EWI Options History — October 2013

In October 2013, EWI traded between $28.96 and $31.64. ATM implied volatility averaged 21.0%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.6% (HV 20d: 18.3%). Max pain ranged from $28.00 to $32.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 3.03.

Notable Days

  • 2013-10-09: Highest Volume — 6,446 contracts
  • 2013-10-02: Largest IV drop — 22.9% change
  • 2013-10-01: Highest IV Rank — 41.3%
  • 2013-10-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.60$28.96$31.64$28.96$31.34
Max Pain$30.26$28.00$32.00$28.00$32.00
ATM IV21.0%17.1%26.5%26.5%17.4%
Expected Move6.0%4.9%7.6%7.6%5.0%
HV 20d18.3%16.6%20.0%19.6%16.8%
HV 60d20.6%20.1%21.5%21.4%20.7%
IV Rank24.6%12.8%41.3%41.3%14.0%
IV Percentile18.9%2.4%56.0%56.0%3.2%
Term Structure0.1%-3.6%2.8%-1.4%2.8%
VWIV21.5%17.4%26.5%20.6%17.7%
Skew 25d3.8%-5.7%10.1%2.7%5.3%
Skew 10d10.3%-5.1%65.2%-5.1%2.2%
Call IV 25d19.5%16.6%25.3%22.3%18.7%
Put IV 25d23.2%14.1%28.7%25.0%24.0%
Bid-Ask Spread %95.3987.4599.2487.4594.98
Gamma HHI0.470.410.570.520.45
Net GEX786.2K439.0K1.0M439.0K967.9K
Net DEX-19.2M-25.6M-9.2M-9.2M-23.5M
Net VEX-83.5K-100.2K-75.7K-78.7K-80.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.030.0053.5053.500.09
Total Volume454.174186,44621860
Total OI19,964.39117,50721,86617,50721,046

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$28.96$28.0026.5%7.6%19.6%41.3%0.0%2.7%-1.4%439.0K-9.2M-78.7K53.5087.45N/AN/A42149,3988,109
2013-10-02$29.40$28.0020.5%5.9%19.4%23.0%20.6%1.7%1.7%461.5K-10.1M-80.7K0.0496.74N/AN/A5629,3998,252
2013-10-03$29.22$28.0024.9%7.1%19.8%36.4%0.0%3.4%-3.0%479.8K-10.5M-78.3K0.5795.38N/AN/A1599,4528,253
2013-10-04$29.60$30.0022.9%6.1%20.0%30.4%25.3%9.3%-1.5%535.1K-12.0M-76.4K0.1489.56N/AN/A284419,4628,261
2013-10-07$29.66$30.0023.6%6.7%19.4%32.6%23.3%10.1%-1.3%536.8K-12.4M-75.7K0.4093.15N/AN/A1359,4918,288
2013-10-08$29.52$30.0025.1%6.7%19.6%37.1%26.5%9.6%-0.2%481.0K-11.7M-78.3K0.0391.09N/AN/A488179,4938,290
2013-10-09$29.92$30.0023.7%7.1%18.8%32.7%25.0%3.6%0.3%493.4K-12.9M-76.0K0.0091.49N/AN/A6,427199,4998,291
2013-10-10$30.44$30.0023.0%6.6%18.8%30.8%23.0%4.2%-0.0%794.2K-19.4M-94.9K0.0195.58N/AN/A1,0821012,5548,299
2013-10-11$30.52$30.0021.8%6.2%18.8%27.0%21.7%4.5%0.3%950.5K-21.0M-100.2K1.2196.14N/AN/A121513,5628,304
2013-10-14$30.68$30.0022.9%6.6%18.7%30.5%23.2%7.3%1.2%820.9K-19.2M-95.0K0.0296.44N/AN/A21112,5678,317
2013-10-15$30.42$30.0022.5%6.4%19.3%29.1%24.2%3.1%-0.3%850.9K-19.6M-91.1K1.3497.49N/AN/A192612,5798,317
2013-10-16$30.98$30.0022.1%6.3%17.0%28.1%22.4%0.9%-3.6%869.7K-22.7M-86.6K0.3695.66N/AN/A833012,5818,299
2013-10-17$31.36$30.0018.3%5.2%16.8%16.6%21.7%3.7%-0.4%890.9K-23.8M-86.7K0.0895.57N/AN/A1301012,6138,296
2013-10-18$31.48$30.0018.0%5.2%16.6%15.6%19.0%0.9%0.4%900.5K-24.5M-84.7K0.0197.90N/AN/A100112,6618,306
2013-10-21$31.34$30.0017.5%5.0%16.9%14.3%0.0%1.7%0.3%922.0K-23.6M-85.3K0.0198.68N/AN/A530712,6798,070
2013-10-22$31.64$30.0019.1%5.5%17.0%19.1%19.2%2.9%1.5%887.2K-25.6M-82.0K0.7496.74N/AN/A614512,7098,075
2013-10-23$31.08$30.0018.9%5.4%18.8%18.3%17.4%4.0%-1.6%956.0K-22.6M-84.1K1.0695.21N/AN/A10911612,7178,115
2013-10-24$31.44$32.0017.1%4.9%18.5%12.8%0.0%4.8%2.6%945.3K-24.1M-82.3K1.6196.20N/AN/A315012,6708,180
2013-10-25$31.04$32.0018.3%5.2%18.4%16.6%20.0%3.4%0.7%977.5K-22.3M-81.7K7.7396.81N/AN/A64312,6688,203
2013-10-28$30.98$32.0020.7%5.9%18.1%23.8%0.0%2.9%1.3%968.9K-21.7M-81.7K0.0599.24N/AN/A103512,6648,228
2013-10-29$31.52$32.0018.7%5.3%17.1%17.6%18.7%-5.7%1.1%940.5K-24.3M-81.1K0.0097.95N/AN/A111012,7128,233
2013-10-30$31.28$32.0018.6%5.3%17.1%17.3%17.9%2.9%1.6%1.0M-24.1M-78.7K0.5898.55N/AN/A221312,7868,233
2013-10-31$31.34$32.0017.4%5.0%16.8%14.0%17.7%5.3%2.8%967.9K-23.5M-80.7K0.0994.98N/AN/A55512,8008,246