EWI Options History — December 2013

In December 2013, EWI traded between $29.02 and $31.18. ATM implied volatility averaged 19.2%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.8% (HV 20d: 18.4%). Max pain ranged from $26.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 3.65.

Notable Days

  • 2013-12-17: Highest Volume — 2,643 contracts
  • 2013-12-12: Largest IV drop — 38.8% change
  • 2013-12-11: Highest IV Rank — 41.6%
  • 2013-12-06: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.94$29.02$31.18$30.04$31.18
Max Pain$29.90$26.00$32.00$26.00$30.00
ATM IV19.2%14.3%26.6%21.3%14.3%
Expected Move5.4%4.1%6.4%6.1%4.1%
HV 20d18.4%16.3%20.9%20.9%16.3%
HV 60d19.2%18.2%19.8%19.6%18.2%
IV Rank19.2%4.7%41.6%25.5%4.7%
IV Percentile17.4%0.8%71.8%28.6%0.8%
Term Structure1.8%-1.6%3.5%-1.6%1.7%
VWIV19.9%12.8%29.2%21.3%19.5%
Skew 25d3.7%0.3%8.2%0.5%2.8%
Skew 10d6.2%-1.4%39.0%0.7%3.4%
Call IV 25d19.0%13.5%22.1%17.4%18.6%
Put IV 25d22.7%16.8%27.8%17.8%21.4%
Bid-Ask Spread %98.3874.89137.5974.89102.39
Gamma HHI0.450.330.770.460.35
Net GEX1.3M552.7K4.9M1.3M641.1K
Net DEX-9.6M-15.2M-5.3M-15.2M-10.1M
Net VEX-78.0K-91.4K-67.3K-91.4K-68.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.650.0030.511.5417.50
Total Volume338.71452,6431451,850
Total OI22,118.66713,82926,01725,48613,961

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$30.04$26.0021.3%6.1%20.9%25.5%21.3%0.5%-1.6%1.3M-15.2M-91.4K1.5474.89N/AN/A578813,92811,558
2013-12-03$29.66$26.0015.7%4.5%20.9%8.8%12.9%3.9%2.9%1.3M-12.4M-88.4K9.3893.09N/AN/A76113,89111,592
2013-12-04$29.60$26.0018.9%5.4%20.4%18.3%18.8%7.2%2.7%1.2M-11.1M-89.5K0.8393.66N/AN/A262213,88511,601
2013-12-05$29.14$26.0021.1%6.1%20.4%25.1%21.1%3.9%0.0%983.6K-8.3M-84.8K0.0492.39N/AN/A160713,90211,607
2013-12-06$29.58$32.0017.2%6.4%16.9%13.1%29.2%3.4%0.8%1.3M-10.7M-87.0K0.3593.92N/AN/A9313,89711,613
2013-12-09$29.76$32.0019.8%5.8%16.6%21.0%20.2%7.4%2.5%1.5M-12.7M-83.5K0.8293.73N/AN/A11913,90511,616
2013-12-10$29.80$32.0019.2%5.8%16.4%19.2%0.0%8.2%2.2%1.6M-11.8M-83.1K0.0096.51N/AN/A9013,89611,615
2013-12-11$29.34$32.0026.6%4.7%17.2%41.6%12.8%4.6%2.1%1.0M-8.8M-81.9K1.3898.63N/AN/A121713,88811,615
2013-12-12$29.02$32.0016.3%4.7%17.4%10.5%0.0%2.9%2.2%838.6K-5.5M-76.7K1.1995.42N/AN/A161913,89511,626
2013-12-13$29.10$32.0015.7%4.5%17.4%8.7%0.0%4.0%2.9%785.9K-5.3M-76.3K30.5196.81N/AN/A2368713,87911,628
2013-12-16$29.72$32.0020.6%5.9%19.2%23.4%20.8%5.1%1.5%777.4K-9.3M-82.6K0.0098.73N/AN/A121013,85712,160
2013-12-17$29.40$30.0021.9%6.3%18.8%27.3%19.8%1.1%0.7%1.1M-8.6M-75.5K0.0096.43N/AN/A2,643013,63612,160
2013-12-18$29.70$30.0020.4%5.8%19.0%22.8%23.7%4.8%2.3%1.7M-8.3M-78.4K0.33101.29N/AN/A1173912,72512,160
2013-12-19$29.84$30.0020.8%6.0%18.7%24.2%0.0%4.0%1.5%2.8M-9.0M-73.6K4.5399.74N/AN/A93912,77111,967
2013-12-20$30.04$30.0019.2%5.5%18.1%19.3%19.2%0.8%3.2%4.9M-12.6M-73.1K0.8195.75N/AN/A50040612,76811,964
2013-12-23$30.44$30.0019.5%5.6%18.6%20.1%19.5%4.2%1.4%552.7K-7.1M-69.3K0.0897.25N/AN/A3238,0445,785
2013-12-24$30.62$30.0018.9%5.4%18.1%18.3%0.0%6.7%1.9%572.2K-7.8M-68.8K0.00101.14N/AN/A0198,0765,788
2013-12-26$30.78$30.0020.3%5.8%18.1%22.7%0.0%0.8%3.5%571.1K-8.8M-69.8K0.00137.59N/AN/A708,0765,796
2013-12-27$30.84$30.0019.1%5.5%18.1%19.1%0.0%0.3%3.4%625.8K-9.0M-68.1K0.00102.59N/AN/A058,0825,796
2013-12-30$31.06$30.0015.8%4.5%18.1%9.0%0.0%2.2%-0.4%626.5K-9.7M-67.3K0.05104.06N/AN/A7648,0825,801
2013-12-31$31.18$30.0014.3%4.1%16.3%4.7%0.0%2.8%1.7%641.1K-10.1M-68.8K17.50102.39N/AN/A1001,7508,1585,803