EWI Options History — February 2013

In February 2013, EWI traded between $24.40 and $28.58. ATM implied volatility averaged 31.2%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.4% (HV 20d: 29.8%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 6.61.

Notable Days

  • 2013-02-25: Highest Volume — 5,662 contracts
  • 2013-02-04: Largest IV spike — 52.0% change
  • 2013-02-25: Highest IV Rank — 70.5%
  • 2013-02-25: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.32$24.40$28.58$28.58$24.88
Max Pain$28.11$26.00$30.00$28.00$26.00
ATM IV31.2%18.5%46.0%18.5%37.3%
Expected Move9.0%7.2%13.2%7.2%10.7%
HV 20d29.8%18.9%37.3%18.9%37.2%
HV 60d24.5%20.7%27.4%20.7%27.3%
IV Rank37.1%8.7%70.5%8.7%50.8%
IV Percentile42.3%2.0%96.8%2.0%79.0%
Term Structure-1.2%-10.6%2.8%1.0%-3.6%
VWIV32.0%23.8%43.8%23.8%34.8%
Skew 25d7.4%3.0%13.3%13.3%3.0%
Skew 10d13.0%1.5%25.5%7.4%1.5%
Call IV 25d28.1%14.5%42.9%14.5%32.6%
Put IV 25d35.5%27.8%52.6%27.8%35.6%
Bid-Ask Spread %73.7815.6293.2893.2887.14
Gamma HHI0.290.180.640.290.64
Net GEX-194.1K-426.7K67.0K67.0K-426.7K
Net DEX5.2M635.8K11.5M635.8K11.5M
Net VEX-34.0K-72.7K-24.5K-25.7K-72.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.610.0940.900.090.45
Total Volume1,210.78965,6627652
Total OI10,308.2116,94420,8746,94420,874

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$28.58$28.0018.5%7.2%18.9%8.7%23.8%13.3%1.0%67.0K635.8K-25.7K0.0993.28N/AN/A611,7315,213
2013-02-04$26.92$28.0028.1%8.2%28.8%30.3%28.8%6.2%2.8%-18.7K2.2M-24.5K11.4772.89N/AN/A303391,7315,213
2013-02-05$27.34$28.0025.0%7.5%29.2%23.2%31.8%11.4%1.6%-21.7K2.4M-26.3K1.7472.32N/AN/A1532661,7565,460
2013-02-06$27.22$28.0028.7%7.2%29.2%31.7%28.5%9.2%2.7%-37.8K2.6M-26.2K0.0090.10N/AN/A0151,8915,686
2013-02-07$26.58$28.0031.6%9.0%29.8%38.0%30.2%8.5%-2.0%-89.7K3.6M-25.9K11.1119.93N/AN/A272951,8855,661
2013-02-08$26.82$28.0031.0%8.9%27.7%36.7%34.7%9.2%-0.1%-75.5K3.4M-26.6K3.8615.62N/AN/A1064081,8855,827
2013-02-11$26.58$28.0029.4%8.4%27.6%33.1%27.0%6.7%-0.6%-125.6K3.9M-27.8K1.0016.32N/AN/A551,9886,191
2013-02-12$26.84$28.0029.6%8.5%27.9%33.5%29.6%5.5%0.4%-118.6K3.7M-27.6K0.0091.43N/AN/A0561,9836,195
2013-02-13$27.00$28.0028.9%8.3%28.0%32.1%27.6%7.9%-0.7%-91.5K3.5M-27.5K0.0090.35N/AN/A061,9836,215
2013-02-14$26.56$28.0029.1%8.3%28.1%32.4%25.7%3.3%-0.3%-144.5K4.0M-26.9K3.6786.56N/AN/A15551,9836,137
2013-02-15$26.42$28.0028.4%8.1%27.0%30.9%28.3%4.1%1.1%-153.3K4.1M-26.1K40.9089.89N/AN/A301,2271,9976,180
2013-02-19$26.80$30.0031.6%9.0%27.7%38.0%36.1%6.6%-2.4%-214.9K4.4M-29.5K2.4383.66N/AN/A9762,3691,4836,919
2013-02-20$26.24$30.0030.6%8.8%28.1%35.8%30.8%8.3%0.2%-356.8K5.6M-37.4K0.1089.43N/AN/A252252,1989,201
2013-02-21$25.34$30.0031.9%9.2%30.0%38.8%34.8%10.2%-0.8%-412.3K7.6M-35.2K20.8482.14N/AN/A479692,1989,198
2013-02-22$25.88$30.0034.3%9.8%31.4%44.2%40.4%5.7%-3.4%-417.9K7.4M-38.6K0.6883.69N/AN/A3672482,1779,758
2013-02-25$24.40$28.0046.0%13.2%35.8%70.5%43.8%9.7%-10.6%-398.8K9.9M-35.8K1.0972.72N/AN/A2,7112,9512,5429,864
2013-02-26$24.58$26.0040.4%11.6%36.1%57.9%39.5%7.4%-5.1%-337.3K9.5M-46.4K3.5079.41N/AN/A8633,0255,05811,416
2013-02-27$25.06$26.0031.9%9.1%37.3%38.7%32.4%4.5%-3.7%-314.1K8.4M-58.8K2.8684.90N/AN/A1,1683,3375,83512,344
2013-02-28$24.88$26.0037.3%10.7%37.2%50.8%34.8%3.0%-3.6%-426.7K11.5M-72.7K0.4587.14N/AN/A4512016,08214,792