EWI Options History — January 2013

In January 2013, EWI traded between $26.98 and $29.22. ATM implied volatility averaged 20.9%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.3% (HV 20d: 19.6%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 6.02.

Notable Days

  • 2013-01-24: Highest Volume — 1,394 contracts
  • 2013-01-29: Largest IV spike — 55.8% change
  • 2013-01-03: Highest IV Rank — 23.7%
  • 2013-01-03: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.23$26.98$29.22$27.28$28.40
Max Pain$27.90$26.00$28.00$28.00$28.00
ATM IV20.9%14.6%26.5%19.2%22.9%
Expected Move6.2%4.2%7.6%5.5%6.6%
HV 20d19.6%17.1%20.7%19.9%19.5%
HV 60d22.5%20.9%23.8%23.4%20.9%
IV Rank11.5%0.0%23.7%6.7%18.6%
IV Percentile5.4%0.0%15.5%0.8%9.1%
Term Structure3.1%0.2%7.7%2.0%2.2%
VWIV21.4%16.3%25.0%23.5%22.9%
Skew 25d5.5%0.1%9.5%3.0%3.7%
Skew 10d16.7%-1.4%79.7%79.7%5.1%
Call IV 25d17.5%13.5%22.9%22.9%20.9%
Put IV 25d23.1%17.9%27.7%25.9%24.6%
Bid-Ask Spread %53.9913.98103.0221.21102.20
Gamma HHI0.380.200.730.300.20
Net GEX-92.2K-197.3K13.8K-111.7K13.8K
Net DEX498.9K-148.4K1.2M1.0M791.8K
Net VEX-11.6K-26.0K-5.6K-6.8K-26.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.020.0079.620.520.09
Total Volume205.04891,3944161
Total OI5,177.814,2776,8854,4246,885

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$27.28$28.0019.2%5.5%19.9%6.7%23.5%3.0%2.0%-111.7K1.0M-6.8K0.5221.21N/AN/A27143094,115
2013-01-03$26.98$28.0026.5%7.6%19.8%23.7%16.5%8.5%1.8%-128.5K1.2M-7.6K0.6725.44N/AN/A1493184,123
2013-01-04$27.34$26.0017.1%6.6%19.7%1.7%23.6%6.6%2.3%-122.6K965.0K-6.7K1.0121.78N/AN/A79803264,131
2013-01-07$27.10$28.0020.7%6.9%19.6%10.1%0.0%6.6%1.2%-121.2K1.1M-7.2K0.5636.90N/AN/A32183874,189
2013-01-08$27.16$28.0018.9%6.2%18.5%6.0%0.0%4.8%3.0%-121.4K1.0M-7.2K1.1133.97N/AN/A14164114,205
2013-01-09$27.60$28.0017.9%6.0%17.1%3.6%22.8%7.2%3.7%-149.5K829.0K-7.6K2.0419.83N/AN/A25504254,211
2013-01-10$28.42$28.0024.1%6.9%18.6%17.9%23.6%6.0%1.3%-154.9K201.3K-6.2K1.5722.72N/AN/A21334364,245
2013-01-11$28.60$28.0022.3%6.4%18.5%13.9%20.0%7.3%4.0%-152.2K47.0K-5.6K0.1833.49N/AN/A85164564,261
2013-01-14$28.38$28.0024.0%6.9%19.1%17.9%24.0%4.9%1.9%-161.1K302.6K-7.7K0.1013.98N/AN/A6875194,276
2013-01-15$28.52$28.0022.5%6.4%18.9%14.3%0.0%4.2%3.4%-98.2K-148.4K-5.8K1.6026.19N/AN/A24395764,281
2013-01-16$28.12$28.0020.6%5.9%19.8%9.9%20.6%0.1%3.2%-197.3K279.2K-7.0K7.7722.48N/AN/A241835844,304
2013-01-17$28.64$28.0020.7%5.9%20.4%10.0%20.8%4.2%4.4%-110.3K51.7K-6.6K79.6233.97N/AN/A75185564,456
2013-01-18$28.62$28.0019.9%5.7%20.5%8.2%20.0%2.8%4.5%-123.7K281.1K-8.3K10.0026.07N/AN/A1105544,940
2013-01-22$28.86$28.0021.3%6.1%20.5%11.4%21.3%6.7%2.9%-45.1K156.1K-7.4K8.3598.40N/AN/A10844743,803
2013-01-23$28.62$28.0020.6%5.9%20.7%10.0%20.7%3.4%3.2%-60.1K414.0K-8.5K0.0899.10N/AN/A529424643,883
2013-01-24$28.74$28.0021.0%6.0%20.3%10.8%22.8%4.9%3.3%-32.3K-72.9K-12.3K9.6498.36N/AN/A1311,2639923,925
2013-01-25$29.14$28.0014.6%4.2%20.6%0.0%16.3%9.2%7.2%-80.7K1.1M-22.9K0.00102.59N/AN/A62311,1175,187
2013-01-28$29.22$28.0015.8%4.5%20.4%2.6%17.5%9.5%7.7%8.1K-15.9K-25.1K0.34103.02N/AN/A1661,6105,188
2013-01-29$28.78$28.0024.6%7.1%20.0%22.4%25.0%8.0%2.3%7.3K189.4K-25.5K0.7093.12N/AN/A541,6175,190
2013-01-30$28.38$28.0024.5%7.0%19.9%22.2%23.0%4.7%0.2%4.4K789.4K-25.0K0.4398.93N/AN/A82351,6145,191
2013-01-31$28.40$28.0022.9%6.6%19.5%18.6%22.9%3.7%2.2%13.8K791.8K-26.0K0.09102.20N/AN/A5651,6775,208