EWI Options History — October 2012

In October 2012, EWI traded between $24.54 and $26.44. ATM implied volatility averaged 32.7%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.6% (HV 20d: 29.2%). Max pain ranged from $24.00 to $28.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 16.95.

Notable Days

  • 2012-10-16: Highest Volume — 1,356 contracts
  • 2012-10-04: Largest IV drop — 36.1% change
  • 2012-10-09: Highest IV Rank — 32.6%
  • 2012-10-02: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.16$24.54$26.44$24.54$24.94
Max Pain$26.38$24.00$28.00$24.00$24.00
ATM IV32.7%23.7%38.6%34.3%34.7%
Expected Move9.5%6.8%10.8%9.8%10.0%
HV 20d29.2%24.9%35.8%35.8%24.9%
HV 60d35.7%27.6%38.3%38.2%27.6%
IV Rank22.1%6.0%32.6%25.0%25.7%
IV Percentile30.1%2.4%56.3%34.1%43.3%
Term Structure1.3%-1.7%5.5%2.7%-0.0%
VWIV32.5%24.3%43.3%34.2%33.3%
Skew 25d8.6%2.1%15.3%2.1%2.8%
Skew 10d13.0%-1.1%25.3%-1.1%18.8%
Call IV 25d27.5%21.9%32.6%29.6%32.6%
Put IV 25d36.0%29.5%41.3%31.7%35.4%
Bid-Ask Spread %25.1614.5037.1729.2221.74
Gamma HHI0.300.240.340.330.33
Net GEX-146.3K-165.3K-122.4K-144.3K-165.3K
Net DEX1.2M-533.3K2.1M1.9M2.0M
Net VEX-17.0K-20.8K-12.7K-20.8K-16.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.950.04172.004.5217.05
Total Volume16731,35692149
Total OI6,614.2385,5437,1746,8476,230

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$24.54$24.0034.3%9.8%35.8%25.0%34.2%2.1%2.7%-144.3K1.9M-20.8K4.5229.22N/AN/A17751,1595,688
2012-10-02$24.80$24.0037.7%10.8%35.8%31.0%0.0%4.8%0.0%-146.2K1.7M-20.8K0.0018.59N/AN/A051,1635,758
2012-10-03$24.78$24.0037.1%10.6%35.7%30.0%28.0%10.0%-0.6%-148.0K1.7M-20.0K0.0024.42N/AN/A031,1505,758
2012-10-04$25.10$24.0023.7%6.8%30.8%6.0%32.5%7.2%5.5%-148.6K1.3M-19.1K0.0420.66N/AN/A740271,1505,760
2012-10-05$25.46$28.0023.7%8.9%29.0%6.0%24.3%15.3%1.7%-136.8K456.7K-17.7K0.4137.17N/AN/A26111,1505,747
2012-10-08$25.10$28.0030.7%9.1%28.8%18.6%0.0%11.4%1.2%-147.9K1.2M-18.2K1.8033.89N/AN/A8141,1545,753
2012-10-09$24.64$28.0038.6%10.6%28.2%32.6%43.3%13.1%-1.0%-150.7K1.6M-18.7K46.5035.06N/AN/A1471,1545,761
2012-10-10$24.58$28.0036.8%10.6%27.7%29.3%0.0%12.0%-0.4%-153.5K1.9M-18.6K0.0037.09N/AN/A0411,1535,797
2012-10-11$24.82$28.0035.8%10.3%26.3%27.6%0.0%12.0%0.3%-148.9K1.3M-17.9K172.0036.47N/AN/A1861,1535,836
2012-10-12$24.80$28.0034.9%10.0%26.1%26.1%30.2%2.2%2.2%-157.4K1.3M-18.0K1.6735.20N/AN/A231,1535,836
2012-10-15$25.14$28.0030.7%8.8%26.8%18.5%0.0%10.5%-0.1%-154.0K676.7K-16.6K3.6820.14N/AN/A10351,1545,838
2012-10-16$25.94$28.0028.9%8.3%27.5%15.4%27.7%10.6%3.7%-155.5K-453.4K-12.7K34.6825.24N/AN/A381,3181,1595,835
2012-10-17$26.44$28.0031.6%9.0%28.3%20.1%32.8%6.8%2.5%-122.4K-533.3K-14.9K0.4225.93N/AN/A38161,1705,992
2012-10-18$26.10$28.0031.8%9.1%27.1%20.5%31.9%5.2%1.8%-135.0K-503.1K-14.2K1.0523.36N/AN/A10111,1715,990
2012-10-19$25.40$26.0032.0%9.2%28.9%20.8%25.6%10.9%1.8%-136.2K101.2K-15.7K0.4521.85N/AN/A31141,1746,000
2012-10-22$25.76$26.0032.2%9.2%29.4%21.2%32.8%13.8%0.1%-130.3K1.8M-15.6K0.3619.50N/AN/A734205,123
2012-10-23$25.02$26.0032.5%9.3%30.7%21.7%38.0%10.1%0.7%-149.3K2.1M-15.9K0.8014.66N/AN/A28234275,125
2012-10-24$25.02$26.0030.8%8.8%29.6%18.7%0.0%6.6%4.4%-139.8K2.0M-15.6K1.6017.41N/AN/A344555,140
2012-10-25$24.86$26.0035.9%10.3%29.2%27.8%36.2%3.1%3.4%-150.0K2.0M-15.1K1.0814.50N/AN/A36394565,140
2012-10-26$25.02$24.0032.6%9.4%25.8%21.9%36.9%9.6%-1.7%-151.5K1.9M-15.1K17.0516.25N/AN/A335544925,175
2012-10-31$24.94$24.0034.7%10.0%24.9%25.7%33.3%2.8%-0.0%-165.3K2.0M-16.5K0.0021.74N/AN/A01495215,709