EWI Options History — June 2011

In June 2011, EWI traded between $32.68 and $37.26. ATM implied volatility averaged 27.0%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 5.8% (HV 20d: 32.8%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 9.89.

Notable Days

  • 2011-06-06: Highest Volume — 2,012 contracts
  • 2011-06-06: Largest IV spike — 91.4% change
  • 2011-06-24: Highest IV Rank — 27.6%
  • 2011-06-24: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.15$32.68$37.26$36.28$35.22
Max Pain$38.27$38.00$40.00$38.00$38.00
ATM IV27.0%15.7%38.3%21.3%21.7%
Expected Move7.8%5.9%11.0%6.1%6.2%
HV 20d32.8%26.2%39.5%27.5%38.7%
HV 60d27.5%25.2%30.4%26.6%30.4%
IV Rank15.6%3.7%27.6%9.7%10.1%
IV Percentile44.3%1.3%88.0%14.7%15.9%
Term Structure2.9%-4.7%11.1%3.1%5.7%
VWIV25.2%15.2%32.2%15.3%19.4%
Skew 25d10.6%1.5%28.6%7.2%1.5%
Skew 10d14.7%0.3%41.0%11.5%4.3%
Call IV 25d21.5%14.9%28.4%19.8%19.2%
Put IV 25d32.1%20.2%56.9%27.0%20.7%
Bid-Ask Spread %69.5228.79120.1598.6437.11
Gamma HHI0.450.360.700.690.39
Net GEX-22.9K-50.8K-1.0K-11.8K-50.8K
Net DEX1.2M16.4K2.2M118.5K1.8M
Net VEX-15.3K-20.6K-1.3K-1.3K-17.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.890.0066.500.919.20
Total Volume120.36422,012426
Total OI2,016.9093162,4523202,452

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$36.28$38.0021.3%6.1%27.5%9.7%15.3%7.2%3.1%-11.8K118.5K-1.3K0.0098.64N/AN/A0499221
2011-06-02$36.76$38.0023.4%6.7%27.9%11.8%23.4%7.8%-4.7%-9.6K67.9K-1.3K0.91104.83N/AN/A111099217
2011-06-03$37.26$38.0015.7%5.9%26.2%3.7%0.0%8.3%3.8%-7.3K16.4K-1.5K0.0096.09N/AN/A30110222
2011-06-06$36.24$38.0030.0%7.2%27.6%18.8%0.0%8.3%2.1%-6.5K97.7K-1.4K1.0196.69N/AN/A1,0011,011113222
2011-06-07$36.66$38.0021.2%6.8%27.9%9.5%29.9%4.4%2.3%-1.0K731.7K-20.2K1.71118.90N/AN/A50861,1131,233
2011-06-08$36.04$38.0027.3%7.5%27.7%15.9%0.0%2.9%2.6%-10.8K644.5K-20.5K0.0093.27N/AN/A041,1631,241
2011-06-09$36.32$38.0026.0%7.5%27.0%14.6%0.0%11.5%2.1%-13.6K856.3K-20.6K1.00102.28N/AN/A661,1631,242
2011-06-10$35.16$38.0025.4%7.3%29.1%14.0%29.1%10.6%3.0%-15.9K1.0M-19.5K66.5097.50N/AN/A1671,1581,237
2011-06-13$35.26$38.0023.6%6.8%28.9%12.0%31.3%10.0%8.0%-14.6K1.0M-19.8K0.1084.94N/AN/A1011,1591,246
2011-06-14$36.08$38.0026.0%7.5%30.2%14.6%0.0%12.7%2.3%-11.3K826.7K-20.0K0.0067.62N/AN/A051,1691,246
2011-06-15$34.28$38.0032.7%9.4%35.1%21.7%24.3%7.0%-0.7%-25.4K1.3M-19.0K13.3345.80N/AN/A2201,1691,251
2011-06-16$34.26$38.0031.6%9.0%34.9%20.5%21.1%9.6%0.9%-32.2K1.5M-18.2K0.0041.73N/AN/A0111,1711,261
2011-06-17$34.96$38.0024.9%7.1%35.5%13.4%15.2%9.3%11.1%-23.8K1.3M-18.2K17.8058.22N/AN/A3451,1711,250
2011-06-20$34.68$40.0032.4%9.3%33.7%21.3%0.0%11.5%3.0%-22.8K1.7M-17.1K0.6061.24N/AN/A531,0931,172
2011-06-21$35.72$40.0024.1%6.9%34.5%12.6%24.9%10.3%1.7%-21.9K1.3M-19.2K32.1042.05N/AN/A51611,0981,172
2011-06-22$34.34$40.0030.9%8.9%37.2%19.8%31.0%9.7%1.3%-38.5K1.8M-17.9K0.8334.56N/AN/A331,0931,313
2011-06-23$33.78$38.0029.9%8.6%37.3%18.7%0.0%17.4%2.3%-42.3K2.2M-15.6K0.0028.79N/AN/A021,0961,292
2011-06-24$32.68$38.0038.3%11.0%38.6%27.6%26.6%10.7%-3.4%-39.5K2.2M-15.4K0.2532.46N/AN/A1031,0961,290
2011-06-27$33.32$38.0030.9%8.9%39.5%19.8%32.2%28.6%9.7%-25.2K1.5M-18.4K3.00120.15N/AN/A10291,1011,293
2011-06-28$33.74$38.0029.8%8.5%38.0%18.6%0.0%18.2%3.2%-37.1K2.0M-16.7K0.0034.36N/AN/A081,1091,320
2011-06-29$34.36$38.0026.6%7.6%37.8%15.2%29.6%15.9%4.6%-42.4K2.0M-17.2K0.0032.16N/AN/A0231,1091,327
2011-06-30$35.22$38.0021.7%6.2%38.7%10.1%19.4%1.5%5.7%-50.8K1.8M-17.3K9.2037.11N/AN/A3231,1091,343