EWI Options History — April 2013

In April 2013, EWI traded between $23.18 and $26.44. ATM implied volatility averaged 29.3%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 1.2% (HV 20d: 28.2%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 10.48.

Notable Days

  • 2013-04-05: Highest Volume — 2,183 contracts
  • 2013-04-10: Largest IV drop — 17.7% change
  • 2013-04-18: Highest IV Rank — 40.8%
  • 2013-04-18: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.56$23.18$26.44$23.26$26.30
Max Pain$24.36$24.00$26.00$26.00$24.00
ATM IV29.3%24.3%32.8%32.1%25.4%
Expected Move8.4%7.0%9.4%9.2%7.3%
HV 20d28.2%25.2%31.7%25.2%27.6%
HV 60d29.6%28.1%31.3%28.5%31.2%
IV Rank33.0%21.6%40.8%39.3%24.3%
IV Percentile35.2%16.7%58.3%51.6%20.2%
Term Structure0.3%-1.4%2.4%-1.4%2.2%
VWIV28.8%22.8%33.3%32.1%25.0%
Skew 25d4.2%0.5%8.9%8.9%1.7%
Skew 10d9.0%-6.4%59.4%16.5%0.3%
Call IV 25d27.6%21.3%33.2%28.8%21.3%
Put IV 25d31.8%23.0%37.7%37.7%23.0%
Bid-Ask Spread %61.7313.0098.5179.0313.00
Gamma HHI0.420.220.580.500.25
Net GEX-496.4K-891.9K-189.0K-449.4K-197.9K
Net DEX10.1M3.1M14.4M13.9M3.6M
Net VEX-57.3K-62.0K-51.8K-54.6K-59.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.480.0860.546.5247.13
Total Volume361.45552,183102578
Total OI16,953.90914,15319,00916,11315,699

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$23.26$26.0032.1%9.2%25.2%39.3%32.1%8.9%-1.4%-449.4K13.9M-54.6K6.5279.03N/AN/A14885,04111,072
2013-04-02$23.54$26.0031.8%9.1%25.8%38.6%29.1%4.2%-0.7%-475.3K13.4M-55.5K0.2488.29N/AN/A172414,96811,109
2013-04-03$23.18$26.0031.5%9.0%25.3%37.9%32.9%5.9%-0.1%-473.8K14.4M-51.8K4.6274.27N/AN/A381765,11211,120
2013-04-04$23.48$26.0030.3%8.7%25.8%35.1%24.4%6.4%-0.4%-531.9K14.3M-54.2K0.2153.34N/AN/A48105,07811,274
2013-04-05$23.78$24.0029.2%8.9%25.9%32.8%31.7%4.5%0.1%-535.4K13.3M-56.4K25.6290.52N/AN/A822,1015,11211,283
2013-04-08$23.70$24.0031.1%9.0%25.9%36.9%31.1%1.2%-0.6%-626.7K14.3M-59.7K1.1588.32N/AN/A1061225,11413,333
2013-04-09$24.10$24.0031.4%8.2%26.8%37.6%29.5%1.1%1.9%-625.5K13.0M-62.0K5.3918.52N/AN/A18975,21813,432
2013-04-10$24.74$24.0025.8%8.6%28.6%25.1%29.0%6.2%-1.0%-571.5K10.5M-59.7K60.5419.72N/AN/A137875,22413,444
2013-04-11$24.84$24.0029.6%8.5%28.2%33.7%30.2%0.5%1.1%-400.0K9.3M-59.6K3.2495.13N/AN/A28895,22913,042
2013-04-12$24.74$24.0029.7%8.5%27.4%33.9%30.1%5.4%-0.4%-590.9K9.8M-58.4K12.4288.05N/AN/A121495,21213,115
2013-04-15$23.76$24.0030.4%8.7%30.7%35.3%30.9%1.6%0.4%-672.7K13.4M-55.9K6.3095.71N/AN/A10635,21813,256
2013-04-16$24.38$24.0029.3%8.4%31.3%33.0%0.0%2.5%1.4%-731.6K11.5M-56.8K11.2595.71N/AN/A4455,22013,261
2013-04-17$23.98$24.0032.3%9.2%31.7%39.6%33.3%2.9%-0.7%-783.7K13.0M-56.6K0.2294.56N/AN/A435985,21913,239
2013-04-18$24.00$24.0032.8%9.4%30.8%40.8%32.7%4.7%0.1%-716.1K12.3M-55.8K19.1919.40N/AN/A295575,56812,956
2013-04-19$24.40$24.0031.5%9.0%31.4%37.8%28.5%5.9%0.3%-891.9K9.4M-55.7K4.4385.51N/AN/A261135,58413,425
2013-04-22$25.00$24.0029.9%8.6%31.7%34.2%25.7%3.1%-0.2%-369.4K8.1M-53.7K0.6315.03N/AN/A23153,26710,886
2013-04-23$25.62$24.0025.9%7.4%28.8%25.4%25.9%6.6%1.1%-323.2K6.3M-53.1K0.0814.64N/AN/A1,3471103,28210,897
2013-04-24$25.62$24.0025.8%7.4%28.6%25.0%22.8%7.8%1.1%-259.7K5.1M-60.9K0.9314.87N/AN/A55514,58610,950
2013-04-25$25.64$24.0026.3%7.5%27.3%26.2%29.1%3.0%0.4%-254.6K5.3M-61.7K8.9591.87N/AN/A11944,63610,985
2013-04-26$25.74$24.0024.3%7.0%27.3%21.6%23.9%4.4%2.4%-250.5K5.1M-60.8K0.0098.51N/AN/A054,64611,013
2013-04-29$26.44$24.0028.5%8.2%27.4%31.1%27.7%3.2%-1.4%-189.0K3.1M-59.4K0.9724.05N/AN/A47454,64611,015
2013-04-30$26.30$24.0025.4%7.3%27.6%24.3%25.0%1.7%2.2%-197.9K3.6M-59.2K47.1313.00N/AN/A125664,66311,036