EWI Options History — July 2013

In July 2013, EWI traded between $23.54 and $26.18. ATM implied volatility averaged 22.5%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 1.4% (HV 20d: 23.9%). Max pain ranged from $24.00 to $28.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 30.17.

Notable Days

  • 2013-07-31: Highest Volume — 2,045 contracts
  • 2013-07-05: Largest IV drop — 28.9% change
  • 2013-07-02: Highest IV Rank — 42.4%
  • 2013-07-02: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.83$23.54$26.18$24.00$26.00
Max Pain$24.55$24.00$28.00$28.00$24.00
ATM IV22.5%18.0%28.3%25.0%22.1%
Expected Move6.7%5.2%8.1%7.2%6.3%
HV 20d23.9%18.5%27.2%23.9%18.5%
HV 60d23.3%22.2%25.1%24.8%22.3%
IV Rank24.5%10.4%42.4%32.1%23.7%
IV Percentile16.0%2.0%40.9%25.4%13.1%
Term Structure1.0%-2.5%4.0%0.5%0.5%
VWIV22.6%14.6%40.8%28.3%21.7%
Skew 25d2.7%-5.8%12.3%-1.4%-0.1%
Skew 10d5.4%-5.2%47.9%-2.2%0.4%
Call IV 25d22.0%17.0%28.6%25.3%24.6%
Put IV 25d24.7%18.8%30.3%23.9%24.6%
Bid-Ask Spread %102.7595.22122.7796.20115.27
Gamma HHI0.270.240.300.250.30
Net GEX-434.2K-679.1K-224.5K-433.4K-239.5K
Net DEX11.2M5.0M15.4M13.5M6.1M
Net VEX-64.9K-70.5K-58.9K-67.3K-66.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio30.170.02509.3835.100.02
Total Volume309.86492,0451812,045
Total OI19,485.27318,45420,52918,45420,343

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$24.00$28.0025.0%7.2%23.9%32.1%0.0%-1.4%0.5%-433.4K13.5M-67.3K35.1096.20N/AN/A51766,17312,281
2013-07-02$23.54$28.0028.3%8.1%24.4%42.4%28.3%-5.8%-2.3%-418.2K15.4M-61.3K0.2699.93N/AN/A88236,17312,292
2013-07-03$23.62$28.0028.1%8.1%24.6%41.9%40.8%-0.1%-2.5%-412.3K15.1M-63.2K7.50102.29N/AN/A186,20912,315
2013-07-05$23.90$24.0020.0%6.9%25.4%16.6%0.0%7.5%3.8%-469.3K14.1M-63.7K0.9595.22N/AN/A19186,21012,315
2013-07-08$24.16$24.0019.8%7.2%25.9%15.9%0.0%12.3%-0.0%-520.5K13.9M-62.3K6.4496.34N/AN/A5296,21512,326
2013-07-09$24.02$24.0018.0%7.1%25.9%10.4%15.0%8.9%0.2%-540.4K14.9M-58.9K3.2399.53N/AN/A7216,21712,330
2013-07-10$24.16$24.0021.3%6.9%25.9%20.5%14.6%9.4%0.3%-515.0K14.3M-60.5K1.0599.75N/AN/A32336,21812,340
2013-07-11$24.68$24.0023.6%6.8%26.9%27.9%16.7%0.2%1.4%-502.4K13.0M-61.5K1.06100.37N/AN/A27286,23912,359
2013-07-12$23.96$24.0024.1%6.9%27.2%29.3%23.6%9.1%1.4%-543.7K13.9M-59.6K509.38100.45N/AN/A42,0386,23212,344
2013-07-15$24.26$24.0025.6%7.4%26.9%34.2%25.6%4.3%0.1%-679.1K14.3M-66.2K28.00114.33N/AN/A1146,23114,291
2013-07-16$24.26$24.0025.2%7.2%25.8%32.7%22.2%-0.3%-0.2%-652.3K15.0M-64.6K18.7599.26N/AN/A2386,23214,297
2013-07-17$24.46$24.0025.1%7.2%26.0%32.5%25.1%3.7%0.2%-660.8K14.6M-62.6K0.05101.44N/AN/A263136,23214,295
2013-07-18$25.00$24.0023.6%6.8%25.7%27.7%23.1%2.0%2.9%-474.3K11.4M-67.6K1.2697.65N/AN/A52666,46713,802
2013-07-19$25.12$24.0022.4%6.4%22.4%24.1%24.2%2.7%0.5%-434.6K10.0M-69.6K0.6195.99N/AN/A85526,51213,796
2013-07-22$25.40$24.0021.3%6.1%22.2%20.6%21.8%2.5%1.1%-422.3K9.1M-63.3K35.83100.45N/AN/A31086,35412,699
2013-07-23$25.54$24.0018.2%5.2%22.2%11.0%0.0%-0.9%4.0%-364.2K8.0M-65.1K0.19100.48N/AN/A1,0161936,35612,729
2013-07-24$25.90$24.0019.6%5.6%22.4%15.3%19.0%-1.5%3.2%-279.4K6.1M-69.6K0.6399.67N/AN/A89567,31912,793
2013-07-25$26.18$24.0020.9%6.0%22.5%19.3%21.1%1.7%2.2%-224.5K5.0M-70.5K3.60102.34N/AN/A10367,39812,842
2013-07-26$26.18$24.0020.4%5.8%20.8%17.8%20.4%1.7%1.5%-228.3K5.2M-69.7K5.79103.32N/AN/A7417,39812,865
2013-07-29$25.84$24.0020.9%6.0%20.8%19.8%20.9%-1.2%2.2%-291.1K7.0M-66.1K1.90122.77N/AN/A10197,40312,905
2013-07-30$26.00$24.0021.7%6.2%20.3%22.5%21.7%4.4%1.8%-247.9K5.9M-67.3K2.04117.36N/AN/A12247,41312,916
2013-07-31$26.00$24.0022.1%6.3%18.5%23.7%0.0%-0.1%0.5%-239.5K6.1M-66.9K0.02115.27N/AN/A2,005407,42312,920