EWI Options History — May 2013

In May 2013, EWI traded between $25.94 and $27.32. ATM implied volatility averaged 25.1%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 2.6% (HV 20d: 22.5%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2013-05-17: Highest Volume — 1,300 contracts
  • 2013-05-31: Largest IV spike — 20.1% change
  • 2013-05-31: Highest IV Rank — 36.1%
  • 2013-05-31: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.71$25.94$27.32$25.94$26.62
Max Pain$25.73$24.00$26.00$24.00$26.00
ATM IV25.1%19.4%30.7%26.8%30.7%
Expected Move7.4%6.4%8.8%7.7%8.8%
HV 20d22.5%17.2%28.3%27.5%19.9%
HV 60d27.0%24.1%29.1%28.9%24.7%
IV Rank23.5%10.6%36.1%27.3%36.1%
IV Percentile21.8%4.0%50.0%25.0%50.0%
Term Structure1.1%-2.3%4.7%-1.3%-2.3%
VWIV25.3%22.1%28.9%25.6%28.9%
Skew 25d2.7%-5.9%8.0%-5.9%-2.5%
Skew 10d5.3%-10.3%24.6%-7.3%-10.3%
Call IV 25d23.6%20.6%28.6%27.6%28.6%
Put IV 25d26.3%21.7%29.4%21.7%26.1%
Bid-Ask Spread %87.2916.2495.9295.6791.93
Gamma HHI0.260.230.300.230.28
Net GEX-117.2K-261.4K5.6K-261.4K-64.6K
Net DEX2.1M426.5K5.3M5.3M2.6M
Net VEX-70.4K-74.8K-60.7K-63.2K-73.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.014.910.454.91
Total Volume380.773901,300114644
Total OI18,454.77316,23120,21416,23120,214

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$25.94$24.0026.8%7.7%27.5%27.3%25.6%-5.9%-1.3%-261.4K5.3M-63.2K0.0095.67N/AN/A01144,66811,563
2013-05-02$26.04$24.0027.5%7.9%27.4%29.0%27.5%-2.8%-1.6%-258.5K5.0M-62.0K0.4595.92N/AN/A138634,66811,585
2013-05-03$26.34$24.0022.2%6.4%27.3%17.0%22.2%2.0%2.6%-221.8K4.2M-62.5K0.1416.24N/AN/A129184,78611,611
2013-05-06$26.26$26.0024.5%7.0%27.3%22.2%24.4%2.8%2.0%-223.6K3.8M-60.7K0.4581.25N/AN/A3421554,76911,616
2013-05-07$26.58$26.0022.3%7.1%27.1%17.1%24.4%4.1%1.2%-184.1K2.6M-64.1K0.1182.22N/AN/A661725,03011,756
2013-05-08$27.02$26.0019.4%6.8%26.3%10.6%24.7%6.7%1.7%-120.6K1.3M-69.8K0.1191.47N/AN/A813885,63611,816
2013-05-09$26.40$26.0022.8%7.4%28.0%18.4%26.3%4.2%2.5%-131.6K2.1M-72.6K0.6189.42N/AN/A1941196,32211,874
2013-05-10$26.82$26.0023.8%7.6%28.3%20.6%26.0%6.0%2.6%-89.0K697.2K-72.4K0.4592.31N/AN/A117536,49711,977
2013-05-13$26.58$26.0022.5%7.0%23.5%17.6%24.5%3.8%3.0%-104.8K1.2M-72.1K0.7794.52N/AN/A88676,50612,014
2013-05-14$26.72$26.0026.3%7.1%22.3%26.2%25.6%6.5%3.0%-95.0K995.7K-71.9K0.1692.59N/AN/A180296,57812,039
2013-05-15$26.90$26.0024.3%7.3%20.8%21.8%25.1%4.9%4.0%-87.1K461.7K-72.6K0.9193.12N/AN/A54496,69012,060
2013-05-16$26.80$26.0025.1%7.2%21.0%23.4%25.4%5.3%3.2%-77.1K897.0K-72.6K2.2591.91N/AN/A28626,70112,096
2013-05-17$26.98$26.0023.0%6.6%20.6%18.8%26.2%3.6%4.7%-75.0K479.0K-71.5K0.9088.20N/AN/A6856156,71512,142
2013-05-20$27.26$26.0022.4%6.4%19.5%17.4%22.7%3.3%0.6%-98.3K763.1K-73.1K0.0190.55N/AN/A47776,40412,244
2013-05-21$27.16$26.0023.9%6.9%18.1%20.8%24.7%1.3%-0.1%-37.7K523.8K-74.7K1.1785.36N/AN/A1011196,67612,246
2013-05-22$26.78$26.0026.7%7.6%19.1%27.0%24.1%-0.4%0.8%-108.8K1.8M-71.2K1.1694.11N/AN/A2332706,74112,343
2013-05-23$26.64$26.0027.1%7.8%19.3%27.9%26.2%3.1%1.1%-101.8K3.1M-73.8K3.2993.87N/AN/A983216,94312,583
2013-05-24$26.54$26.0028.0%8.0%19.4%29.9%22.1%8.0%-1.2%-122.7K3.9M-73.7K0.8280.34N/AN/A1671366,96512,801
2013-05-28$26.96$26.0028.3%8.1%17.8%30.6%25.1%2.4%-0.4%-55.9K2.1M-74.1K0.2795.40N/AN/A3681007,05112,880
2013-05-29$26.96$26.0029.1%8.3%17.6%32.5%28.3%1.1%-1.2%-65.1K1.6M-71.1K1.7891.82N/AN/A991767,20912,861
2013-05-30$27.32$26.0025.6%7.3%17.2%24.5%25.7%2.7%-1.2%5.6K426.5K-74.8K0.0392.18N/AN/A12447,20012,929
2013-05-31$26.62$26.0030.7%8.8%19.9%36.1%28.9%-2.5%-2.3%-64.6K2.6M-73.4K4.9191.93N/AN/A1095357,28612,928