EWI Options History — January 2012

In January 2012, EWI traded between $22.58 and $26.06. ATM implied volatility averaged 38.8%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 0.8% (HV 20d: 38.0%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 22.29.

Notable Days

  • 2012-01-12: Highest Volume — 1,466 contracts
  • 2012-01-12: Largest IV spike — 102.0% change
  • 2012-01-06: Highest IV Rank — 51.5%
  • 2012-01-06: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.49$22.58$26.06$25.00$25.90
Max Pain$25.50$24.00$26.00$26.00$26.00
ATM IV38.8%20.3%48.4%44.6%35.7%
Expected Move11.6%9.8%14.7%12.8%10.2%
HV 20d38.0%34.9%45.8%43.5%35.0%
HV 60d53.3%47.4%55.8%55.6%47.4%
IV Rank37.9%11.6%51.5%46.1%33.4%
IV Percentile52.3%12.3%69.0%63.9%48.0%
Term Structure2.6%-1.0%7.0%4.1%2.0%
VWIV40.9%30.0%52.2%41.3%36.4%
Skew 25d12.7%8.6%19.2%15.7%14.7%
Skew 10d17.5%4.0%27.3%22.4%14.3%
Call IV 25d33.7%21.2%42.2%34.3%26.7%
Put IV 25d46.4%39.0%55.9%50.0%41.4%
Bid-Ask Spread %26.1013.0442.8716.8713.34
Gamma HHI0.390.300.590.360.33
Net GEX-148.9K-258.6K-108.4K-127.6K-121.9K
Net DEX3.1M1.8M4.8M2.6M1.8M
Net VEX-15.2K-18.4K-12.2K-13.4K-15.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio22.290.68173.001.1746.33
Total Volume174.6531,466523
Total OI4,913.153,8955,8873,8955,150

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$25.00$26.0044.6%12.8%43.5%46.1%41.3%15.7%4.1%-127.6K2.6M-13.4K1.1716.87N/AN/A24285813,314
2012-01-04$24.46$26.0042.4%12.2%42.7%43.1%42.8%9.4%7.0%-141.7K2.9M-13.1K3.6019.52N/AN/A5185953,339
2012-01-05$23.36$26.0041.4%11.9%45.2%41.7%30.0%9.1%5.1%-133.4K3.5M-12.7K4.9713.04N/AN/A15755963,352
2012-01-06$22.72$26.0048.4%14.7%45.8%51.5%49.0%14.1%-1.0%-125.8K3.8M-12.2K23.0342.87N/AN/A163576013,381
2012-01-09$22.58$26.0044.5%14.4%40.8%46.0%52.2%13.8%0.9%-140.0K4.3M-12.4K2.3037.09N/AN/A23536173,675
2012-01-10$23.18$24.0038.3%12.0%39.0%37.2%45.4%11.5%3.9%-159.0K3.9M-12.9K0.7332.07N/AN/A1871376363,681
2012-01-11$23.24$24.0020.3%12.5%35.2%11.6%43.3%9.4%1.0%-170.1K4.1M-13.0K0.9430.95N/AN/A32308213,787
2012-01-12$23.82$24.0041.0%11.8%35.3%41.1%43.6%10.1%2.0%-178.1K3.4M-13.5K126.3940.24N/AN/A121,4548513,816
2012-01-13$23.26$24.0042.1%12.1%35.5%42.6%41.6%10.8%2.1%-199.5K4.8M-18.4K9.0031.34N/AN/A2188594,816
2012-01-17$23.74$24.0042.3%12.1%36.2%42.9%41.3%8.6%2.9%-228.4K4.2M-17.8K0.8929.57N/AN/A56508594,824
2012-01-18$24.12$26.0042.9%12.3%36.5%43.7%39.6%10.5%1.1%-258.6K3.9M-17.9K173.0023.42N/AN/A11739144,854
2012-01-19$24.88$26.0040.5%11.6%37.9%40.3%39.7%11.3%3.0%-160.5K3.2M-17.1K3.3032.49N/AN/A321069144,973
2012-01-20$24.96$26.0040.6%11.6%36.4%40.5%38.0%10.3%1.9%-141.1K3.1M-17.0K1.4934.86N/AN/A23349044,967
2012-01-23$25.36$26.0034.8%10.0%36.6%32.3%35.6%15.8%1.9%-122.4K2.3M-16.5K1.1217.17N/AN/A1121258364,104
2012-01-24$25.60$26.0034.4%9.9%36.2%31.7%39.7%14.9%4.5%-115.8K2.2M-16.7K0.9817.13N/AN/A32319224,157
2012-01-25$26.02$26.0035.7%10.2%36.5%33.5%36.0%19.2%2.6%-108.4K1.9M-16.3K1.3716.12N/AN/A36499274,182
2012-01-26$26.06$26.0036.4%10.4%36.2%34.5%36.4%17.8%2.5%-109.3K1.8M-16.5K0.6825.33N/AN/A40279524,208
2012-01-27$25.96$26.0034.4%9.8%35.1%31.6%0.0%14.0%2.9%-111.8K1.9M-16.2K0.0023.31N/AN/A059434,207
2012-01-30$25.64$26.0035.4%10.1%34.9%33.0%0.0%12.6%1.2%-123.8K2.1M-15.7K46.3325.23N/AN/A2709434,205
2012-01-31$25.90$26.0035.7%10.2%35.0%33.4%0.0%14.7%2.0%-121.9K1.8M-15.2K0.0013.34N/AN/A039414,209