EWI Options History — August 2011

In August 2011, EWI traded between $25.12 and $30.44. ATM implied volatility averaged 53.5%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 15.1% (HV 20d: 68.6%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 37.45.

Notable Days

  • 2011-08-03: Highest Volume — 2,860 contracts
  • 2011-08-08: Largest IV spike — 38.5% change
  • 2011-08-08: Highest IV Rank — 74.2%
  • 2011-08-08: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.08$25.12$30.44$30.44$27.22
Max Pain$33.30$30.00$34.00$30.00$34.00
ATM IV53.5%33.7%82.4%41.4%42.6%
Expected Move15.1%9.7%20.9%11.9%12.2%
HV 20d68.6%44.4%76.7%44.4%76.0%
HV 60d50.2%37.0%55.3%37.0%55.0%
IV Rank43.6%22.7%74.2%30.9%32.1%
IV Percentile94.1%75.0%99.6%91.3%89.7%
Term Structure-2.4%-14.4%9.8%0.3%3.1%
VWIV51.0%36.3%70.0%41.3%44.5%
Skew 25d21.0%9.9%29.3%9.9%20.0%
Skew 10d40.0%6.4%57.0%34.3%24.8%
Call IV 25d42.1%27.4%58.9%37.4%33.0%
Put IV 25d63.1%39.2%76.0%47.3%53.0%
Bid-Ask Spread %32.7817.1155.8929.6125.44
Gamma HHI0.320.170.660.380.22
Net GEX-16.1K-351.9K185.6K89.0K-113.3K
Net DEX8.2M2.1M17.5M2.1M8.0M
Net VEX-15.8K-25.9K-9.8K-18.6K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio37.450.74281.000.745.30
Total Volume681.696632,8601,45563
Total OI9,032.135,19613,8795,1966,071

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$30.44$30.0041.4%11.9%44.4%30.9%41.3%9.9%0.3%89.0K2.1M-18.6K0.7429.61N/AN/A8356202,9752,221
2011-08-02$29.26$30.0036.4%10.4%45.7%25.6%36.3%10.2%6.0%167.1K3.2M-19.9K1.4617.11N/AN/A4927183,7822,751
2011-08-03$29.54$30.0033.7%9.7%45.2%22.7%38.2%11.9%9.8%185.6K3.4M-23.2K1.4523.23N/AN/A1,1701,6904,2303,281
2011-08-04$27.06$30.0045.4%13.0%53.1%35.1%38.6%17.9%7.1%107.7K8.2M-19.5K6.6455.89N/AN/A372435,3514,562
2011-08-05$28.56$34.0059.5%15.3%56.9%50.0%49.2%16.0%-4.3%156.4K4.5M-25.9K15.3133.04N/AN/A426365,3634,261
2011-08-08$26.02$34.0082.4%20.9%61.5%74.2%70.0%17.1%-14.4%66.3K7.5M-18.8K1.4042.81N/AN/A3164415,3884,532
2011-08-09$27.50$34.0058.9%17.2%65.4%49.4%48.5%26.6%-8.1%130.9K7.0M-22.0K1.7137.83N/AN/A2834835,7014,809
2011-08-10$25.20$34.0067.3%18.6%70.4%58.3%50.4%16.7%-12.5%57.5K9.7M-13.4K7.6033.48N/AN/A1601,2175,9445,088
2011-08-11$26.70$34.0061.5%17.6%74.6%52.1%49.0%27.2%-9.5%32.9K9.8M-19.0K13.6239.03N/AN/A1482,0096,0786,071
2011-08-12$27.46$34.0049.7%14.2%75.7%39.6%58.8%25.5%-6.1%9.9K9.4M-20.3K19.9144.17N/AN/A61106,0156,856
2011-08-15$28.08$34.0046.0%13.2%75.8%35.7%51.7%18.5%-0.7%79.6K7.9M-19.1K16.7737.16N/AN/A111856,0106,863
2011-08-16$27.36$34.0045.5%13.0%75.4%35.1%45.2%23.5%-0.3%34.8K9.8M-15.3K199.7030.59N/AN/A59996,0216,998
2011-08-17$27.68$34.0045.7%13.1%74.7%35.5%45.8%21.8%-1.0%-146.3K10.8M-16.7K281.0043.02N/AN/A12816,0217,858
2011-08-18$25.88$34.0059.0%16.9%74.8%49.4%55.7%29.3%-8.8%-351.9K15.0M-13.2K12.6935.17N/AN/A162035,6657,790
2011-08-19$25.12$34.0058.1%16.7%75.0%48.5%52.2%20.2%-6.1%-215.5K17.5M-9.8K0.0029.09N/AN/A01185,6787,795
2011-08-22$25.78$34.0061.6%17.6%76.2%52.2%65.5%22.5%-3.5%-80.0K7.5M-10.5K132.8125.16N/AN/A81,0631,7283,665
2011-08-23$26.36$34.0058.4%16.7%76.7%48.8%58.6%29.3%-0.9%-92.5K7.8M-11.4K20.6025.38N/AN/A51031,7353,798
2011-08-24$26.36$34.0054.9%15.7%75.8%45.1%44.8%28.5%-1.5%-91.1K7.9M-10.4K40.9326.24N/AN/A83071,7403,805
2011-08-25$25.84$34.0060.5%17.3%75.8%51.0%57.8%23.1%-4.9%-101.2K8.2M-10.9K3.7533.99N/AN/A281051,7484,063
2011-08-26$26.08$34.0053.7%15.4%76.1%43.9%56.9%20.8%1.7%-90.4K8.0M-10.8K1.2024.60N/AN/A32391,7703,895
2011-08-29$26.82$34.0052.8%15.1%76.5%42.9%51.8%22.3%1.3%-105.0K7.9M-11.2K1.8333.63N/AN/A1332431,8023,922
2011-08-30$26.58$34.0054.8%15.7%75.5%45.0%61.5%23.3%-2.4%-99.8K8.0M-11.9K0.0028.37N/AN/A0671,9214,118
2011-08-31$27.22$34.0042.6%12.2%76.0%32.1%44.5%20.0%3.1%-113.3K8.0M-12.1K5.3025.44N/AN/A10531,9214,150