EWI Options History — November 2013

In November 2013, EWI traded between $29.90 and $31.16. ATM implied volatility averaged 19.7%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.8% (HV 20d: 20.5%). Max pain ranged from $26.00 to $32.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 4.33.

Notable Days

  • 2013-11-11: Highest Volume — 1,530 contracts
  • 2013-11-07: Largest IV spike — 72.2% change
  • 2013-11-07: Highest IV Rank — 33.3%
  • 2013-11-05: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.45$29.90$31.16$30.90$30.66
Max Pain$26.30$26.00$32.00$32.00$26.00
ATM IV19.7%13.9%23.9%17.3%22.1%
Expected Move5.8%4.3%6.4%5.0%6.3%
HV 20d20.5%17.5%22.5%17.5%20.2%
HV 60d20.6%19.1%22.4%20.6%19.1%
IV Rank20.7%3.2%33.3%13.7%28.0%
IV Percentile17.2%0.4%44.4%3.2%32.1%
Term Structure0.9%-4.5%8.6%8.6%-4.5%
VWIV21.4%12.0%28.7%12.0%28.7%
Skew 25d5.0%-0.5%10.2%8.5%5.2%
Skew 10d5.4%-0.8%14.9%3.5%1.1%
Call IV 25d15.7%12.2%21.0%12.2%12.7%
Put IV 25d20.7%15.7%24.4%20.7%17.9%
Bid-Ask Spread %86.3174.89105.60105.6087.33
Gamma HHI0.440.420.460.440.44
Net GEX1.1M972.3K1.3M1.0M1.2M
Net DEX-18.3M-23.0M-14.1M-21.1M-19.8M
Net VEX-91.1K-102.8K-76.4K-81.4K-93.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.330.0050.004.060.09
Total Volume304.631,5308119
Total OI23,661.2521,10125,47221,10125,470

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$30.90$32.0017.3%5.0%17.5%13.7%12.0%8.5%8.6%1.0M-21.1M-81.4K4.06105.60N/AN/A166512,8538,248
2013-11-04$31.16$26.0017.3%4.4%17.6%13.5%20.0%6.9%1.6%1.0M-23.0M-78.3K0.5085.73N/AN/A2112,8558,278
2013-11-05$30.70$26.0021.3%6.4%18.5%25.6%23.7%6.1%0.2%1.0M-20.6M-80.0K0.8387.38N/AN/A504112,8578,279
2013-11-06$31.04$26.0013.9%4.3%18.3%3.2%20.5%4.8%3.5%1.1M-22.7M-76.4K1.8090.38N/AN/A7012512,8678,266
2013-11-07$29.90$26.0023.9%6.1%22.1%33.3%21.0%3.1%1.8%972.3K-16.3M-79.4K0.1390.28N/AN/A7239612,9188,387
2013-11-08$30.20$26.0020.6%5.9%22.4%23.5%20.3%3.8%2.3%1.1M-18.1M-82.9K0.1286.62N/AN/A1401713,4338,467
2013-11-11$30.40$26.0019.3%5.8%22.5%19.5%18.5%5.1%1.2%1.1M-19.7M-82.2K50.0097.41N/AN/A301,50013,5248,482
2013-11-12$30.32$26.0017.1%6.2%22.3%12.9%22.4%3.3%1.9%995.2K-16.9M-95.3K1.9379.17N/AN/A51699513,5249,982
2013-11-13$30.38$26.0016.9%6.3%21.2%12.3%22.8%10.2%1.3%998.2K-17.3M-102.8K0.0292.59N/AN/A26113,96810,964
2013-11-14$30.16$26.0019.4%5.6%20.8%20.0%19.4%9.1%3.1%1.1M-16.3M-99.5K0.1688.44N/AN/A31513,87410,934
2013-11-15$30.20$26.0019.1%5.5%20.7%18.8%18.2%9.4%2.4%1.1M-16.7M-98.6K0.4580.54N/AN/A713213,88010,924
2013-11-18$30.60$26.0020.7%5.9%21.3%23.8%20.7%-0.1%1.1%1.1M-19.2M-96.5K0.1584.53N/AN/A3235013,73710,820
2013-11-19$30.28$26.0020.5%5.9%21.2%23.2%20.5%9.3%0.6%1.1M-17.1M-97.8K7.0883.74N/AN/A1812813,91810,858
2013-11-20$29.96$26.0020.8%6.0%20.6%24.0%27.3%6.4%0.7%1.0M-14.1M-98.4K0.0285.50N/AN/A54113,92410,978
2013-11-21$30.38$26.0020.6%5.9%20.9%23.6%28.5%1.6%-1.1%1.1M-17.2M-98.8K0.4991.89N/AN/A281413,96310,977
2013-11-22$30.62$26.0021.6%6.2%20.7%26.5%18.8%5.1%-1.7%1.1M-18.8M-96.2K13.9083.49N/AN/A1114613,96210,981
2013-11-25$30.24$26.0020.3%5.8%21.1%22.6%20.5%2.7%-0.0%1.2M-17.0M-92.7K0.0074.89N/AN/A069013,92511,006
2013-11-26$30.38$26.0020.8%6.0%20.1%23.9%21.5%-0.4%-2.7%1.2M-16.1M-96.3K0.4475.55N/AN/A261213,92511,545
2013-11-27$30.44$26.0020.0%5.7%20.0%21.7%22.8%-0.5%-2.6%1.3M-17.7M-94.8K0.0075.10N/AN/A19013,91611,556
2013-11-29$30.66$26.0022.1%6.3%20.2%28.0%28.7%5.2%-4.5%1.2M-19.8M-93.6K0.0987.33N/AN/A17213,91411,556