EWI Options History — November 2012

In November 2012, EWI traded between $23.64 and $25.54. ATM implied volatility averaged 31.7%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 5.8% (HV 20d: 25.9%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 30.12.

Notable Days

  • 2012-11-19: Highest Volume — 738 contracts
  • 2012-11-29: Largest IV drop — 34.6% change
  • 2012-11-06: Highest IV Rank — 34.6%
  • 2012-11-06: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.56$23.64$25.54$25.42$25.50
Max Pain$24.76$24.00$26.00$24.00$26.00
ATM IV31.7%21.6%39.7%31.6%22.2%
Expected Move9.3%6.2%10.9%9.1%6.4%
HV 20d25.9%22.8%27.9%25.6%25.4%
HV 60d28.6%27.6%29.3%27.6%28.9%
IV Rank22.4%3.0%34.6%20.2%4.3%
IV Percentile28.6%0.4%65.9%22.6%0.8%
Term Structure-0.7%-5.2%2.9%-1.4%-1.7%
VWIV35.7%26.2%42.2%31.0%26.2%
Skew 25d8.0%2.5%13.3%10.9%7.8%
Skew 10d11.9%-2.8%30.7%10.3%6.0%
Call IV 25d29.2%22.4%35.4%30.3%24.9%
Put IV 25d37.2%30.8%43.7%41.2%32.7%
Bid-Ask Spread %24.2415.7647.9018.9119.80
Gamma HHI0.310.280.350.320.29
Net GEX-212.9K-254.1K-167.5K-167.5K-236.6K
Net DEX2.6M1.8M3.2M1.8M1.8M
Net VEX-16.3K-17.9K-14.0K-16.1K-14.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio30.120.11252.500.590.67
Total Volume118.4290738275
Total OI6,620.3336,2337,3536,2337,353

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$25.42$24.0031.6%9.1%25.6%20.2%31.0%10.9%-1.4%-167.5K1.8M-16.1K0.5918.91N/AN/A17105215,712
2012-11-02$24.86$24.0034.4%9.9%26.9%25.2%0.0%4.3%2.8%-171.3K2.1M-16.6K0.0020.87N/AN/A0235315,708
2012-11-05$24.58$24.0039.1%10.9%26.7%33.6%0.0%10.8%-2.6%-185.0K2.4M-16.9K0.4631.93N/AN/A735315,706
2012-11-06$24.96$24.0039.7%10.9%26.8%34.6%39.9%12.1%-3.0%-177.8K2.4M-16.9K2.2034.22N/AN/A365345,709
2012-11-07$24.44$24.0039.2%10.5%27.4%33.7%35.3%12.1%-2.9%-188.3K2.6M-17.1K6.0016.30N/AN/A3155365,708
2012-11-08$23.86$24.0031.4%10.3%27.9%19.7%39.4%9.6%-1.3%-194.2K3.0M-17.0K2.3324.86N/AN/A375395,719
2012-11-09$23.84$24.0028.9%10.2%27.9%15.3%40.5%3.8%0.9%-205.1K3.0M-16.5K0.5727.01N/AN/A425415,725
2012-11-12$23.98$24.0035.6%10.6%27.7%27.3%41.1%6.2%-2.2%-200.0K2.9M-16.2K252.5024.07N/AN/A25055415,725
2012-11-13$23.94$24.0034.6%10.1%27.7%30.4%42.2%13.3%1.9%-198.7K3.1M-17.7K0.0023.61N/AN/A025435,973
2012-11-14$23.90$24.0030.5%10.5%27.1%21.6%37.3%6.8%-0.9%-197.0K3.1M-17.1K8.8223.54N/AN/A11975435,973
2012-11-15$23.98$24.0036.1%10.3%24.2%33.4%35.3%2.8%-0.7%-201.1K3.0M-17.1K0.1126.47N/AN/A100115525,927
2012-11-16$23.64$24.0031.6%9.1%22.8%24.0%32.0%5.1%2.9%-214.2K3.1M-16.7K69.0026.04N/AN/A63806525,925
2012-11-19$24.42$24.0030.4%8.7%26.3%21.4%32.0%6.9%0.3%-234.5K2.7M-15.9K72.8018.31N/AN/A107285845,953
2012-11-20$24.38$26.0031.0%8.9%24.7%22.6%34.6%3.7%-1.0%-254.1K3.2M-17.9K20.2522.06N/AN/A2415886,402
2012-11-21$24.54$26.0030.2%8.7%24.2%21.7%0.0%2.5%-1.1%-249.5K2.8M-16.9K0.0023.68N/AN/A005906,372
2012-11-23$25.22$26.0023.5%6.7%24.3%7.0%41.1%11.3%2.5%-235.5K2.3M-15.5K0.0024.97N/AN/A0205906,372
2012-11-26$25.10$26.0027.6%7.9%24.3%16.0%37.0%10.1%2.0%-236.7K2.2M-15.1K0.0017.93N/AN/A025906,357
2012-11-27$24.70$26.0033.0%9.5%24.9%27.9%35.3%10.5%-5.2%-236.3K2.5M-15.8K1.0047.90N/AN/A445866,358
2012-11-28$25.00$26.0033.1%9.5%25.2%28.3%32.8%8.1%-4.2%-243.6K2.6M-15.5K42.9420.83N/AN/A93875866,357
2012-11-29$25.54$26.0021.6%6.2%26.3%3.0%30.1%8.4%0.1%-244.9K2.0M-14.4K1.6515.76N/AN/A22365946,721
2012-11-30$25.50$26.0022.2%6.4%25.4%4.3%26.2%7.8%-1.7%-236.6K1.8M-14.0K0.6719.80N/AN/A326016,752