EWI Options History — August 2013

In August 2013, EWI traded between $26.08 and $27.96. ATM implied volatility averaged 22.1%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.7% (HV 20d: 19.3%). Max pain ranged from $24.00 to $28.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 10.44.

Notable Days

  • 2013-08-29: Highest Volume — 3,913 contracts
  • 2013-08-08: Largest IV drop — 42.9% change
  • 2013-08-28: Highest IV Rank — 38.8%
  • 2013-08-28: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.97$26.08$27.96$26.60$26.08
Max Pain$27.64$24.00$28.00$24.00$28.00
ATM IV22.1%14.5%26.8%23.8%25.4%
Expected Move6.5%5.8%7.7%6.8%7.3%
HV 20d19.3%14.4%24.7%19.5%23.8%
HV 60d22.6%21.7%23.7%22.7%23.7%
IV Rank24.0%0.0%38.8%29.2%34.5%
IV Percentile20.8%0.0%49.2%22.2%39.7%
Term Structure0.7%-1.4%3.1%-0.7%1.5%
VWIV24.0%21.8%28.4%23.7%26.3%
Skew 25d4.9%-2.1%9.3%0.3%2.9%
Skew 10d7.0%-3.9%24.1%-3.1%4.0%
Call IV 25d20.5%15.7%28.7%23.6%28.7%
Put IV 25d25.4%21.9%31.5%23.9%31.5%
Bid-Ask Spread %89.1182.03114.50114.5089.81
Gamma HHI0.310.270.350.290.27
Net GEX35.1K-183.1K237.2K-47.1K-170.2K
Net DEX-95.0K-6.0M5.3M1.8M5.3M
Net VEX-67.8K-74.1K-61.0K-74.1K-74.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.440.00157.200.510.76
Total Volume410.273203,913139153
Total OI22,687.13621,84025,67322,36125,673

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$26.60$24.0023.8%6.8%19.5%29.2%23.7%0.3%-0.7%-47.1K1.8M-74.1K0.51114.50N/AN/A92479,42712,934
2013-08-02$26.58$24.0022.0%6.3%19.5%23.5%0.0%5.6%0.6%-65.1K1.5M-74.1K0.00100.53N/AN/A2309,44612,952
2013-08-05$26.48$28.0020.1%6.6%19.6%17.4%22.9%6.3%3.1%-58.7K2.4M-71.4K1.8687.72N/AN/A7139,44912,952
2013-08-06$26.36$28.0020.5%6.3%19.6%18.7%28.4%5.9%2.3%-103.5K3.0M-71.9K0.7082.03N/AN/A19139,45412,955
2013-08-07$26.64$28.0025.4%7.0%19.7%34.3%24.3%6.3%0.6%-61.3K1.4M-73.9K2.8085.02N/AN/A8219,46712,968
2013-08-08$27.20$28.0014.5%6.3%19.6%0.0%22.3%5.1%0.2%94.4K-2.5M-72.7K0.8583.67N/AN/A62539,46712,972
2013-08-09$27.36$28.0016.5%5.8%14.8%6.4%22.3%6.0%1.8%128.4K-2.8M-71.4K0.2382.40N/AN/A260599,46412,991
2013-08-12$27.22$28.0019.7%5.9%15.2%16.4%22.3%6.2%3.0%103.7K-2.1M-68.6K0.1288.07N/AN/A129159,46113,035
2013-08-13$27.60$28.0019.1%5.8%15.3%14.7%24.0%7.7%0.7%194.9K-4.3M-68.0K0.0384.03N/AN/A7329,49413,040
2013-08-14$27.56$28.0020.5%5.8%15.5%19.1%24.1%8.3%0.9%210.0K-4.1M-67.3K0.2787.83N/AN/A102289,47513,040
2013-08-15$27.58$28.0021.9%6.3%14.4%23.3%21.8%8.1%-0.7%178.6K-3.8M-66.0K0.2787.67N/AN/A202549,19812,994
2013-08-16$27.96$28.0020.6%5.9%14.8%19.3%23.7%6.8%2.7%237.2K-6.0M-64.0K0.1688.20N/AN/A225369,20013,014
2013-08-19$27.12$28.0020.9%6.0%19.3%20.3%23.5%6.3%0.8%109.2K-1.4M-61.6K0.4990.37N/AN/A61309,14012,801
2013-08-20$27.04$28.0020.2%5.8%19.4%18.1%22.4%3.9%0.9%55.9K92.5K-62.0K0.0788.00N/AN/A10489,11212,827
2013-08-21$26.80$28.0023.8%6.8%19.4%29.4%22.1%0.3%2.0%5081.2M-61.0K0.0687.62N/AN/A13689,06912,828
2013-08-22$27.44$28.0022.7%6.5%20.7%25.8%22.9%5.6%-0.7%147.8K-2.9M-61.6K0.0093.14N/AN/A1,01719,01012,830
2013-08-23$27.60$28.0022.3%6.4%20.7%24.7%0.0%9.3%-1.1%211.3K-3.6M-63.4K2.8288.18N/AN/A2677519,72812,829
2013-08-26$26.88$28.0026.3%7.5%22.5%37.4%25.8%0.3%-0.6%4.3K1.3M-66.3K53.1485.43N/AN/A41869,74013,555
2013-08-27$26.22$28.0026.4%7.6%24.3%37.8%24.4%3.7%-0.7%-183.1K5.2M-63.1K7.4588.55N/AN/A533959,74113,696
2013-08-28$26.56$28.0026.8%7.7%24.7%38.8%26.7%-2.1%-1.4%-74.4K3.8M-67.3K157.2088.46N/AN/A33939,74813,901
2013-08-29$26.40$28.0026.7%7.7%23.5%38.7%26.7%4.5%-0.8%-139.7K4.5M-67.1K0.0189.25N/AN/A3,887269,74714,293
2013-08-30$26.08$28.0025.4%7.3%23.8%34.5%26.3%2.9%1.5%-170.2K5.3M-74.0K0.7689.81N/AN/A876611,37414,299