EWI Options History — August 2012

In August 2012, EWI traded between $20.16 and $23.62. ATM implied volatility averaged 33.0%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 12.3% (HV 20d: 45.3%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 55.92.

Notable Days

2012-08-29: Highest Volume — 1,002 contracts
2012-08-02: Largest IV spike — 88.0% change
2012-08-02: Highest IV Rank — 38.8%
2012-08-02: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.67	$20.16	$23.62	$21.08	$23.46
Max Pain	$21.74	$20.00	$22.00	$20.00	$22.00
ATM IV	33.0%	23.6%	44.4%	23.6%	31.0%
Expected Move	9.9%	6.8%	12.7%	6.8%	8.9%
HV 20d	45.3%	21.3%	53.5%	46.3%	21.3%
HV 60d	45.2%	43.2%	46.7%	43.2%	44.3%
IV Rank	21.2%	5.3%	38.8%	5.3%	18.0%
IV Percentile	20.2%	2.0%	57.5%	2.0%	11.9%
Term Structure	3.8%	-1.8%	16.2%	16.2%	6.1%
VWIV	37.8%	30.9%	50.1%	50.1%	34.4%
Skew 25d	12.8%	3.1%	23.8%	23.8%	11.8%
Skew 10d	22.1%	-0.7%	39.7%	25.3%	10.6%
Call IV 25d	28.7%	24.5%	33.4%	25.3%	25.7%
Put IV 25d	41.5%	36.3%	49.1%	49.1%	37.5%
Bid-Ask Spread %	34.62	14.07	83.83	34.13	81.88
Gamma HHI	0.48	0.39	0.53	0.44	0.46
Net GEX	109.0K	35.8K	148.4K	73.1K	89.8K
Net DEX	-3.8M	-6.3M	2.3M	284.0K	-5.7M
Net VEX	-28.0K	-31.6K	-23.5K	-31.5K	-28.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	55.92	0.29	869.00	1.05	97.92
Total Volume	223.174	10	1,002	65	594
Total OI	11,817.957	11,155	13,440	11,247	13,440

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-08-01	$21.08	$20.00	23.6%	6.8%	46.3%	5.3%	50.1%	23.8%	16.2%	73.1K	284.0K	-31.5K	1.05	34.13	N/A	N/A	32	33	5,528	5,719
2012-08-02	$20.16	$20.00	44.4%	12.7%	45.8%	38.8%	35.8%	3.1%	-1.8%	35.8K	2.3M	-29.2K	25.62	14.07	N/A	N/A	11	269	5,514	5,724
2012-08-03	$21.76	$20.00	35.2%	10.1%	52.8%	23.9%	35.5%	5.4%	4.5%	89.5K	-1.5M	-29.4K	3.43	17.54	N/A	N/A	61	208	5,509	5,646
2012-08-06	$22.20	$22.00	35.6%	10.9%	53.2%	24.7%	38.8%	12.9%	1.6%	97.6K	-2.7M	-30.6K	1.73	34.81	N/A	N/A	108	186	5,541	5,728
2012-08-07	$22.68	$22.00	35.0%	11.1%	53.4%	23.6%	43.0%	16.1%	1.7%	101.4K	-3.8M	-30.6K	26.94	39.55	N/A	N/A	8	216	5,597	5,855
2012-08-08	$22.62	$22.00	33.9%	10.4%	53.5%	22.9%	34.9%	11.1%	3.2%	111.1K	-3.6M	-29.8K	0.00	42.25	N/A	N/A	0	52	5,602	6,004
2012-08-09	$22.38	$22.00	32.7%	10.4%	53.0%	20.8%	39.2%	14.0%	2.0%	99.5K	-3.1M	-30.7K	2.74	41.62	N/A	N/A	27	73	5,602	6,038
2012-08-10	$22.46	$22.00	31.0%	9.8%	52.8%	18.0%	37.8%	8.9%	6.6%	121.9K	-3.2M	-29.3K	2.72	38.26	N/A	N/A	23	63	5,607	6,051
2012-08-13	$22.38	$22.00	36.4%	10.2%	52.8%	27.0%	36.9%	14.5%	4.5%	124.2K	-3.0M	-29.9K	2.15	83.83	N/A	N/A	40	86	5,607	6,084
2012-08-14	$22.44	$22.00	28.0%	11.0%	52.8%	12.9%	41.0%	12.7%	1.4%	112.7K	-3.3M	-29.2K	2.30	35.48	N/A	N/A	14	31	5,608	6,091
2012-08-15	$22.48	$22.00	28.5%	10.9%	52.8%	13.8%	36.7%	10.6%	1.9%	120.0K	-3.4M	-28.4K	0.29	36.43	N/A	N/A	43	13	5,611	6,098
2012-08-16	$23.00	$22.00	33.4%	9.6%	53.2%	22.0%	35.3%	8.9%	10.4%	148.4K	-5.2M	-25.3K	0.49	39.43	N/A	N/A	42	21	5,626	6,026
2012-08-17	$23.22	$22.00	29.4%	8.4%	48.4%	15.3%	34.9%	15.7%	6.5%	134.1K	-5.8M	-25.3K	9.76	40.05	N/A	N/A	25	244	5,628	6,028
2012-08-20	$23.04	$22.00	31.3%	9.0%	46.8%	18.4%	30.9%	13.0%	3.6%	142.9K	-4.9M	-25.5K	2.18	35.28	N/A	N/A	33	71	5,516	5,828
2012-08-21	$23.54	$22.00	32.3%	9.2%	43.2%	20.1%	37.7%	14.3%	3.8%	134.8K	-6.2M	-24.3K	3.83	23.11	N/A	N/A	68	259	5,534	5,897
2012-08-22	$23.62	$22.00	32.5%	9.3%	43.1%	20.6%	33.1%	12.3%	2.6%	132.6K	-6.3M	-23.5K	19.15	20.46	N/A	N/A	10	192	5,543	6,069
2012-08-23	$23.22	$22.00	31.7%	9.1%	39.4%	19.2%	39.6%	16.7%	3.9%	123.7K	-5.5M	-25.4K	53.50	29.02	N/A	N/A	1	54	5,551	6,098
2012-08-24	$23.06	$22.00	33.7%	9.7%	36.7%	22.5%	38.0%	13.7%	0.1%	120.9K	-5.0M	-25.5K	869.00	29.65	N/A	N/A	1	869	5,551	6,129
2012-08-27	$23.18	$22.00	32.7%	9.4%	36.7%	20.9%	0.0%	12.0%	3.6%	111.2K	-4.8M	-27.4K	10.50	16.52	N/A	N/A	1	11	5,551	6,966
2012-08-28	$23.34	$22.00	33.1%	9.5%	36.2%	21.6%	35.1%	13.4%	1.4%	104.6K	-5.2M	-27.1K	2.17	21.88	N/A	N/A	3	7	5,552	6,974
2012-08-29	$23.26	$22.00	34.0%	9.7%	36.3%	23.0%	42.9%	16.5%	2.3%	93.5K	-5.0M	-26.8K	36.79	20.34	N/A	N/A	27	975	5,553	6,977
2012-08-30	$22.82	$22.00	40.4%	11.6%	32.6%	33.8%	40.7%	12.9%	1.4%	84.3K	-3.7M	-31.6K	0.00	20.59	N/A	N/A	0	28	5,579	7,833
2012-08-31	$23.46	$22.00	31.0%	8.9%	21.3%	18.0%	34.4%	11.8%	6.1%	89.8K	-5.7M	-28.7K	97.92	81.88	N/A	N/A	6	588	5,579	7,861