EWI Options History — December 2012

In December 2012, EWI traded between $24.70 and $26.90. ATM implied volatility averaged 24.3%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.7% (HV 20d: 21.6%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 14.24.

Notable Days

  • 2012-12-10: Highest Volume — 718 contracts
  • 2012-12-10: Largest IV spike — 76.7% change
  • 2012-12-31: Highest IV Rank — 32.5%
  • 2012-12-31: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.01$24.70$26.90$25.58$26.90
Max Pain$26.30$26.00$28.00$26.00$28.00
ATM IV24.3%16.4%30.3%25.8%30.3%
Expected Move7.1%5.4%8.7%7.4%8.7%
HV 20d21.6%17.9%24.1%24.0%19.5%
HV 60d25.3%23.0%28.8%28.8%23.3%
IV Rank16.6%0.0%32.5%12.7%32.5%
IV Percentile7.8%0.0%23.0%5.2%23.0%
Term Structure3.2%-1.1%9.0%-0.2%-0.8%
VWIV25.7%17.6%35.3%27.6%30.3%
Skew 25d7.8%-3.6%15.6%13.0%11.6%
Skew 10d7.5%0.8%24.8%7.5%7.1%
Call IV 25d19.5%16.0%23.5%23.5%17.2%
Put IV 25d27.4%18.9%36.5%36.5%28.8%
Bid-Ask Spread %20.199.2032.4917.479.20
Gamma HHI0.310.210.470.300.21
Net GEX-217.8K-357.3K-103.1K-234.0K-139.5K
Net DEX1.6M493.0K3.3M1.7M1.4M
Net VEX-11.0K-13.8K-7.6K-13.2K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.240.0470.7524.330.10
Total Volume108.727183912
Total OI7,061.83,9728,4967,3554,421

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$25.58$26.0025.8%7.4%24.0%12.7%27.6%13.0%-0.2%-234.0K1.7M-13.2K24.3317.47N/AN/A2376026,753
2012-12-04$26.02$26.0023.9%6.9%24.1%8.4%24.6%11.1%1.1%-219.7K1.3M-12.1K14.3619.13N/AN/A6796016,776
2012-12-05$25.78$26.0020.1%5.8%24.0%0.0%23.2%-3.6%-0.1%-246.5K1.6M-12.6K0.0415.37N/AN/A12156026,854
2012-12-06$25.50$26.0018.9%5.4%23.0%0.0%21.0%8.2%0.4%-248.2K1.9M-12.9K0.5021.51N/AN/A636946,855
2012-12-07$25.14$26.0016.4%6.3%21.7%0.0%35.3%11.3%9.0%-285.0K2.4M-13.4K0.0023.93N/AN/A076986,856
2012-12-10$24.70$26.0028.9%7.8%22.9%26.6%27.2%15.6%4.7%-340.0K3.3M-13.8K70.7515.84N/AN/A107086986,863
2012-12-11$25.14$26.0020.0%6.2%23.5%7.7%0.0%8.6%8.6%-357.3K2.8M-13.2K2.2522.44N/AN/A257037,511
2012-12-12$25.44$26.0022.6%6.7%23.7%14.1%0.0%4.9%3.2%-304.7K2.1M-12.8K1.0020.03N/AN/A117047,510
2012-12-13$25.54$26.0023.8%6.8%23.6%16.8%31.5%11.0%4.7%-319.6K2.6M-13.2K2.9522.90N/AN/A601777047,510
2012-12-14$25.86$26.0024.2%6.9%23.9%18.3%23.4%7.9%4.8%-297.1K1.9M-13.6K6.0019.22N/AN/A137647,686
2012-12-17$26.22$26.0026.2%7.5%23.1%22.9%26.6%6.5%4.7%-290.6K2.0M-12.6K25.2420.20N/AN/A92157657,686
2012-12-18$26.38$26.0024.6%7.1%20.8%19.3%24.5%4.1%5.7%-179.2K965.7K-8.5K0.0532.49N/AN/A5835397,878
2012-12-19$26.52$26.0024.2%6.9%20.7%18.4%24.2%5.8%4.3%-145.4K849.6K-8.5K50.7525.65N/AN/A21025467,879
2012-12-20$26.76$26.0023.8%6.8%20.7%17.4%23.8%6.8%6.7%-142.6K623.0K-8.1K7.0025.24N/AN/A6395427,954
2012-12-21$26.64$26.0023.9%6.8%19.0%17.5%23.4%6.0%5.1%-139.6K493.0K-7.6K2.3625.77N/AN/A6135387,911
2012-12-24$26.44$26.0026.2%7.5%19.2%22.9%0.0%5.9%1.0%-108.3K782.6K-8.7K0.0011.35N/AN/A0802973,675
2012-12-26$26.48$26.0024.9%7.1%17.9%19.9%17.6%6.6%3.8%-103.1K999.1K-9.0K13.7912.73N/AN/A152002973,754
2012-12-27$26.80$28.0028.8%8.3%17.9%29.1%24.6%10.5%-0.9%-118.2K1.2M-8.0K22.8921.53N/AN/A51032993,954
2012-12-28$26.32$28.0028.5%8.2%18.2%28.3%28.4%4.7%-1.1%-136.7K1.6M-9.2K12.0021.75N/AN/A6663034,054
2012-12-31$26.90$28.0030.3%8.7%19.5%32.5%30.3%11.6%-0.8%-139.5K1.4M-8.0K0.109.20N/AN/A1113064,115