EWI Options History — June 2012

In June 2012, EWI traded between $19.92 and $22.62. ATM implied volatility averaged 41.3%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 4.2% (HV 20d: 37.1%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 6.79.

Notable Days

  • 2012-06-12: Highest Volume — 851 contracts
  • 2012-06-11: Largest IV spike — 55.1% change
  • 2012-06-11: Highest IV Rank — 62.5%
  • 2012-06-04: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.02$19.92$22.62$19.92$22.62
Max Pain$22.86$20.00$30.00$26.00$20.00
ATM IV41.3%31.4%59.2%44.8%36.2%
Expected Move12.3%9.8%14.4%12.9%10.4%
HV 20d37.1%30.0%51.2%30.0%51.2%
HV 60d35.5%32.5%41.6%32.6%41.6%
IV Rank34.2%17.9%62.5%43.7%25.5%
IV Percentile47.4%17.9%85.7%61.5%31.0%
Term Structure1.1%-2.5%5.9%1.8%0.2%
VWIV42.8%32.2%55.5%43.7%32.2%
Skew 25d14.0%8.1%19.0%9.6%18.5%
Skew 10d19.8%7.6%66.8%15.4%23.0%
Call IV 25d33.8%21.9%40.2%32.2%22.4%
Put IV 25d47.9%40.9%54.0%41.8%40.9%
Bid-Ask Spread %67.3725.4294.3690.5527.43
Gamma HHI0.380.220.750.480.22
Net GEX-174.0K-308.5K-79.5K-199.5K-97.5K
Net DEX4.3M1.0M6.9M6.9M1.0M
Net VEX-14.7K-17.6K-11.2K-12.5K-16.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.790.2331.381.510.38
Total Volume294.1930851106581
Total OI6,511.195,0188,5966,6806,178

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$19.92$26.0044.8%12.9%30.0%43.7%43.7%9.6%1.8%-199.5K6.9M-12.5K1.5190.55N/AN/A42641,0155,665
2012-06-04$20.54$30.0043.9%14.4%32.5%42.3%38.2%14.0%-2.3%-236.8K6.5M-12.4K7.1391.23N/AN/A4291,0445,680
2012-06-05$20.56$30.0045.7%14.3%30.1%40.8%50.0%14.4%-1.2%-238.5K6.4M-12.4K3.1089.42N/AN/A15451,0485,673
2012-06-06$21.42$28.0039.1%12.1%34.0%30.3%45.8%17.9%1.7%-235.4K5.6M-12.8K9.8594.36N/AN/A7641,0575,710
2012-06-07$21.46$28.0031.4%11.9%32.8%17.9%46.8%18.1%2.4%-238.0K5.2M-12.7K1.3493.67N/AN/A35471,0625,756
2012-06-08$21.40$24.0038.1%11.6%32.3%28.7%45.0%15.7%3.1%-237.8K5.6M-12.5K4.3692.46N/AN/A6241,0955,740
2012-06-11$20.50$24.0059.2%14.0%35.4%62.5%42.3%13.3%-2.1%-244.6K6.3M-11.7K9.8592.71N/AN/A302911,0955,751
2012-06-12$20.66$24.0038.1%13.5%34.4%28.6%46.2%12.5%-1.9%-277.1K6.3M-11.2K1.7692.17N/AN/A3095421,1085,931
2012-06-13$20.48$20.0036.6%13.0%32.1%26.3%55.5%13.2%3.5%-308.5K6.3M-13.3K4.9490.88N/AN/A864221,4126,169
2012-06-14$20.96$20.0048.1%13.8%33.1%44.8%48.7%15.0%1.9%-180.3K5.6M-13.8K31.3893.42N/AN/A206121,4836,572
2012-06-15$21.50$20.0044.1%12.7%33.8%38.4%46.1%17.9%-0.6%-261.9K5.4M-15.3K1.0889.47N/AN/A1872021,4977,099
2012-06-18$20.92$20.0044.8%12.8%35.4%39.4%45.2%11.0%1.4%-79.5K2.3M-15.2K30.6691.12N/AN/A278131,2753,743
2012-06-19$21.72$20.0036.2%10.4%36.2%25.6%40.5%15.1%3.7%-92.3K2.2M-17.6K6.8728.55N/AN/A271861,2904,480
2012-06-20$22.12$20.0034.5%9.9%36.7%22.9%35.9%15.7%5.9%-99.2K1.5M-16.5K1.8825.42N/AN/A621161,2814,631
2012-06-21$21.04$22.0037.3%10.7%40.7%27.4%39.4%12.1%3.3%-105.0K2.5M-17.5K1.8936.94N/AN/A1833451,0754,647
2012-06-22$21.38$22.0034.1%9.8%40.9%22.2%34.7%12.5%4.3%-106.5K2.4M-16.9K16.8033.90N/AN/A3421,0164,593
2012-06-25$20.32$22.0041.5%11.9%44.9%34.2%42.0%8.1%2.9%-111.9K3.1M-16.7K0.6136.12N/AN/A3161921,0184,610
2012-06-26$20.32$20.0044.8%12.8%44.9%39.4%0.0%11.2%-2.5%-99.7K3.0M-17.4K0.7139.77N/AN/A31221,2734,751
2012-06-27$20.68$20.0043.5%12.5%43.4%37.4%43.9%19.0%0.2%-98.3K2.7M-17.4K6.2848.04N/AN/A13791,3044,769
2012-06-28$20.86$20.0045.1%12.9%43.4%39.9%33.0%10.1%-1.8%-105.5K2.7M-17.1K0.2337.12N/AN/A46111,3064,833
2012-06-29$22.62$20.0036.2%10.4%51.2%25.5%32.2%18.5%0.2%-97.5K1.0M-16.4K0.3827.43N/AN/A4221591,3474,831