EWI Options History — March 2012

In March 2012, EWI traded between $26.02 and $27.92. ATM implied volatility averaged 29.7%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.7% (HV 20d: 29.1%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 7.83.

Notable Days

  • 2012-03-27: Highest Volume — 278 contracts
  • 2012-03-13: Largest IV drop — 35.4% change
  • 2012-03-06: Highest IV Rank — 34.0%
  • 2012-03-06: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.96$26.02$27.92$27.62$26.16
Max Pain$26.45$26.00$28.00$26.00$28.00
ATM IV29.7%22.4%36.0%31.5%29.1%
Expected Move9.1%7.5%11.3%9.0%8.4%
HV 20d29.1%22.6%31.5%22.8%30.2%
HV 60d30.5%28.3%34.7%33.6%28.3%
IV Rank25.0%14.6%34.0%27.5%24.1%
IV Percentile30.7%16.7%47.2%34.1%27.4%
Term Structure2.6%-1.3%5.9%1.7%3.4%
VWIV31.5%19.2%39.4%32.1%29.1%
Skew 25d6.8%0.4%15.7%7.2%5.9%
Skew 10d8.4%-4.0%36.6%12.8%4.6%
Call IV 25d26.7%20.3%31.1%25.4%20.3%
Put IV 25d33.5%26.2%38.4%32.6%26.2%
Bid-Ask Spread %94.9773.22103.1473.22100.34
Gamma HHI0.260.210.370.280.22
Net GEX-88.2K-162.9K-53.9K-106.8K-76.5K
Net DEX971.7K481.8K2.0M937.1K1.0M
Net VEX-9.9K-12.5K-7.3K-10.9K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.830.3333.8026.004.64
Total Volume53.90942782732
Total OI4,126.8182,9675,0424,9333,343

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$27.62$26.0031.5%9.0%22.8%27.5%32.1%7.2%1.7%-106.8K937.1K-10.9K26.0073.22N/AN/A1267134,220
2012-03-02$27.34$26.0029.7%8.5%23.2%25.0%28.7%4.8%2.4%-116.7K1.2M-11.7K0.0078.30N/AN/A0317134,237
2012-03-05$27.30$26.0031.8%9.5%22.6%27.9%35.6%15.7%3.4%-116.8K1.1M-11.1K0.00102.21N/AN/A067094,238
2012-03-06$26.02$26.0036.0%11.3%28.0%34.0%39.4%2.5%-1.3%-162.9K2.0M-12.5K33.80103.14N/AN/A3857084,243
2012-03-07$26.44$28.0034.4%10.3%28.1%31.7%33.7%10.2%-0.5%-146.6K1.6M-11.8K3.2593.87N/AN/A30967024,233
2012-03-08$27.20$26.0023.1%9.4%29.4%15.6%32.7%14.8%2.7%-103.1K1.1M-11.0K3.0095.02N/AN/A387304,277
2012-03-09$26.58$26.0028.6%10.0%30.5%23.3%35.9%8.0%3.2%-130.6K1.3M-11.0K11.0095.28N/AN/A2177324,280
2012-03-12$26.70$26.0034.7%10.1%28.6%32.0%19.2%8.2%3.6%-125.0K1.2M-10.8K1.0090.55N/AN/A37377344,289
2012-03-13$27.26$28.0022.4%8.8%29.5%14.6%33.1%9.0%5.0%-78.9K730.5K-9.8K0.8094.83N/AN/A13107664,274
2012-03-14$26.96$26.0023.1%9.9%29.6%15.6%34.3%9.2%2.5%-89.2K914.7K-10.5K1.8092.93N/AN/A23417714,271
2012-03-15$27.34$26.0031.1%8.9%29.8%26.9%0.0%6.2%3.7%-70.9K775.4K-9.5K19.0094.57N/AN/A2387564,262
2012-03-16$27.52$26.0030.0%8.6%29.5%25.3%30.0%7.1%5.0%-53.9K579.6K-9.3K7.8394.51N/AN/A9717564,237
2012-03-19$27.92$26.0028.3%8.1%29.8%22.9%33.9%9.8%4.2%-57.6K481.8K-7.3K4.6395.43N/AN/A4192662,701
2012-03-20$27.50$26.0028.6%8.2%30.3%23.4%28.4%3.8%3.7%-55.1K694.1K-8.7K0.3397.81N/AN/A36122692,714
2012-03-21$27.02$26.0029.4%8.4%30.9%24.5%31.9%1.7%-0.3%-58.2K796.2K-9.2K11.00101.05N/AN/A2172802,724
2012-03-22$26.66$26.0032.3%9.3%31.3%28.6%32.2%6.6%0.3%-63.7K969.0K-9.5K5.8098.07N/AN/A3152812,730
2012-03-23$26.66$26.0030.3%8.7%30.8%25.7%33.3%3.1%1.1%-68.7K837.4K-8.6K0.0096.57N/AN/A042842,737
2012-03-26$27.22$26.0026.0%7.5%31.3%19.7%26.5%5.6%4.1%-65.7K668.4K-7.9K0.0097.79N/AN/A092842,737
2012-03-27$26.88$26.0031.9%9.1%31.5%28.0%31.0%0.4%0.1%-58.7K698.5K-8.2K0.5597.41N/AN/A179992842,740
2012-03-28$26.70$28.0031.7%9.1%31.4%27.9%31.5%1.1%2.3%-65.7K748.9K-9.1K3.6998.16N/AN/A18674622,798
2012-03-29$26.02$28.0029.7%8.5%30.2%24.9%28.4%8.7%5.9%-70.2K1.0M-10.2K2.7298.30N/AN/A22594802,825
2012-03-30$26.16$28.0029.1%8.4%30.2%24.1%29.1%5.9%3.4%-76.5K1.0M-9.9K4.64100.34N/AN/A6264862,857