EWI Options History — October 2011

In October 2011, EWI traded between $23.00 and $29.70. ATM implied volatility averaged 50.7%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 0.6% (HV 20d: 50.1%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 20.04.

Notable Days

  • 2011-10-03: Highest Volume — 477 contracts
  • 2011-10-31: Largest IV spike — 28.2% change
  • 2011-10-03: Highest IV Rank — 66.4%
  • 2011-10-03: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.67$23.00$29.70$23.00$27.00
Max Pain$27.81$26.00$30.00$28.00$28.00
ATM IV50.7%35.7%75.0%75.0%54.3%
Expected Move14.8%10.2%21.5%21.5%15.6%
HV 20d50.1%46.2%55.7%54.4%55.7%
HV 60d59.7%58.2%61.3%59.0%59.5%
IV Rank40.7%24.8%66.4%66.4%44.5%
IV Percentile84.0%69.0%98.8%98.8%85.7%
Term Structure1.1%-3.3%9.7%0.8%-0.4%
VWIV52.2%37.2%78.3%60.1%56.5%
Skew 25d20.9%17.3%25.1%19.4%25.1%
Skew 10d41.8%17.2%56.2%50.4%22.7%
Call IV 25d42.2%24.2%62.3%62.3%33.5%
Put IV 25d63.1%44.9%81.7%81.7%58.6%
Bid-Ask Spread %32.0815.0344.3324.0125.20
Gamma HHI0.420.320.550.370.55
Net GEX-168.8K-238.8K-105.7K-105.7K-178.2K
Net DEX6.7M4.7M8.2M7.4M6.4M
Net VEX-17.5K-19.6K-15.4K-15.6K-16.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio20.040.26120.005.6916.00
Total Volume156.4292247747751
Total OI7,376.816,8807,8046,8807,122

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$23.00$28.0075.0%21.5%54.4%66.4%60.1%19.4%0.8%-105.7K7.4M-15.6K0.0024.01N/AN/A04771,9594,921
2011-10-04$23.68$28.0063.9%18.3%52.6%54.7%78.3%21.9%2.8%-127.8K8.2M-16.8K0.0029.20N/AN/A0781,9595,325
2011-10-05$24.20$28.0062.5%17.9%51.3%53.2%37.2%17.7%1.9%-135.2K7.8M-17.3K0.0024.61N/AN/A0921,9595,278
2011-10-06$25.06$28.0050.0%14.3%52.4%39.9%58.4%24.8%9.7%-152.2K7.6M-18.0K5.6918.34N/AN/A16911,9595,344
2011-10-07$25.00$26.0059.6%18.3%46.2%50.1%59.3%23.6%-2.0%-148.4K7.5M-18.0K120.0037.68N/AN/A1601,9645,389
2011-10-10$26.66$26.0050.9%16.4%49.9%40.9%57.2%22.6%-3.3%-169.5K6.8M-19.1K1.7444.12N/AN/A671161,9655,435
2011-10-11$27.02$26.0043.5%14.3%49.7%33.0%56.5%24.4%-1.8%-171.6K6.7M-19.0K45.0044.08N/AN/A1451,9835,482
2011-10-12$27.54$26.0044.1%13.8%49.0%33.7%56.1%21.3%0.3%-173.3K6.1M-19.6K2.0735.02N/AN/A29591,9845,519
2011-10-13$26.92$26.0054.4%15.6%48.5%44.5%0.0%20.7%-1.6%-180.1K6.6M-18.8K0.0039.38N/AN/A03201,9825,506
2011-10-14$27.80$26.0046.1%13.2%48.8%35.8%44.4%19.6%0.9%-238.8K6.5M-19.4K2.1437.47N/AN/A7151,9825,800
2011-10-17$26.48$30.0053.7%15.4%50.6%43.8%47.4%18.6%0.5%-214.0K7.5M-18.1K96.0031.01N/AN/A1481,9725,811
2011-10-18$27.34$30.0046.9%13.4%51.4%36.6%0.0%23.7%-1.2%-237.7K7.2M-17.2K0.0043.84N/AN/A03341,9725,832
2011-10-19$27.08$30.0050.2%14.4%49.8%40.2%0.0%20.2%-0.6%-195.5K6.7M-17.7K0.0044.13N/AN/A0541,9595,602
2011-10-20$26.68$30.0056.8%16.3%48.2%47.2%46.8%20.1%-1.1%-179.1K7.0M-17.1K0.5041.96N/AN/A2611301,9595,597
2011-10-21$27.46$28.0046.9%13.4%48.6%36.7%44.5%18.1%1.3%-183.4K6.1M-18.3K5.3044.33N/AN/A10532,2065,598
2011-10-24$27.74$28.0041.7%11.9%47.6%31.2%43.1%17.3%3.9%-145.2K5.8M-16.7K0.2625.14N/AN/A321852,1234,965
2011-10-25$27.24$28.0042.7%12.2%47.7%32.2%53.5%21.2%6.1%-149.5K6.2M-16.7K2.4425.33N/AN/A441062,0534,994
2011-10-26$27.60$28.0043.4%12.5%47.2%33.0%49.6%20.1%3.2%-151.9K6.1M-16.5K1.5125.32N/AN/A35532,0785,090
2011-10-27$29.70$28.0035.7%10.2%51.8%24.8%44.3%20.7%3.7%-134.2K4.7M-15.7K0.8818.40N/AN/A82722,0865,129
2011-10-28$28.92$28.0042.3%12.1%50.4%31.8%46.9%17.5%1.0%-174.0K5.3M-15.4K1.0315.03N/AN/A35361,9345,136
2011-10-31$27.00$28.0054.3%15.6%55.7%44.5%56.5%25.1%-0.4%-178.2K6.4M-16.2K16.0025.20N/AN/A3481,9645,158