EWI Options History — February 2012

In February 2012, EWI traded between $26.34 and $27.38. ATM implied volatility averaged 34.8%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 11.8% (HV 20d: 23.1%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 14.69.

Notable Days

  • 2012-02-13: Highest Volume — 435 contracts
  • 2012-02-10: Largest IV spike — 31.7% change
  • 2012-02-10: Highest IV Rank — 44.8%
  • 2012-02-10: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.84$26.34$27.38$26.46$26.74
Max Pain$26.70$26.00$28.00$26.00$26.00
ATM IV34.8%28.5%43.6%35.8%33.4%
Expected Move10.2%8.3%12.5%10.3%9.6%
HV 20d23.1%20.1%32.8%32.8%21.1%
HV 60d39.2%32.9%46.3%46.3%33.0%
IV Rank32.3%23.2%44.8%33.6%30.2%
IV Percentile42.7%30.2%61.5%48.8%37.3%
Term Structure1.2%-4.8%6.0%1.8%6.0%
VWIV35.7%25.5%43.6%35.8%35.0%
Skew 25d11.1%0.1%17.8%7.7%0.1%
Skew 10d15.2%4.2%31.1%5.1%7.7%
Call IV 25d27.8%21.5%33.5%24.1%33.2%
Put IV 25d38.9%30.7%46.9%31.8%33.3%
Bid-Ask Spread %21.4411.8881.7828.6281.78
Gamma HHI0.300.270.340.340.29
Net GEX-118.7K-151.2K-92.5K-104.4K-130.7K
Net DEX1.3M734.0K1.9M1.4M1.4M
Net VEX-13.9K-16.3K-12.4K-14.9K-12.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.690.03133.00133.000.41
Total Volume87.144356819
Total OI5,280.14,9455,8865,1484,946

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$26.46$26.0035.8%10.3%32.8%33.6%35.8%7.7%1.8%-104.4K1.4M-14.9K133.0028.62N/AN/A1679414,207
2012-02-02$26.52$26.0034.2%9.8%31.4%31.3%34.2%9.2%2.6%-105.4K1.2M-14.1K8.3611.88N/AN/A352939414,231
2012-02-03$26.94$28.0034.6%10.7%25.5%31.9%25.5%17.5%-1.5%-103.1K1.1M-14.3K0.0013.02N/AN/A049274,336
2012-02-06$26.52$28.0035.1%10.6%23.6%32.7%37.1%14.0%0.9%-107.1K1.4M-14.5K0.0312.17N/AN/A2019274,337
2012-02-07$26.92$28.0035.1%10.2%23.1%32.6%33.4%11.9%2.8%-101.0K1.1M-13.4K0.5416.20N/AN/A18109224,337
2012-02-08$27.34$28.0028.5%9.9%22.3%23.2%37.5%17.8%-1.3%-92.5K796.8K-13.0K0.1626.15N/AN/A2249054,341
2012-02-09$27.38$28.0033.1%9.5%22.4%29.8%0.0%13.7%0.3%-101.1K734.0K-12.4K0.0029.68N/AN/A0508974,341
2012-02-10$26.58$28.0043.6%12.5%25.2%44.8%43.6%16.3%-4.8%-104.3K1.4M-14.0K9.9817.33N/AN/A313108974,347
2012-02-13$26.74$28.0039.4%11.3%22.7%38.8%39.4%14.6%0.7%-118.5K1.4M-13.9K3.2413.28N/AN/A1033329234,613
2012-02-14$26.52$26.0039.9%11.4%22.7%39.5%38.8%13.0%-1.6%-117.9K1.7M-15.8K9.0015.27N/AN/A7639984,869
2012-02-15$26.34$26.0041.7%12.0%22.8%42.1%41.6%11.7%-2.7%-120.7K1.9M-16.3K0.9119.49N/AN/A16159934,893
2012-02-16$26.72$26.0038.0%10.9%20.9%36.8%38.2%12.6%0.3%-119.9K1.4M-15.4K0.2213.99N/AN/A115259834,888
2012-02-17$26.96$26.0035.0%10.0%21.0%32.5%35.2%9.5%3.7%-135.5K1.1M-14.9K5.5018.00N/AN/A4229574,898
2012-02-21$27.12$26.0031.3%9.0%20.5%27.3%34.6%11.0%3.0%-130.4K1.6M-13.8K19.6019.44N/AN/A3497114,301
2012-02-22$26.94$26.0033.4%9.6%20.7%30.2%34.2%8.9%4.2%-134.0K1.6M-13.9K0.0018.96N/AN/A0167114,261
2012-02-23$26.92$26.0030.5%8.7%20.1%26.0%29.9%6.1%5.2%-151.2K1.5M-12.6K0.4121.57N/AN/A947114,255
2012-02-24$27.30$26.0029.0%8.3%20.5%23.9%33.0%7.5%1.1%-127.5K1.3M-12.4K0.0017.44N/AN/A0507134,254
2012-02-27$26.88$26.0034.6%9.9%21.4%32.0%35.0%8.3%2.6%-133.7K1.5M-12.9K0.0015.86N/AN/A0117134,232
2012-02-28$27.04$26.0030.3%8.7%20.8%25.9%0.0%10.1%-0.1%-134.9K1.4M-12.5K0.0018.62N/AN/A0137134,232
2012-02-29$26.74$26.0033.4%9.6%21.1%30.2%0.0%0.1%6.0%-130.7K1.4M-12.6K0.0081.78N/AN/A0197134,233