EWI Options History — July 2011

In July 2011, EWI traded between $30.56 and $35.78. ATM implied volatility averaged 35.0%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 7.9% (HV 20d: 42.9%). Max pain ranged from $32.00 to $38.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 6.03.

Notable Days

  • 2011-07-29: Highest Volume — 1,097 contracts
  • 2011-07-11: Largest IV spike — 171.9% change
  • 2011-07-11: Highest IV Rank — 49.3%
  • 2011-07-11: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.53$30.56$35.78$35.78$31.58
Max Pain$33.80$32.00$38.00$38.00$32.00
ATM IV35.0%20.4%58.9%20.4%42.2%
Expected Move10.3%5.8%12.8%5.8%12.1%
HV 20d42.9%38.2%45.8%38.8%43.8%
HV 60d34.2%30.2%36.9%30.2%36.8%
IV Rank24.1%8.7%49.3%8.7%31.7%
IV Percentile69.9%13.0%98.0%13.0%92.1%
Term Structure-0.5%-3.2%5.0%5.0%-1.7%
VWIV37.3%25.3%47.1%32.2%47.1%
Skew 25d14.9%9.2%24.0%11.6%12.2%
Skew 10d23.7%1.8%37.8%14.5%35.8%
Call IV 25d27.5%18.0%37.3%18.0%37.3%
Put IV 25d42.4%29.7%53.7%29.7%49.6%
Bid-Ask Spread %49.0728.6888.5830.7437.64
Gamma HHI0.330.270.400.390.29
Net GEX-36.4K-69.8K44.3K-65.7K-27.9K
Net DEX2.4M924.3K3.4M1.9M2.7M
Net VEX-17.9K-23.9K-10.7K-16.7K-19.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.030.0247.6710.580.04
Total Volume245.45181,097701,097
Total OI3,378.852,4774,2942,4774,158

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$35.78$38.0020.4%5.8%38.8%8.7%32.2%11.6%5.0%-65.7K1.9M-16.7K10.5830.74N/AN/A6641,1111,366
2011-07-05$35.08$34.0020.7%7.6%38.2%9.0%30.5%13.3%0.1%-48.1K1.9M-17.5K0.0078.02N/AN/A0201,1121,387
2011-07-06$33.94$34.0027.8%8.3%39.5%16.5%28.9%9.2%0.4%-48.6K2.2M-16.4K2.0060.08N/AN/A6121,1121,406
2011-07-07$34.16$34.0023.0%8.2%39.3%11.4%25.3%10.5%0.3%-42.3K1.7M-17.4K4.5069.71N/AN/A5231,1171,363
2011-07-08$32.86$36.0021.6%8.6%41.1%10.0%28.2%13.3%1.8%-53.8K2.5M-14.3K1.6554.67N/AN/A26431,1171,373
2011-07-11$30.82$36.0058.9%12.8%45.2%49.3%43.5%24.0%-3.2%-43.5K2.9M-10.7K2.0043.91N/AN/A1663311,1381,366
2011-07-12$31.04$36.0030.4%11.4%45.4%19.3%40.8%12.1%-3.1%-65.1K2.8M-13.6K1.2337.19N/AN/A1361681,3001,636
2011-07-13$31.78$34.0040.3%11.7%45.4%29.7%41.7%13.8%-1.8%-69.8K2.7M-15.5K0.4251.94N/AN/A5272201,3201,725
2011-07-14$31.46$34.0040.5%11.6%42.3%29.9%37.7%10.2%-1.2%26.1K2.8M-16.8K47.6744.59N/AN/A2721,8191,933
2011-07-15$31.48$34.0036.0%10.3%42.3%25.2%36.3%13.1%3.1%44.3K2.5M-19.0K0.0051.77N/AN/A0971,8201,949
2011-07-18$30.56$34.0039.6%11.3%42.2%28.9%38.4%14.9%-0.2%-50.5K3.4M-14.8K9.1073.85N/AN/A201821,5331,864
2011-07-19$31.30$34.0034.5%9.9%43.5%23.6%37.8%20.8%0.4%-59.5K3.1M-18.0K1.9636.74N/AN/A26511,5531,972
2011-07-20$32.16$34.0034.0%9.8%43.3%23.1%33.9%11.0%-1.3%-61.4K2.7M-20.0K0.2188.58N/AN/A159341,5772,023
2011-07-21$33.66$32.0035.3%10.1%44.9%24.4%41.5%14.3%0.4%-44.4K1.7M-22.3K0.3428.68N/AN/A5231761,7302,034
2011-07-22$33.54$32.0034.4%9.9%44.5%23.5%39.0%21.0%-1.8%1.5K924.3K-23.9K0.0242.06N/AN/A508132,2092,085
2011-07-25$32.82$32.0039.5%11.3%43.6%28.9%32.7%20.1%-1.1%-30.3K2.0M-21.0K6.0043.69N/AN/A10601,9532,093
2011-07-26$33.22$32.0033.9%9.7%43.2%23.0%41.9%21.3%-0.6%-32.4K1.8M-21.6K7.2043.00N/AN/A5361,9552,144
2011-07-27$31.74$32.0043.5%12.5%45.8%33.0%45.2%17.1%-3.1%-27.9K2.6M-19.8K11.6031.93N/AN/A3291,9512,153
2011-07-28$31.60$32.0042.9%12.3%45.1%32.5%43.5%14.4%-3.0%-27.9K2.7M-19.6K2.0032.53N/AN/A18351,9512,169
2011-07-29$31.58$32.0042.2%12.1%43.8%31.7%47.1%12.2%-1.7%-27.9K2.7M-19.6K0.0437.64N/AN/A1,054431,9642,194