EWI Options History — February 2014

In February 2014, EWI traded between $30.08 and $33.36. ATM implied volatility averaged 20.9%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 3.4% (HV 20d: 24.3%). Max pain ranged from $28.00 to $32.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.15.

Notable Days

  • 2014-02-25: Highest Volume — 3,701 contracts
  • 2014-02-13: Largest IV spike — 23.7% change
  • 2014-02-03: Highest IV Rank — 46.4%
  • 2014-02-03: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.45$30.08$33.36$30.08$33.20
Max Pain$29.58$28.00$32.00$32.00$30.00
ATM IV20.9%16.5%28.2%28.2%18.7%
Expected Move6.0%5.2%8.1%8.1%5.4%
HV 20d24.3%21.2%26.2%23.5%21.2%
HV 60d19.9%18.9%20.4%20.2%19.3%
IV Rank25.4%11.2%46.4%46.4%24.2%
IV Percentile31.5%5.2%77.8%77.8%15.9%
Term Structure0.0%-2.3%2.1%-1.6%-1.2%
VWIV21.7%18.6%28.6%28.6%20.7%
Skew 25d3.2%0.3%6.4%4.6%4.2%
Skew 10d6.8%-1.9%37.7%6.3%2.3%
Call IV 25d20.6%18.2%28.5%28.5%19.0%
Put IV 25d23.7%19.3%33.0%33.0%23.3%
Bid-Ask Spread %41.1322.2357.4722.2333.72
Gamma HHI0.400.290.490.320.30
Net GEX791.8K575.4K1.1M575.4K672.2K
Net DEX-17.1M-24.0M-4.6M-4.6M-17.6M
Net VEX-49.2K-67.3K-30.9K-67.3K-36.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.005.480.180.00
Total Volume399.57963,7014669
Total OI17,175.84215,82718,16616,65115,961

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$30.08$32.0028.2%8.1%23.5%46.4%28.6%4.6%-1.6%575.4K-4.6M-67.3K0.1822.23N/AN/A395718,8077,844
2014-02-04$30.62$30.0027.5%7.9%24.2%44.2%25.1%0.3%-2.3%765.5K-7.2M-65.8K0.7128.41N/AN/A32239,1787,897
2014-02-05$30.78$30.0026.6%7.6%23.7%41.4%26.8%1.2%-0.0%786.7K-8.7M-66.9K0.1626.14N/AN/A210339,1957,911
2014-02-06$31.72$30.0023.3%6.7%26.0%31.7%23.1%6.4%-1.3%931.5K-13.7M-62.8K3.9029.22N/AN/A542099,3757,933
2014-02-07$32.14$28.0023.9%6.3%26.2%33.5%23.7%4.7%0.3%910.1K-16.1M-59.3K5.4856.01N/AN/A1307139,3938,118
2014-02-10$31.90$28.0021.5%6.3%26.1%26.3%21.8%2.9%1.2%949.8K-14.9M-62.2K4.3357.47N/AN/A279,4738,563
2014-02-11$32.34$28.0021.1%6.1%25.9%25.0%22.8%4.9%1.4%963.2K-17.6M-56.7K3.3649.77N/AN/A20669,4738,565
2014-02-12$32.52$28.0016.5%5.7%25.4%11.2%19.6%3.1%1.8%1.1M-19.1M-53.1K0.3853.68N/AN/A27109,4748,627
2014-02-13$32.82$28.0020.4%5.9%25.1%23.0%20.8%3.6%0.4%906.0K-20.9M-51.4K0.3455.81N/AN/A257899,4918,637
2014-02-14$33.26$30.0019.5%5.6%25.4%20.2%21.1%3.0%0.6%735.9K-23.0M-48.3K0.0448.47N/AN/A1,114449,4918,675
2014-02-18$33.36$30.0018.6%5.3%25.2%17.4%19.1%2.9%1.0%777.7K-24.0M-39.9K0.2647.24N/AN/A41119,3568,677
2014-02-19$33.02$30.0020.5%5.9%25.4%23.3%21.4%3.5%-0.2%825.4K-21.9M-44.4K0.2949.16N/AN/A2579,2888,685
2014-02-20$33.32$30.0018.2%5.2%25.5%16.3%19.4%5.1%1.2%737.3K-22.3M-37.8K2.0039.97N/AN/A248,7438,630
2014-02-21$33.18$30.0019.2%5.5%25.6%19.3%20.7%2.8%0.6%660.1K-21.8M-38.4K0.0139.24N/AN/A7618,7378,633
2014-02-24$33.20$30.0018.2%5.2%22.5%16.2%18.6%3.3%-0.5%628.3K-19.1M-36.6K0.2539.37N/AN/A2677,7228,139
2014-02-25$33.22$30.0018.0%5.2%22.4%15.8%18.8%2.1%-1.2%693.6K-19.8M-30.9K0.0034.73N/AN/A3,70107,7428,133
2014-02-26$32.86$30.0018.8%5.4%22.1%21.8%19.3%0.3%2.1%700.7K-16.4M-38.3K0.1137.89N/AN/A147167,6948,133
2014-02-27$33.02$30.0019.0%5.4%21.2%25.2%0.0%1.2%-2.3%772.5K-16.9M-38.0K0.0032.91N/AN/A1307,8098,139
2014-02-28$33.20$30.0018.7%5.4%21.2%24.2%20.7%4.2%-1.2%672.2K-17.6M-36.4K0.0033.72N/AN/A907,8228,139