EWI Options History — July 2012

In July 2012, EWI traded between $18.56 and $22.82. ATM implied volatility averaged 35.7%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 14.0% (HV 20d: 49.7%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 27.66.

Notable Days

  • 2012-07-18: Highest Volume — 4,992 contracts
  • 2012-07-12: Largest IV spike — 90.7% change
  • 2012-07-24: Highest IV Rank — 42.7%
  • 2012-07-24: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.86$18.56$22.82$22.60$21.08
Max Pain$21.62$20.00$22.00$22.00$20.00
ATM IV35.7%23.1%46.8%34.0%26.2%
Expected Move10.7%7.5%13.4%9.7%7.5%
HV 20d49.7%46.3%55.1%50.4%46.5%
HV 60d41.1%38.8%43.8%41.5%43.6%
IV Rank24.8%4.4%42.7%22.0%9.5%
IV Percentile29.1%0.8%65.5%18.7%2.8%
Term Structure4.2%1.4%16.2%2.1%16.2%
VWIV38.3%32.6%46.0%35.5%32.6%
Skew 25d12.1%-0.4%22.6%16.2%22.6%
Skew 10d20.4%5.2%41.5%24.1%25.3%
Call IV 25d31.0%23.1%42.4%23.6%23.1%
Put IV 25d43.2%38.3%47.4%39.8%45.7%
Bid-Ask Spread %36.3321.0451.6121.0423.94
Gamma HHI0.380.240.530.250.49
Net GEX-76.5K-250.5K114.0K-111.1K114.0K
Net DEX2.2M-551.4K3.8M1.4M-332.2K
Net VEX-20.3K-31.8K-14.0K-15.5K-29.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio27.660.10149.000.5032.83
Total Volume503.47654,9925102
Total OI8,203.2386,06311,7896,06310,596

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$22.60$22.0034.0%9.7%50.4%22.0%0.0%16.2%2.1%-111.1K1.4M-15.5K0.5021.04N/AN/A321,1514,912
2012-07-03$22.82$22.0035.6%10.2%50.5%24.6%35.5%14.1%1.5%-108.4K1.2M-15.8K1.1023.56N/AN/A53581,1514,914
2012-07-05$21.74$22.0033.8%9.7%52.0%21.7%34.5%11.8%2.8%-115.0K2.1M-15.9K73.5036.90N/AN/A107351,1404,960
2012-07-06$21.12$22.0036.3%10.9%53.1%25.7%36.7%13.4%1.9%-181.0K3.4M-17.1K23.0049.91N/AN/A3691,1505,598
2012-07-09$21.26$22.0032.7%10.6%53.1%19.9%0.0%14.6%3.1%-191.7K3.3M-16.3K89.0051.61N/AN/A1451,1535,599
2012-07-10$21.06$22.0024.0%10.3%50.8%6.0%43.3%16.5%4.6%-193.2K3.4M-16.2K7.3850.13N/AN/A402921,1535,641
2012-07-11$21.22$22.0023.1%10.1%50.8%4.4%36.3%14.4%3.8%-199.0K3.2M-15.6K9.1351.12N/AN/A8691,1475,508
2012-07-12$20.78$22.0044.0%12.6%51.3%38.1%37.0%14.2%2.8%-189.9K3.7M-15.5K38.5446.29N/AN/A124631,1545,497
2012-07-13$21.06$22.0035.7%10.2%50.9%24.7%35.9%7.2%4.7%-198.1K3.5M-14.6K21.3351.60N/AN/A2321,1525,564
2012-07-16$20.94$22.0037.1%10.7%50.0%27.1%36.9%9.3%10.0%-175.2K3.7M-14.3K5.1545.92N/AN/A7341,1515,588
2012-07-17$20.96$22.0041.0%11.7%49.1%33.3%41.4%11.7%1.7%-177.4K3.7M-14.0K4.5541.58N/AN/A251121,1555,606
2012-07-18$20.92$22.0039.2%11.2%47.0%30.4%39.1%10.8%5.1%-157.4K3.8M-14.0K0.1030.11N/AN/A4,5444481,1795,709
2012-07-19$21.02$22.0032.9%9.4%46.5%20.2%38.4%9.3%5.7%106.7K188.8K-29.5K149.0039.00N/AN/A33735,6595,782
2012-07-20$19.90$22.0036.6%10.5%47.2%26.3%32.6%19.6%1.4%-250.5K3.6M-27.2K3.0929.34N/AN/A742295,6476,142
2012-07-23$19.32$22.0039.5%11.3%47.5%30.9%41.4%12.2%2.0%62.8K2.2M-23.0K50.6924.80N/AN/A73305,3904,075
2012-07-24$18.56$22.0046.8%13.4%46.3%42.7%46.0%-0.4%2.6%36.2K2.9M-20.5K20.6832.75N/AN/A132595,3934,069
2012-07-25$18.98$22.0044.4%12.7%47.3%38.7%44.2%7.6%3.4%46.9K2.4M-21.7K1.6833.02N/AN/A37625,4034,136
2012-07-26$20.22$20.0039.5%11.3%52.5%30.9%39.2%16.3%3.0%103.2K746.6K-26.7K37.7628.32N/AN/A217935,4334,184
2012-07-27$21.20$20.0035.5%10.2%55.1%24.4%40.6%7.8%4.7%97.6K-551.4K-31.2K6.5825.58N/AN/A1419255,4384,853
2012-07-30$21.32$20.0032.9%9.4%46.4%20.3%36.7%5.7%5.2%73.8K-462.3K-31.8K5.3326.32N/AN/A221155,5255,611
2012-07-31$21.08$20.0026.2%7.5%46.5%9.5%32.6%22.6%16.2%114.0K-332.2K-29.7K32.8323.94N/AN/A3995,5255,071