EWI Options History — March 2013

In March 2013, EWI traded between $23.44 and $25.24. ATM implied volatility averaged 28.3%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 2.3% (HV 20d: 30.7%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 7.99.

Notable Days

  • 2013-03-11: Highest Volume — 1,231 contracts
  • 2013-03-12: Largest IV spike — 29.0% change
  • 2013-03-04: Highest IV Rank — 50.3%
  • 2013-03-01: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.65$23.44$25.24$24.50$23.60
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV28.3%18.7%37.0%36.7%30.2%
Expected Move8.3%7.1%10.5%10.5%8.7%
HV 20d30.7%25.1%37.2%37.2%25.3%
HV 60d27.5%26.7%29.0%27.4%28.6%
IV Rank30.7%9.1%50.3%49.6%34.9%
IV Percentile32.0%2.4%77.4%76.2%33.7%
Term Structure0.3%-3.0%3.0%-3.0%1.9%
VWIV29.7%23.1%37.0%27.5%23.1%
Skew 25d6.5%-2.1%12.5%-2.1%10.7%
Skew 10d12.2%-2.6%33.9%-2.6%15.9%
Call IV 25d25.3%19.6%34.5%34.5%25.3%
Put IV 25d31.7%24.9%36.2%32.4%36.0%
Bid-Ask Spread %55.6711.8185.8315.7164.94
Gamma HHI0.480.280.650.550.50
Net GEX-354.3K-604.9K-133.3K-468.2K-465.5K
Net DEX10.4M5.8M14.0M13.5M12.3M
Net VEX-65.1K-71.7K-57.0K-70.6K-57.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.990.0437.470.730.77
Total Volume398.95171,231234682
Total OI18,487.613,93222,31821,01515,449

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$24.50$26.0036.7%10.5%37.2%49.6%27.5%-2.1%-3.0%-468.2K13.5M-70.6K0.7315.71N/AN/A135996,32814,687
2013-03-04$24.46$26.0037.0%9.2%36.9%50.3%37.0%8.6%-1.0%-491.3K14.0M-68.4K1.2380.78N/AN/A2112586,43014,721
2013-03-05$24.86$26.0031.6%8.7%32.3%38.1%31.9%8.1%0.4%-491.2K11.9M-71.1K26.1485.83N/AN/A71836,46014,946
2013-03-06$24.94$26.0024.3%8.7%31.6%21.8%0.0%7.7%-0.3%-604.9K12.0M-68.0K0.0083.81N/AN/A0176,45814,931
2013-03-07$25.22$26.0027.4%7.5%32.1%28.7%30.6%7.0%-0.5%-450.2K9.9M-71.7K0.0483.86N/AN/A517196,45814,927
2013-03-08$25.22$26.0022.4%7.2%31.2%17.3%26.0%7.5%1.1%-407.2K10.2M-68.8K1.0445.11N/AN/A56586,61814,941
2013-03-11$25.24$26.0018.7%7.5%31.0%9.1%26.6%6.5%0.0%-293.4K10.0M-64.7K37.4780.14N/AN/A321,1996,62414,947
2013-03-12$25.06$26.0024.1%7.1%30.9%21.3%28.0%3.4%1.3%-388.8K11.1M-66.2K0.7783.03N/AN/A3052346,64115,290
2013-03-13$24.70$26.0023.0%8.3%30.8%18.8%28.2%6.3%-0.9%-528.4K12.5M-65.2K0.8982.36N/AN/A55496,91915,399
2013-03-14$25.16$26.0025.2%7.2%31.6%23.8%25.7%4.5%0.5%-270.3K10.5M-65.9K0.5181.58N/AN/A30156,91815,142
2013-03-15$25.16$26.0025.1%7.2%31.3%23.4%25.3%2.8%-0.8%-256.5K10.5M-65.3K2.2181.02N/AN/A1052316,90115,139
2013-03-18$24.56$26.0028.2%8.1%32.2%30.5%27.5%4.0%3.0%-168.1K7.8M-63.2K0.5079.47N/AN/A2031025,0468,886
2013-03-19$24.36$26.0030.3%8.7%31.5%35.2%33.1%5.0%0.7%-191.3K8.4M-61.5K3.3279.81N/AN/A441455,1068,941
2013-03-20$24.82$26.0031.5%9.0%31.9%37.9%32.3%6.1%-0.9%-161.4K7.0M-64.9K10.4312.38N/AN/A4375,1319,039
2013-03-21$24.60$26.0031.2%8.9%29.7%37.1%33.9%4.9%0.5%-172.1K7.1M-63.9K19.5014.97N/AN/A4785,1329,036
2013-03-22$25.12$26.0028.2%8.1%29.7%30.5%33.9%12.0%2.4%-133.3K5.8M-67.0K29.6718.62N/AN/A298615,1339,055
2013-03-25$24.10$26.0031.1%8.9%25.6%37.0%31.3%6.6%0.4%-315.9K9.5M-61.6K7.0411.81N/AN/A886205,1589,830
2013-03-26$23.90$26.0028.8%8.3%25.6%31.9%29.5%12.5%1.1%-405.9K11.2M-60.1K0.6614.37N/AN/A6634375,24510,407
2013-03-27$23.44$26.0031.5%9.0%25.1%37.9%32.8%6.9%0.6%-422.6K12.7M-57.0K8.8213.87N/AN/A171504,65110,682
2013-03-28$23.60$26.0030.2%8.7%25.3%34.9%23.1%10.7%1.9%-465.5K12.3M-57.6K0.7764.94N/AN/A3862964,66010,789