EWI Options History — September 2011

In September 2011, EWI traded between $22.22 and $26.78. ATM implied volatility averaged 59.8%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 5.6% (HV 20d: 54.2%). Max pain ranged from $28.00 to $34.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 20.00.

Notable Days

  • 2011-09-08: Highest Volume — 1,224 contracts
  • 2011-09-13: Largest IV drop — 48.2% change
  • 2011-09-12: Highest IV Rank — 71.4%
  • 2011-09-12: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.02$22.22$26.78$26.78$23.76
Max Pain$28.57$28.00$34.00$34.00$28.00
ATM IV59.8%41.3%79.8%49.6%64.0%
Expected Move17.4%14.2%20.8%14.2%18.4%
HV 20d54.2%49.0%69.5%69.5%55.1%
HV 60d57.4%55.0%59.1%55.0%59.1%
IV Rank50.3%30.8%71.4%39.6%54.8%
IV Percentile94.8%86.5%99.2%92.9%96.4%
Term Structure-1.5%-9.2%4.9%0.7%3.9%
VWIV60.4%47.9%70.0%47.9%63.7%
Skew 25d25.1%20.0%33.6%23.2%26.9%
Skew 10d49.7%19.2%63.5%19.2%56.7%
Call IV 25d47.7%35.1%57.3%35.1%51.8%
Put IV 25d72.9%58.3%83.9%58.3%78.7%
Bid-Ask Spread %42.7217.3089.6133.5229.67
Gamma HHI0.250.190.370.190.37
Net GEX-88.7K-124.2K-67.8K-124.2K-112.4K
Net DEX7.5M5.9M9.2M7.7M7.1M
Net VEX-12.7K-16.9K-9.5K-12.9K-16.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio20.000.79109.0010.95109.00
Total Volume294.143301,22434132
Total OI6,457.2865,6627,6916,1146,886

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$26.78$34.0049.6%14.2%69.5%39.6%47.9%23.2%0.7%-124.2K7.7M-12.9K10.9533.52N/AN/A293121,9304,184
2011-09-02$25.68$34.0052.3%15.0%67.9%42.4%52.4%20.4%-1.5%-111.6K8.5M-12.2K3.8835.75N/AN/A25971,9584,447
2011-09-06$24.34$28.0068.3%17.2%62.3%59.3%53.6%21.7%-3.9%-85.7K8.9M-9.5K2.5689.61N/AN/A721831,9834,524
2011-09-07$25.28$28.0051.0%15.1%60.4%41.1%60.3%24.2%-1.1%-105.6K8.3M-9.6K69.0084.44N/AN/A53452,0364,239
2011-09-08$24.76$28.0059.3%18.1%52.4%49.8%64.2%22.4%-6.1%-78.7K7.7M-10.0K9.6483.80N/AN/A1151,1092,0384,030
2011-09-09$23.18$28.0063.7%18.4%52.4%54.4%65.2%33.4%-6.3%-84.5K9.0M-13.2K23.0084.56N/AN/A132882,1535,051
2011-09-12$22.70$28.0079.8%20.8%50.9%71.4%70.0%26.6%-9.2%-77.5K9.2M-11.1K4.7140.54N/AN/A723392,1635,029
2011-09-13$23.20$28.0041.3%17.6%50.9%30.8%64.6%23.3%-5.6%-82.8K9.2M-11.6K3.1532.83N/AN/A531672,2025,033
2011-09-14$23.98$28.0054.6%17.7%52.6%44.8%60.5%32.6%-4.4%-98.0K9.0M-13.0K0.7937.61N/AN/A1481172,2485,101
2011-09-15$24.94$28.0059.6%17.1%54.8%50.1%69.8%21.4%-3.0%-95.0K8.6M-14.4K33.8642.09N/AN/A113732,3895,146
2011-09-16$24.52$28.0057.4%16.4%49.9%47.7%51.3%20.0%1.7%-107.7K8.8M-15.3K1.5738.50N/AN/A1051642,3775,314
2011-09-19$23.68$28.0058.3%16.7%50.3%48.8%58.6%25.4%1.3%-73.0K6.2M-12.6K14.6425.27N/AN/A6811,8403,822
2011-09-20$23.70$28.0053.9%15.5%49.2%44.1%63.6%24.1%1.9%-81.1K6.2M-12.9K1.4317.30N/AN/A64921,8433,890
2011-09-21$22.98$28.0064.0%18.4%49.0%54.8%48.5%22.1%-0.1%-73.8K6.3M-12.3K11.7122.12N/AN/A7821,9053,966
2011-09-22$22.22$28.0069.2%19.8%49.8%60.3%63.7%33.6%-4.6%-67.8K6.5M-11.3K32.3083.34N/AN/A51621,9094,001
2011-09-23$22.58$28.0067.5%19.4%50.3%58.5%64.1%22.3%-2.5%-69.9K6.5M-11.8K0.0024.59N/AN/A0991,9043,976
2011-09-26$23.42$28.0058.0%16.6%52.4%48.4%64.0%25.5%1.7%-78.3K6.4M-12.4K3.0719.40N/AN/A481461,9044,022
2011-09-27$24.16$28.0057.6%16.5%52.7%48.0%60.9%22.5%1.9%-86.3K6.1M-13.8K26.3222.15N/AN/A112901,9464,109
2011-09-28$23.84$28.0059.2%17.0%52.7%49.7%59.6%24.1%4.9%-81.2K6.1M-13.8K18.3320.18N/AN/A2281,9574,089
2011-09-29$24.72$28.0067.0%19.2%53.8%57.9%61.5%31.8%-1.5%-87.8K5.9M-15.3K109.0029.80N/AN/A88721,9594,100
2011-09-30$23.76$28.0064.0%18.4%55.1%54.8%63.7%26.9%3.9%-112.4K7.1M-16.9K0.0029.67N/AN/A0321,9594,927