EWI Options History — November 2011

In November 2011, EWI traded between $22.60 and $27.16. ATM implied volatility averaged 60.2%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 6.8% (HV 20d: 67.1%). Max pain ranged from $28.00 to $36.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 17.50.

Notable Days

  • 2011-11-09: Highest Volume — 1,211 contracts
  • 2011-11-09: Largest IV spike — 57.2% change
  • 2011-11-28: Highest IV Rank — 72.3%
  • 2011-11-09: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.09$22.60$27.16$25.12$25.50
Max Pain$34.86$28.00$36.00$28.00$36.00
ATM IV60.2%48.6%76.4%60.9%52.9%
Expected Move17.1%13.2%19.7%17.5%15.2%
HV 20d67.1%61.1%72.0%61.9%63.8%
HV 60d57.1%54.5%59.0%58.3%58.7%
IV Rank53.2%38.5%72.3%51.5%58.0%
IV Percentile89.9%77.0%98.8%93.7%77.0%
Term Structure-2.8%-9.2%1.5%-4.6%-3.2%
VWIV61.5%52.9%68.7%63.0%58.2%
Skew 25d22.7%14.9%30.4%24.8%18.6%
Skew 10d37.9%8.4%70.3%48.0%23.4%
Call IV 25d48.2%39.2%54.9%52.2%49.0%
Put IV 25d70.9%65.4%77.0%77.0%67.5%
Bid-Ask Spread %35.8514.7982.3124.2514.79
Gamma HHI0.440.320.590.580.39
Net GEX-222.7K-365.7K-163.2K-163.2K-248.3K
Net DEX9.1M6.8M11.5M7.7M8.7M
Net VEX-17.2K-20.5K-14.5K-14.7K-17.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio17.501.1959.408.2510.63
Total Volume348.143561,211148279
Total OI8,733.817,13910,5607,1398,967

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$25.12$28.0060.9%17.5%61.9%51.5%63.0%24.8%-4.6%-163.2K7.7M-14.7K8.2524.25N/AN/A161321,9665,173
2011-11-02$25.60$28.0059.1%16.9%61.8%49.6%59.2%23.9%0.5%-170.0K7.6M-15.2K4.2830.84N/AN/A20841,9795,212
2011-11-03$27.00$28.0059.8%17.1%63.4%50.3%52.9%28.3%-2.2%-174.9K6.8M-15.1K1.1920.72N/AN/A48571,9895,190
2011-11-04$26.02$36.0054.5%16.5%65.0%44.7%61.2%24.0%-9.2%-185.9K7.4M-15.0K51.4043.95N/AN/A31292,0285,231
2011-11-07$26.50$36.0059.8%16.5%61.1%50.3%61.0%24.7%-6.4%-188.4K7.2M-14.5K22.0950.69N/AN/A163542,0305,274
2011-11-08$27.16$36.0048.6%13.2%61.6%38.5%64.9%26.3%0.4%-203.0K7.0M-15.6K9.8450.26N/AN/A656402,0455,561
2011-11-09$24.60$36.0076.4%19.7%70.4%67.8%64.9%21.0%-8.5%-187.4K8.8M-16.0K5.1028.99N/AN/A1991,0122,0696,056
2011-11-10$25.42$36.0060.4%17.3%71.4%50.9%62.0%24.0%-4.3%-245.9K8.7M-18.2K19.2851.51N/AN/A509642,2226,715
2011-11-11$26.48$36.0060.0%17.2%72.0%50.5%61.8%22.8%-2.1%-298.5K8.6M-19.5K18.1741.38N/AN/A152732,2117,318
2011-11-14$25.58$36.0058.0%16.6%71.0%48.4%64.4%17.5%-2.5%-314.7K9.4M-18.6K37.9240.19N/AN/A197022,2107,467
2011-11-15$25.52$36.0056.9%16.3%69.8%47.3%62.8%23.2%-2.1%-337.2K10.2M-20.5K9.1942.68N/AN/A141242,2147,968
2011-11-16$25.08$36.0057.6%16.5%70.0%48.0%57.6%20.6%-1.1%-365.7K10.7M-19.9K11.2034.28N/AN/A283082,2168,055
2011-11-17$24.70$36.0067.5%19.4%70.0%58.4%61.5%23.4%-4.6%-176.5K11.5M-19.7K6.3242.49N/AN/A211302,2438,311
2011-11-18$25.02$36.0054.0%15.5%69.2%44.2%63.8%19.9%-0.3%-240.9K11.4M-19.7K30.4447.65N/AN/A51372,2548,306
2011-11-21$24.20$36.0063.3%18.1%69.7%54.0%67.2%23.7%-3.4%-183.4K9.2M-18.3K59.4024.23N/AN/A31492,0676,517
2011-11-22$23.90$36.0060.0%17.2%69.6%50.5%56.8%24.3%-2.1%-185.6K9.4M-17.3K18.5325.47N/AN/A264732,0666,494
2011-11-23$22.82$36.0065.9%18.9%70.6%56.7%54.3%19.6%-1.2%-184.2K10.4M-16.4K5.9822.91N/AN/A291712,0716,859
2011-11-25$22.60$36.0065.4%18.8%63.4%56.2%63.0%30.4%1.5%-179.6K10.6M-15.7K10.1082.31N/AN/A5512,0736,869
2011-11-28$24.00$36.0062.9%18.0%68.4%72.3%68.7%22.1%-1.9%-218.6K10.0M-16.8K25.3116.45N/AN/A164052,0786,862
2011-11-29$24.00$36.0061.1%17.5%64.7%69.7%62.1%14.9%-0.8%-225.1K10.0M-16.7K2.8616.70N/AN/A361032,0886,886
2011-11-30$25.50$36.0052.9%15.2%63.8%58.0%58.2%18.6%-3.2%-248.3K8.7M-17.7K10.6314.79N/AN/A242552,1246,843