EWI Options History — April 2012

In April 2012, EWI traded between $22.64 and $26.24. ATM implied volatility averaged 34.3%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 1.0% (HV 20d: 33.3%). 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 28.84.

Notable Days

  • 2012-04-10: Highest Volume — 331 contracts
  • 2012-04-24: Largest IV drop — 31.2% change
  • 2012-04-23: Highest IV Rank — 40.8%
  • 2012-04-23: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.89$22.64$26.24$26.24$24.00
Max Pain$26.40$26.00$28.00$28.00$26.00
ATM IV34.3%28.1%40.8%31.0%34.1%
Expected Move9.9%8.1%11.7%8.9%9.8%
HV 20d33.3%25.3%40.8%30.2%40.4%
HV 60d29.3%26.6%32.0%26.6%31.7%
IV Rank31.5%22.7%40.8%26.9%31.2%
IV Percentile38.2%18.7%52.8%32.9%35.3%
Term Structure1.5%-3.2%8.6%-0.6%0.5%
VWIV36.2%24.9%47.0%31.6%24.9%
Skew 25d10.7%-2.3%18.5%6.9%11.7%
Skew 10d21.1%4.6%57.0%7.2%50.7%
Call IV 25d28.0%16.1%35.1%23.6%30.6%
Put IV 25d38.7%25.6%45.4%30.5%42.3%
Bid-Ask Spread %98.3691.64103.53101.1895.52
Gamma HHI0.270.220.300.290.27
Net GEX-141.7K-224.7K-72.3K-72.3K-224.7K
Net DEX2.6M869.0K3.8M869.0K3.3M
Net VEX-11.2K-12.5K-7.6K-7.6K-11.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio28.840.02205.330.02205.33
Total Volume132.3223312937
Total OI4,066.53,3584,9503,3584,950

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$26.24$28.0031.0%8.9%30.2%26.9%0.0%6.9%-0.6%-72.3K869.0K-7.6K0.02101.18N/AN/A2814912,867
2012-04-03$25.48$28.0031.5%9.0%27.0%27.5%31.6%-2.3%3.1%-82.0K1.2M-9.6K2.51103.07N/AN/A19474972,868
2012-04-04$24.70$28.0030.8%8.8%28.2%26.5%0.0%15.2%4.7%-92.4K1.6M-10.2K1.94102.91N/AN/A18355122,911
2012-04-05$24.32$28.0029.0%8.3%25.9%23.9%29.1%1.7%6.2%-91.6K1.9M-10.9K38.50101.58N/AN/A1395272,921
2012-04-09$23.96$26.0034.4%10.4%25.3%31.6%35.4%9.9%0.2%-92.8K2.1M-10.5K4.0094.99N/AN/A8325282,927
2012-04-10$23.02$26.0038.5%10.7%27.9%37.4%47.0%16.6%0.3%-90.8K2.3M-10.5K26.5898.27N/AN/A123195252,927
2012-04-11$23.60$26.0033.1%10.2%28.5%29.8%34.8%12.5%-0.2%-108.0K2.4M-11.2K5.4796.30N/AN/A402195353,212
2012-04-12$24.14$26.0037.1%10.6%30.3%35.5%0.0%8.7%0.1%-135.4K2.4M-11.2K1.0591.64N/AN/A11115753,417
2012-04-13$23.22$26.0037.0%10.6%31.6%35.3%33.0%11.0%2.5%-122.6K2.8M-11.8K1.4993.43N/AN/A18265853,418
2012-04-16$23.32$26.0038.2%10.9%31.4%37.0%36.9%13.5%0.3%-126.7K2.8M-11.6K1.9695.38N/AN/A13256023,421
2012-04-17$24.22$26.0038.5%11.0%34.6%37.5%40.2%8.3%-1.5%-131.7K2.3M-11.0K32.3097.89N/AN/A51626033,429
2012-04-18$23.48$26.0039.3%11.3%35.6%38.6%39.2%18.5%-3.2%-135.5K2.9M-11.9K61.40101.28N/AN/A53076043,588
2012-04-19$23.04$26.0034.3%9.8%35.6%31.5%35.3%8.6%4.8%-156.8K3.5M-12.2K51.38103.53N/AN/A42066053,803
2012-04-20$23.46$26.0034.3%9.8%36.7%31.6%33.0%13.4%-0.8%-172.4K3.4M-12.5K4.91103.08N/AN/A6276013,914
2012-04-23$22.64$26.0040.8%11.7%38.0%40.8%37.8%7.7%0.4%-169.4K3.8M-11.4K47.3698.51N/AN/A62615573,796
2012-04-24$23.02$26.0028.1%8.1%37.6%22.7%36.9%11.2%8.6%-193.7K3.7M-12.2K2.0398.41N/AN/A18375604,015
2012-04-25$23.84$26.0030.8%8.8%40.6%26.5%40.3%12.8%1.2%-216.1K3.0M-11.4K57.8399.57N/AN/A31745714,033
2012-04-26$23.94$26.0033.0%9.5%40.8%29.6%35.2%12.3%2.9%-220.7K3.2M-11.8K1.9495.70N/AN/A531035744,187
2012-04-27$24.24$26.0032.6%9.3%40.5%29.0%44.3%15.9%-0.3%-198.8K2.8M-11.9K205.3394.97N/AN/A23086174,057
2012-04-30$24.00$26.0034.1%9.8%40.4%31.2%24.9%11.7%0.5%-224.7K3.3M-11.8K0.0095.52N/AN/A0376194,331