EWI Options History — December 2011

In December 2011, EWI traded between $23.26 and $26.30. ATM implied volatility averaged 49.4%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 3.0% (HV 20d: 52.4%). Max pain ranged from $24.00 to $36.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 14.75.

Notable Days

  • 2011-12-12: Highest Volume — 1,092 contracts
  • 2011-12-12: Largest IV spike — 25.8% change
  • 2011-12-08: Highest IV Rank — 73.2%
  • 2011-12-08: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.43$23.26$26.30$25.38$23.98
Max Pain$26.67$24.00$36.00$36.00$26.00
ATM IV49.4%42.5%63.6%51.0%46.7%
Expected Move14.1%12.2%17.1%14.6%13.4%
HV 20d52.4%40.6%63.5%63.5%40.6%
HV 60d57.1%55.4%58.3%58.2%55.4%
IV Rank53.0%43.1%73.2%55.2%49.2%
IV Percentile71.8%59.9%93.7%75.4%67.5%
Term Structure2.9%-3.2%6.9%2.1%1.1%
VWIV50.8%43.0%63.0%57.5%46.4%
Skew 25d17.0%7.7%27.2%15.5%23.5%
Skew 10d30.5%-2.3%54.7%37.4%9.6%
Call IV 25d41.8%27.5%49.6%45.3%27.5%
Put IV 25d58.8%47.3%68.3%60.8%51.1%
Bid-Ask Spread %29.9614.4890.8914.4822.92
Gamma HHI0.450.350.770.410.37
Net GEX-201.8K-329.0K-69.2K-266.9K-123.8K
Net DEX6.6M2.2M11.1M8.9M3.1M
Net VEX-13.5K-17.7K-10.4K-17.7K-13.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.750.4176.3316.755.30
Total Volume22541,0923632
Total OI6,715.1432,8849,2759,0983,877

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$25.38$36.0051.0%14.6%63.5%55.2%57.5%15.5%2.1%-266.9K8.9M-17.7K16.7514.48N/AN/A2342,1456,953
2011-12-02$25.52$36.0048.4%13.9%60.3%51.5%50.3%7.7%3.7%-281.9K8.6M-17.3K76.3316.49N/AN/A21152,1456,944
2011-12-05$26.24$26.0052.7%15.4%59.8%57.7%55.7%21.7%-0.4%-288.0K8.0M-16.6K7.7341.86N/AN/A866612,1477,000
2011-12-06$26.30$26.0053.4%14.8%59.5%58.7%0.0%17.7%1.0%-280.2K7.8M-16.1K3.4043.05N/AN/A15512,1816,898
2011-12-07$26.22$26.0053.4%14.5%58.7%58.7%54.4%18.5%-0.3%-300.7K8.0M-15.7K1.4335.45N/AN/A47672,1716,916
2011-12-08$24.62$26.0063.6%17.1%51.8%73.2%59.8%21.5%-3.2%-284.2K9.8M-14.9K2.4940.45N/AN/A631572,1956,954
2011-12-09$25.64$26.0047.9%14.1%52.5%50.8%51.7%18.4%1.9%-329.0K8.7M-15.1K0.5437.39N/AN/A56312,2577,002
2011-12-12$24.38$24.0060.2%15.8%53.2%68.4%63.0%19.1%3.1%-305.4K10.4M-12.8K15.5533.70N/AN/A661,0262,2647,011
2011-12-13$23.76$24.0058.6%15.7%52.6%66.2%51.8%17.5%2.3%-240.1K10.4M-12.2K4.5236.17N/AN/A291312,2536,763
2011-12-14$23.26$24.0043.8%15.4%53.0%45.1%54.1%18.3%3.1%-215.8K10.6M-11.3K5.2027.73N/AN/A512652,2726,671
2011-12-15$23.44$26.0049.6%14.2%52.9%53.3%50.4%20.7%6.9%-252.8K10.9M-10.9K10.6529.36N/AN/A202132,2426,721
2011-12-16$23.34$26.0048.9%14.0%52.7%52.4%48.2%17.4%6.5%-231.6K11.1M-10.7K23.3328.63N/AN/A143152,2526,732
2011-12-19$23.26$26.0048.2%13.8%52.4%51.3%56.4%27.2%6.1%-69.2K2.5M-10.4K13.5020.57N/AN/A1145162,368
2011-12-20$24.00$26.0046.7%13.4%52.6%49.1%43.6%17.5%3.5%-70.3K2.2M-10.8K31.4017.76N/AN/A154715162,378
2011-12-21$23.82$26.0043.8%12.6%52.5%45.1%44.0%15.4%5.3%-101.5K2.9M-11.6K0.4119.26N/AN/A56235232,821
2011-12-22$24.24$26.0043.3%12.4%49.9%44.3%43.5%8.5%5.3%-108.4K2.7M-11.9K0.0016.77N/AN/A05305762,841
2011-12-23$24.20$26.0043.3%12.4%49.7%44.3%50.8%11.7%1.0%-119.5K2.9M-14.1K41.0016.64N/AN/A1215763,292
2011-12-27$23.96$26.0044.8%12.8%45.1%46.5%44.9%16.2%2.8%-124.2K3.1M-13.4K6.0090.89N/AN/A135763,304
2011-12-28$23.46$26.0046.4%13.3%45.7%48.7%46.7%12.7%3.1%-116.9K3.1M-13.1K0.0020.33N/AN/A0245763,306
2011-12-29$24.00$26.0042.5%12.2%40.6%43.1%43.0%10.3%5.5%-126.7K3.1M-13.6K0.0019.33N/AN/A0165763,307
2011-12-30$23.98$26.0046.7%13.4%40.6%49.2%46.4%23.5%1.1%-123.8K3.1M-13.3K5.3022.92N/AN/A5275763,301