EWI Options History — May 2011

In May 2011, EWI traded between $35.38 and $39.80. ATM implied volatility averaged 21.0%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 4.0% (HV 20d: 25.0%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.90.

Notable Days

  • 2011-05-23: Highest Volume — 87 contracts
  • 2011-05-05: Largest IV spike — 87.4% change
  • 2011-05-13: Highest IV Rank — 18.0%
  • 2011-05-13: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.25$35.38$39.80$39.80$37.28
Max Pain$38.38$38.00$40.00$40.00$38.00
ATM IV21.0%12.2%29.2%17.7%12.8%
Expected Move6.2%3.5%8.4%5.1%3.7%
HV 20d25.0%22.6%27.4%22.6%26.1%
HV 60d26.2%24.5%27.4%25.8%26.0%
IV Rank9.0%0.0%18.0%2.2%0.6%
IV Percentile16.5%0.0%55.2%4.4%0.4%
Term Structure11.0%0.7%73.9%5.1%3.0%
VWIV23.5%13.0%31.4%18.8%13.0%
Skew 25d8.0%-0.8%15.3%0.6%3.4%
Skew 10d11.4%3.7%51.3%3.9%12.1%
Call IV 25d17.4%11.7%21.8%15.5%17.4%
Put IV 25d25.4%16.0%31.8%16.1%20.8%
Bid-Ask Spread %98.9451.84169.9654.4593.47
Gamma HHI0.380.260.630.350.43
Net GEX-11.1K-18.7K-6.5K-15.6K-11.3K
Net DEX143.3K-40.0K260.2K-40.0K53.3K
Net VEX-855-1.4K-489-753-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.088.110.080.68
Total Volume11.19087522
Total OI259.762187309232309

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$39.80$40.0017.7%5.1%22.6%2.2%0.0%0.6%5.1%-15.6K-40.0K-7530.0054.45N/AN/A0555177
2011-05-03$39.74$40.0018.8%5.4%22.6%3.4%18.8%-0.8%4.0%-16.4K-21.3K-7920.0071.83N/AN/A0355182
2011-05-04$39.18$40.0012.2%3.5%23.4%0.0%0.0%9.8%10.8%-18.7K26.0K-8300.0055.59N/AN/A0055184
2011-05-05$37.92$40.0022.8%6.5%25.2%11.2%22.8%1.0%2.3%-17.9K131.5K-8820.0851.84N/AN/A19255184
2011-05-06$37.42$38.0021.5%7.7%25.6%9.8%27.6%14.3%1.5%-10.7K153.9K-9220.00109.56N/AN/A0174184
2011-05-09$37.56$38.0020.0%7.1%25.4%8.2%24.7%6.1%4.3%-11.0K151.7K-8360.18114.74N/AN/A6174184
2011-05-10$38.16$38.0022.6%6.8%26.1%11.0%0.0%13.5%3.7%-10.3K63.7K-8440.0097.37N/AN/A0080184
2011-05-11$37.34$38.0022.0%7.0%27.0%10.4%24.5%10.9%2.5%-9.2K158.0K-8250.0097.84N/AN/A0180184
2011-05-12$37.44$38.0023.8%6.8%27.0%12.3%0.0%4.5%5.7%-9.0K135.8K-8180.00119.23N/AN/A0080184
2011-05-13$36.92$38.0029.2%8.4%27.4%18.0%31.4%5.5%0.7%-8.3K222.0K-7300.00119.72N/AN/A0180184
2011-05-16$36.82$38.0028.7%8.2%27.3%17.4%17.8%9.5%1.3%-8.3K232.8K-6870.0096.83N/AN/A0180184
2011-05-17$36.86$38.0025.4%7.3%24.1%14.0%0.0%11.8%2.8%-8.9K239.9K-6290.00105.53N/AN/A0180185
2011-05-18$37.08$38.0018.7%5.4%23.9%6.9%0.0%7.6%8.1%-9.4K225.0K-5810.00106.45N/AN/A01180185
2011-05-19$37.50$38.0015.4%4.4%22.8%3.4%0.0%0.4%9.3%-6.5K163.1K-4910.00102.99N/AN/A0080180
2011-05-20$36.22$38.0023.9%6.8%25.5%12.4%21.4%15.3%2.4%-9.0K260.2K-5360.00107.23N/AN/A0380180
2011-05-23$35.38$38.0024.1%6.9%26.4%12.6%24.8%10.2%1.1%-8.6K150.9K-4898.1172.06N/AN/A107751136
2011-05-24$35.50$38.0016.6%4.8%25.9%4.7%0.0%13.0%14.4%-12.4K223.9K-1.1K0.50113.39N/AN/A10559204
2011-05-25$35.86$38.0022.4%6.4%23.3%10.8%27.7%10.4%1.3%-12.0K185.3K-1.2K2.2277.44N/AN/A51069209
2011-05-26$36.04$38.0020.9%6.0%23.2%9.2%28.9%11.5%73.9%-8.3K148.1K-1.2K1.80169.96N/AN/A101873209
2011-05-27$36.18$38.0021.1%6.0%23.2%9.4%21.7%10.0%72.8%-11.1K145.7K-1.3K1.60140.30N/AN/A5883220
2011-05-31$37.28$38.0012.8%3.7%26.1%0.6%13.0%3.4%3.0%-11.3K53.3K-1.4K0.6893.47N/AN/A13988221