EWI Options History — June 2013

In June 2013, EWI traded between $23.62 and $27.08. ATM implied volatility averaged 27.4%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.6% (HV 20d: 21.8%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 8.21.

Notable Days

  • 2013-06-18: Highest Volume — 1,573 contracts
  • 2013-06-20: Largest IV spike — 57.7% change
  • 2013-06-20: Highest IV Rank — 55.2%
  • 2013-06-20: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.53$23.62$27.08$27.08$23.62
Max Pain$28.50$26.00$30.00$26.00$28.00
ATM IV27.4%20.5%32.4%29.2%23.8%
Expected Move7.9%5.9%9.3%8.4%6.8%
HV 20d21.8%17.0%26.1%20.4%24.1%
HV 60d24.8%24.0%25.1%24.9%24.7%
IV Rank34.1%18.3%55.2%32.6%28.6%
IV Percentile36.4%5.6%70.2%41.3%17.5%
Term Structure0.3%-4.6%4.3%-3.0%4.1%
VWIV28.2%21.6%34.9%30.2%23.9%
Skew 25d7.7%-2.2%40.9%1.5%-2.2%
Skew 10d9.8%-5.3%79.9%-2.5%0.8%
Call IV 25d23.8%16.8%29.9%29.7%23.3%
Put IV 25d31.5%21.0%62.7%31.2%21.0%
Bid-Ask Spread %92.9788.3098.0490.4495.65
Gamma HHI0.290.240.510.290.25
Net GEX-329.5K-1.2M-25.3K-29.7K-416.1K
Net DEX9.2M1.5M16.1M1.5M15.0M
Net VEX-69.6K-75.6K-59.2K-72.6K-64.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.210.4049.730.523.44
Total Volume365.75391,573261147
Total OI21,323.517,66324,53620,83318,379

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$27.08$26.0029.2%8.4%20.4%32.6%30.2%1.5%-3.0%-29.7K1.5M-72.6K0.5290.44N/AN/A171907,37813,455
2013-06-04$26.92$26.0031.7%9.1%20.5%38.2%30.6%2.2%-1.7%-31.3K2.1M-75.6K10.5390.94N/AN/A8797,50213,470
2013-06-05$26.64$26.0030.7%8.8%20.5%36.0%27.7%0.2%-2.3%-52.6K3.1M-74.1K0.4089.45N/AN/A127517,49113,529
2013-06-06$26.52$26.0030.8%8.8%19.6%36.2%26.0%8.6%-0.6%-111.1K4.1M-72.6K0.5988.30N/AN/A93557,58213,532
2013-06-07$26.60$30.0026.4%7.9%17.8%26.4%0.0%4.9%1.6%-25.3K3.3M-72.4K0.8192.75N/AN/A75617,64213,563
2013-06-10$26.42$30.0024.8%7.6%17.0%22.9%0.0%3.3%2.2%-88.4K4.3M-68.6K1.8795.68N/AN/A2805227,67113,622
2013-06-11$26.06$30.0030.3%8.3%17.4%35.3%25.9%9.3%0.2%-169.7K5.7M-68.5K7.5096.63N/AN/A1721,2917,69014,119
2013-06-12$25.62$30.0026.5%8.4%18.1%26.6%31.0%10.8%-1.3%-348.6K9.7M-73.7K1.2494.08N/AN/A56697,71315,383
2013-06-13$26.16$30.0027.4%7.9%19.6%28.7%34.9%13.9%-0.1%-261.9K7.1M-75.3K2.8590.38N/AN/A10297,70015,412
2013-06-14$25.58$30.0023.9%6.9%21.0%27.7%30.8%6.3%4.3%-384.6K9.9M-70.2K0.7097.07N/AN/A41297,70215,429
2013-06-17$26.04$30.0026.4%7.6%22.0%35.0%27.4%5.1%0.2%-201.5K8.0M-71.9K1.7198.04N/AN/A51877,71115,434
2013-06-18$26.16$30.0026.5%7.6%21.6%35.5%0.0%7.0%-0.4%-259.3K8.0M-71.6K49.7394.74N/AN/A311,5427,64415,430
2013-06-19$25.42$30.0020.5%5.9%23.6%18.3%24.5%5.1%0.9%-432.0K12.0M-73.9K0.5990.93N/AN/A56337,65616,880
2013-06-20$24.56$28.0032.4%9.3%25.9%55.2%30.5%3.1%-4.6%-763.7K14.7M-68.7K2.0791.06N/AN/A851757,32216,759
2013-06-21$24.28$28.0029.5%8.5%26.0%46.1%30.1%10.8%1.0%-1.2M16.1M-64.7K4.9589.48N/AN/A1376787,34016,742
2013-06-24$24.34$28.0031.2%8.9%26.1%51.5%29.8%14.3%1.0%-376.3K14.5M-67.6K33.6291.19N/AN/A72195,75511,908
2013-06-25$24.22$28.0026.5%7.6%25.0%36.8%30.9%7.6%2.2%-429.8K15.3M-61.2K0.5593.72N/AN/A152835,76012,075
2013-06-26$24.42$28.0023.8%6.8%25.4%28.3%23.4%40.9%1.7%-570.0K15.0M-59.2K40.1793.11N/AN/A31215,89712,124
2013-06-27$23.94$28.0026.0%7.5%25.0%35.3%21.6%0.5%1.3%-420.5K14.5M-65.5K0.4495.68N/AN/A2781215,89612,173
2013-06-28$23.62$28.0023.8%6.8%24.1%28.6%23.9%-2.2%4.1%-416.1K15.0M-64.6K3.4495.65N/AN/A331146,17212,207