EWI Options History — January 2014

In January 2014, EWI traded between $30.66 and $32.34. ATM implied volatility averaged 18.9%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.1% (HV 20d: 16.8%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.30.

Notable Days

  • 2014-01-31: Highest Volume — 614 contracts
  • 2014-01-09: Largest IV spike — 51.0% change
  • 2014-01-03: Highest IV Rank — 30.8%
  • 2014-01-03: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.57$30.66$32.34$30.66$31.08
Max Pain$30.86$30.00$32.00$30.00$32.00
ATM IV18.9%13.6%23.1%22.2%22.9%
Expected Move5.7%5.0%6.6%6.4%6.6%
HV 20d16.8%14.5%20.9%16.9%20.3%
HV 60d18.7%18.0%19.5%18.6%19.3%
IV Rank18.4%2.3%30.8%28.2%30.3%
IV Percentile20.5%0.4%48.0%38.9%45.6%
Term Structure0.8%-1.7%3.1%0.6%-0.0%
VWIV21.0%14.2%39.8%20.5%23.0%
Skew 25d5.5%1.6%24.5%9.5%1.6%
Skew 10d12.4%1.4%77.1%8.0%2.6%
Call IV 25d16.9%12.7%22.2%14.4%22.2%
Put IV 25d22.4%15.9%41.1%23.9%23.8%
Bid-Ask Spread %90.0815.06102.5899.3815.06
Gamma HHI0.360.320.450.320.34
Net GEX677.7K495.3K973.5K495.3K654.4K
Net DEX-11.1M-14.9M-7.1M-7.1M-8.2M
Net VEX-69.2K-79.5K-61.5K-79.5K-68.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.300.0032.009.600.06
Total Volume95.762661453614
Total OI15,927.28615,65416,28515,71016,285

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$30.66$30.0022.2%6.4%16.9%28.2%0.0%9.5%0.6%495.3K-7.1M-79.5K9.6099.38N/AN/A5488,1577,553
2014-01-03$30.76$30.0023.1%6.6%16.8%30.8%0.0%24.5%-1.7%522.9K-7.7M-78.9K2.67102.58N/AN/A248,1627,601
2014-01-06$31.04$30.0014.4%6.0%15.7%4.8%0.0%2.7%-1.0%564.1K-9.1M-75.6K0.0091.43N/AN/A1208,1647,605
2014-01-07$31.46$30.0019.6%5.4%15.5%20.3%20.5%4.8%2.4%629.3K-10.5M-71.6K0.0091.35N/AN/A0118,1667,605
2014-01-08$31.22$30.0013.6%5.7%15.9%2.3%0.0%3.8%1.3%536.0K-9.4M-75.0K0.0595.97N/AN/A6538,1667,615
2014-01-09$31.52$30.0020.5%5.8%16.1%23.1%19.9%4.0%0.4%649.9K-10.6M-71.0K0.0094.35N/AN/A4908,1627,614
2014-01-10$31.84$30.0016.0%5.3%14.7%9.5%0.0%6.7%1.0%634.8K-12.0M-70.3K1.0494.50N/AN/A12128,1827,614
2014-01-13$31.36$30.0014.4%5.6%15.4%4.7%19.8%4.9%1.4%614.9K-10.2M-72.7K0.1694.10N/AN/A2958,1717,626
2014-01-14$31.86$30.0019.9%5.5%15.9%21.4%18.9%6.2%1.6%631.2K-12.0M-69.8K0.1596.15N/AN/A2448,1827,630
2014-01-15$32.34$30.0013.8%5.5%15.2%3.0%18.9%3.2%1.0%602.6K-13.5M-64.9K0.0097.51N/AN/A27518,0527,602
2014-01-16$32.22$30.0018.3%5.2%14.5%16.4%19.1%2.5%2.3%820.4K-13.5M-66.3K0.0096.61N/AN/A2908,2807,602
2014-01-17$32.02$30.0017.4%5.0%14.8%14.0%17.4%6.5%3.1%973.5K-12.7M-68.5K0.1396.32N/AN/A301408,3077,602
2014-01-21$32.30$32.0018.2%5.2%14.9%16.2%18.2%3.6%2.2%779.5K-14.9M-61.6K1.9898.63N/AN/A28558,3737,582
2014-01-22$32.18$32.0018.0%5.2%15.1%15.6%15.3%3.2%1.3%774.3K-14.5M-62.8K2.7396.24N/AN/A8218,4007,634
2014-01-23$32.22$32.0019.6%5.6%14.7%20.5%14.2%3.6%-0.1%829.5K-14.8M-61.5K3.4495.40N/AN/A9318,4067,654
2014-01-24$31.22$32.0020.6%5.9%19.0%23.6%0.0%4.1%-0.2%704.3K-10.2M-68.2K4.2796.83N/AN/A17718,4057,679
2014-01-27$31.16$32.0019.9%5.7%19.0%21.3%20.9%6.8%1.0%706.3K-9.7M-67.2K0.2799.47N/AN/A1548,4147,684
2014-01-28$31.78$32.0020.6%5.9%20.2%23.5%39.8%5.3%1.2%691.6K-11.7M-65.6K5.25100.70N/AN/A201058,4177,686
2014-01-29$31.30$32.0023.0%6.6%20.9%30.8%24.9%3.0%-1.4%659.3K-9.9M-67.5K2.2099.95N/AN/A5118,4377,774
2014-01-30$31.42$32.0021.6%6.2%20.9%26.5%24.5%4.2%-0.0%757.9K-10.8M-65.9K32.0039.06N/AN/A2648,4397,784
2014-01-31$31.08$32.0022.9%6.6%20.3%30.3%23.0%1.6%-0.0%654.4K-8.2M-68.3K0.0615.06N/AN/A578368,4397,846