EWI Options History — September 2012

In September 2012, EWI traded between $23.50 and $26.78. ATM implied volatility averaged 30.9%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 0.9% (HV 20d: 30.0%). Max pain ranged from $22.00 to $28.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 14.49.

Notable Days

2012-09-28: Highest Volume — 863 contracts
2012-09-11: Largest IV spike — 19.3% change
2012-09-27: Highest IV Rank — 25.3%
2012-09-27: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.35	$23.50	$26.78	$23.68	$24.06
Max Pain	$26.53	$22.00	$28.00	$22.00	$26.00
ATM IV	30.9%	25.7%	34.5%	32.6%	32.9%
Expected Move	9.0%	7.4%	9.9%	9.3%	9.4%
HV 20d	30.0%	19.7%	36.4%	20.6%	36.4%
HV 60d	42.5%	38.6%	44.9%	44.3%	38.6%
IV Rank	18.5%	9.6%	25.3%	20.6%	22.4%
IV Percentile	15.8%	2.8%	35.7%	18.3%	26.2%
Term Structure	2.5%	-0.5%	4.5%	4.5%	3.6%
VWIV	30.7%	16.2%	36.1%	36.1%	32.6%
Skew 25d	8.6%	0.2%	15.9%	13.2%	11.3%
Skew 10d	15.9%	-1.9%	83.3%	15.0%	13.4%
Call IV 25d	25.8%	18.5%	33.1%	26.6%	25.2%
Put IV 25d	34.4%	29.4%	39.8%	39.8%	36.5%
Bid-Ask Spread %	28.50	15.00	51.79	16.59	34.30
Gamma HHI	0.30	0.23	0.45	0.41	0.41
Net GEX	-83.9K	-230.6K	98.5K	64.4K	-230.6K
Net DEX	-7.1M	-12.4M	3.5M	-6.0M	3.5M
Net VEX	-18.3K	-28.0K	-15.7K	-28.0K	-19.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	14.49	0.06	102.07	1.29	0.10
Total Volume	214.842	12	863	67	863
Total OI	11,941.316	4,937	14,592	13,942	6,044

Daily Data (19 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
2012-09-04	$23.68	$22.00	32.6%	9.3%	20.6%	20.6%	36.1%	13.2%	4.5%	64.4K	-6.0M	-28.0K	1.29	16.59	N/A	N/A	29	38	5,584	8,358
2012-09-05	$23.50	$22.00	31.8%	9.1%	19.7%	19.2%	33.9%	8.3%	4.1%	98.5K	-5.6M	-27.1K	11.00	15.89	N/A	N/A	4	44	5,583	8,364
2012-09-06	$24.76	$22.00	31.2%	9.0%	26.6%	18.4%	30.8%	15.9%	2.2%	-70.9K	-10.1M	-17.6K	1.65	15.29	N/A	N/A	127	209	5,587	8,378
2012-09-07	$25.56	$28.00	29.2%	8.9%	27.6%	15.0%	28.0%	9.8%	-0.5%	-124.3K	-11.1M	-17.0K	4.23	49.05	N/A	N/A	22	91	5,624	8,420
2012-09-10	$25.10	$28.00	26.1%	9.0%	29.0%	9.7%	0.0%	12.9%	2.6%	-50.3K	-10.1M	-18.9K	102.07	35.16	N/A	N/A	7	715	5,639	8,504
2012-09-11	$25.66	$28.00	31.1%	9.1%	29.3%	18.2%	16.2%	12.0%	2.3%	-73.2K	-10.8M	-19.7K	1.80	51.79	N/A	N/A	74	133	5,639	8,896
2012-09-12	$26.00	$28.00	30.5%	9.6%	29.4%	18.1%	35.4%	5.4%	2.0%	-87.2K	-11.6M	-17.8K	1.01	41.28	N/A	N/A	39	39	5,676	8,916
2012-09-13	$26.62	$28.00	32.3%	9.2%	29.8%	21.3%	35.5%	7.3%	0.0%	-84.0K	-12.1M	-17.4K	0.56	32.25	N/A	N/A	53	30	5,655	8,915
2012-09-14	$26.78	$28.00	32.8%	9.4%	29.3%	22.2%	27.7%	9.5%	2.6%	-82.7K	-12.4M	-16.7K	0.60	42.63	N/A	N/A	36	22	5,637	8,909
2012-09-17	$26.68	$28.00	31.4%	9.0%	29.6%	19.8%	0.0%	7.2%	1.7%	-83.1K	-12.3M	-16.2K	0.00	43.91	N/A	N/A	0	12	5,636	8,905
2012-09-18	$25.90	$28.00	33.2%	9.5%	32.0%	23.0%	33.6%	2.6%	3.5%	-97.8K	-11.4M	-16.5K	0.82	18.42	N/A	N/A	70	57	5,581	8,917
2012-09-19	$26.04	$28.00	30.6%	8.8%	31.4%	18.3%	30.0%	15.0%	2.6%	-82.6K	-11.4M	-16.6K	0.18	15.07	N/A	N/A	23	4	5,551	8,959
2012-09-20	$25.40	$28.00	28.3%	8.1%	33.2%	14.3%	28.3%	9.3%	3.9%	-107.7K	-10.7M	-15.8K	0.69	15.00	N/A	N/A	26	18	5,564	8,962
2012-09-21	$25.50	$28.00	27.8%	8.0%	32.3%	13.3%	30.6%	10.0%	3.9%	-91.0K	-10.8M	-16.1K	0.48	24.49	N/A	N/A	44	21	5,543	8,758
2012-09-24	$25.56	$26.00	25.7%	7.4%	32.0%	9.6%	25.7%	5.8%	4.2%	-108.0K	1.6M	-15.8K	0.06	35.11	N/A	N/A	32	2	399	4,538
2012-09-25	$25.18	$26.00	30.6%	8.8%	32.8%	18.3%	29.3%	3.2%	0.7%	-111.6K	1.6M	-15.7K	4.86	17.07	N/A	N/A	4	17	413	4,538
2012-09-26	$24.62	$26.00	33.9%	9.7%	34.1%	24.1%	33.1%	0.2%	2.3%	-125.8K	2.1M	-16.4K	53.73	18.18	N/A	N/A	8	403	412	4,548
2012-09-27	$24.98	$26.00	34.5%	9.9%	34.3%	25.3%	34.6%	4.5%	1.2%	-146.4K	2.3M	-17.9K	75.60	20.03	N/A	N/A	10	756	411	4,922
2012-09-28	$24.06	$26.00	32.9%	9.4%	36.4%	22.4%	32.6%	11.3%	3.6%	-230.6K	3.5M	-19.6K	0.10	34.30	N/A	N/A	785	78	419	5,625