EWI Options History — May 2012

In May 2012, EWI traded between $20.06 and $24.12. ATM implied volatility averaged 41.5%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 6.1% (HV 20d: 35.4%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 25.77.

Notable Days

  • 2012-05-30: Highest Volume — 1,387 contracts
  • 2012-05-15: Largest IV spike — 22.1% change
  • 2012-05-17: Highest IV Rank — 54.1%
  • 2012-05-17: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.68$20.06$24.12$24.12$20.24
Max Pain$25.73$24.00$26.00$24.00$26.00
ATM IV41.5%30.7%50.5%35.1%44.3%
Expected Move12.1%10.1%14.5%10.1%12.7%
HV 20d35.4%29.4%41.3%40.5%30.0%
HV 60d33.1%31.6%34.2%31.6%32.8%
IV Rank41.3%25.7%54.1%32.6%42.9%
IV Percentile53.9%23.4%72.2%41.3%60.3%
Term Structure0.5%-6.1%4.5%-2.7%2.7%
VWIV39.8%25.6%46.3%40.8%44.3%
Skew 25d9.3%1.7%17.6%12.8%9.3%
Skew 10d12.2%3.9%24.0%18.9%9.3%
Call IV 25d34.1%27.1%40.6%29.8%31.0%
Put IV 25d43.4%38.2%47.8%42.5%40.3%
Bid-Ask Spread %91.1687.2099.1995.4789.30
Gamma HHI0.350.280.480.280.46
Net GEX-219.6K-270.9K-183.4K-221.1K-209.8K
Net DEX5.6M3.2M7.0M3.2M6.7M
Net VEX-12.3K-13.4K-10.4K-11.4K-12.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio25.770.40182.5650.6427.23
Total Volume328.68261,3876184
Total OI5,837.4554,9456,6414,9456,641

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$24.12$24.0035.1%10.1%40.5%32.6%0.0%12.8%-2.7%-221.1K3.2M-11.4K0.0095.47N/AN/A066194,326
2012-05-02$23.34$24.0035.2%10.1%40.8%32.7%40.8%4.8%-0.6%-221.3K4.0M-11.4K50.6496.86N/AN/A62796194,329
2012-05-03$22.94$24.0040.0%11.5%39.9%39.6%38.2%4.4%2.5%-237.0K4.3M-12.0K182.5699.19N/AN/A58226224,579
2012-05-04$22.56$26.0037.8%11.2%39.9%35.9%0.0%15.9%1.6%-237.0K4.7M-12.1K0.0090.06N/AN/A0406244,629
2012-05-07$23.22$26.0030.7%10.1%41.3%25.7%25.6%17.6%1.4%-241.1K4.2M-11.4K0.8590.18N/AN/A1301106244,617
2012-05-08$22.78$26.0036.3%12.0%39.3%33.8%38.6%6.2%-2.9%-256.1K4.7M-12.2K15.9289.60N/AN/A6967544,698
2012-05-09$22.16$26.0037.4%11.6%39.2%35.4%42.2%8.9%0.9%-246.0K5.1M-11.5K31.2588.20N/AN/A144387604,640
2012-05-10$22.44$26.0042.6%12.2%38.5%42.8%38.4%13.3%-3.3%-243.7K4.8M-13.4K0.8291.10N/AN/A20177534,909
2012-05-11$22.40$26.0040.9%11.7%36.2%40.4%38.6%10.1%4.1%-259.8K5.0M-13.1K8.2092.83N/AN/A3217634,908
2012-05-14$21.76$26.0040.6%11.7%37.4%40.0%34.8%8.2%1.1%-270.9K5.8M-11.6K28.3888.79N/AN/A205547654,924
2012-05-15$20.98$26.0049.6%14.2%35.7%53.0%44.9%14.6%-1.3%-203.6K6.2M-10.4K4.3393.98N/AN/A1084687704,797
2012-05-16$20.80$26.0046.3%13.3%34.6%48.2%46.3%4.8%1.1%-183.7K6.8M-11.9K92.5691.91N/AN/A141,2508675,233
2012-05-17$20.52$26.0050.5%14.5%34.4%54.1%42.2%7.9%-6.1%-195.8K6.9M-13.3K11.0291.81N/AN/A232548615,641
2012-05-18$20.64$26.0047.9%13.7%33.6%50.4%39.3%5.8%-0.7%-183.4K7.0M-13.0K2.8491.09N/AN/A13368625,613
2012-05-21$21.28$26.0038.6%11.1%34.1%37.2%38.6%17.1%-0.1%-197.5K5.7M-12.6K23.7887.25N/AN/A51078005,117
2012-05-22$21.34$26.0036.9%10.6%33.4%34.7%37.1%16.7%4.5%-204.4K5.6M-13.0K4.7389.68N/AN/A311478045,209
2012-05-23$20.98$26.0044.3%12.7%30.4%45.3%39.1%8.4%4.0%-206.7K6.2M-12.8K4.1787.20N/AN/A9388355,338
2012-05-24$20.78$26.0046.4%13.3%30.1%48.3%44.6%5.3%0.2%-195.0K6.3M-12.7K5.4587.52N/AN/A361948375,335
2012-05-25$20.78$26.0043.5%12.5%29.4%44.1%34.5%1.7%3.1%-201.9K6.3M-13.3K0.4088.02N/AN/A91368535,494
2012-05-29$20.78$26.0044.1%12.7%29.5%45.1%43.1%5.5%-0.5%-214.4K6.3M-12.7K6.8993.48N/AN/A271869375,526
2012-05-30$20.06$26.0044.9%12.9%30.7%46.1%44.8%6.0%2.6%-201.2K6.9M-12.3K13.3791.99N/AN/A971,2909645,628
2012-05-31$20.24$26.0044.3%12.7%30.0%42.9%44.3%9.3%2.7%-209.8K6.7M-12.7K27.2389.30N/AN/A71771,0085,633