-04-29	$40.30	$40.00	17.4%	5.0%	21.9%	1.8%	17.7%	-1.5%	8.0%	-15.0K	-58.4K	-713	0.00	109.56	N/A	N/A	0	5	55	173