EWI Options History — March 2014

In March 2014, EWI traded between $32.10 and $35.42. ATM implied volatility averaged 21.2%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 2.5% (HV 20d: 23.7%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.72.

Notable Days

  • 2014-03-31: Highest Volume — 2,615 contracts
  • 2014-03-28: Largest IV drop — 18.8% change
  • 2014-03-19: Highest IV Rank — 52.8%
  • 2014-03-19: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.06$32.10$35.42$32.10$35.42
Max Pain$33.24$30.00$34.00$30.00$34.00
ATM IV21.2%18.2%23.4%23.0%20.0%
Expected Move6.1%5.2%6.7%6.6%5.7%
HV 20d23.7%20.7%25.6%24.4%21.8%
HV 60d21.6%20.4%22.4%20.4%22.1%
IV Rank41.3%25.5%52.8%42.0%36.2%
IV Percentile39.2%12.7%59.9%52.4%28.6%
Term Structure0.1%-1.7%2.0%-0.7%-0.7%
VWIV21.2%15.0%26.7%22.9%21.7%
Skew 25d4.1%-2.5%10.0%0.7%3.1%
Skew 10d11.7%-4.0%79.6%-0.9%4.6%
Call IV 25d19.7%14.3%23.7%18.0%20.1%
Put IV 25d23.8%17.2%28.4%18.7%23.2%
Bid-Ask Spread %64.0223.4695.7623.4693.91
Gamma HHI0.310.260.380.290.36
Net GEX388.1K185.6K827.7K827.7K344.9K
Net DEX-16.2M-23.5M-3.2M-13.1M-7.2M
Net VEX-37.4K-43.9K-25.8K-42.0K-25.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.0010.940.720.01
Total Volume263.952172,6151,4642,615
Total OI15,211.5719,02018,04115,9649,118

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$32.10$30.0023.0%6.6%24.4%42.0%22.9%0.7%-0.7%827.7K-13.1M-42.0K0.7223.46N/AN/A8506147,8258,139
2014-03-04$33.18$30.0019.0%5.4%23.3%25.5%18.1%1.7%-1.1%581.7K-18.6M-40.1K4.8131.80N/AN/A16778,6658,723
2014-03-05$33.66$30.0019.0%5.4%23.1%30.9%15.0%4.1%-1.0%468.2K-20.4M-39.0K0.3736.13N/AN/A108408,6658,800
2014-03-06$34.20$30.0018.2%5.2%23.4%27.2%17.6%-2.5%1.7%383.6K-22.2M-35.8K4.0089.54N/AN/A10388,6658,839
2014-03-07$34.18$34.0019.8%5.8%21.6%34.8%0.0%5.0%0.3%400.0K-21.8M-39.6K0.0091.36N/AN/A0308,6758,845
2014-03-10$34.22$34.0022.0%6.0%21.3%46.0%20.7%3.7%1.1%362.4K-21.6M-39.6K10.9444.50N/AN/A9938,6758,875
2014-03-11$34.08$34.0021.1%6.1%21.1%41.5%21.0%1.7%0.5%366.4K-21.2M-40.3K0.0243.44N/AN/A29258,6828,968
2014-03-12$34.18$34.0021.9%6.2%20.7%45.4%0.0%3.8%0.7%392.6K-22.0M-40.7K0.5252.05N/AN/A36198,9138,972
2014-03-13$33.32$34.0023.2%6.6%23.0%51.7%15.5%5.4%-1.7%512.6K-19.5M-43.1K2.0734.71N/AN/A581208,9108,991
2014-03-14$33.42$34.0023.0%6.6%22.8%50.8%23.6%5.5%0.2%613.6K-19.0M-43.9K1.3042.68N/AN/A42558,9589,022
2014-03-17$34.36$34.0022.3%6.4%24.4%47.6%22.2%6.0%-0.2%287.2K-22.9M-36.4K0.4532.47N/AN/A28138,9749,061
2014-03-18$34.62$34.0022.1%6.3%24.5%46.5%26.7%5.3%0.6%245.4K-23.5M-37.4K0.8893.11N/AN/A988,9739,066
2014-03-19$34.02$34.0023.4%6.7%25.1%52.8%0.0%2.9%-0.9%228.9K-22.2M-35.4K0.2095.76N/AN/A64138,9759,066
2014-03-20$34.24$34.0022.9%6.6%25.0%50.7%23.0%5.0%-0.6%185.6K-22.6M-36.1K2.3843.16N/AN/A7168,9689,058
2014-03-21$33.80$34.0020.9%6.0%25.4%40.4%21.1%8.5%0.7%200.9K-21.3M-36.4K0.6138.95N/AN/A51318,9509,073
2014-03-24$34.00$34.0020.6%5.9%25.5%39.0%20.5%9.6%1.2%329.7K-3.2M-36.6K2.6490.42N/AN/A13333,4585,562
2014-03-25$34.32$34.0021.5%6.2%25.6%43.3%22.8%10.0%-0.6%339.9K-3.8M-36.1K0.8090.90N/AN/A1083,4655,593
2014-03-26$34.34$34.0020.3%5.8%25.2%37.3%22.8%4.0%2.0%352.8K-4.1M-35.4K0.0091.64N/AN/A5503,4645,595
2014-03-27$34.52$34.0022.6%6.5%25.2%49.2%23.1%-0.8%-0.4%359.6K-4.7M-33.9K0.0892.47N/AN/A1923,5045,595
2014-03-28$35.06$34.0018.4%5.3%25.6%27.9%22.6%3.0%1.3%367.0K-6.0M-31.4K1.5991.90N/AN/A14223,5235,595
2014-03-31$35.42$34.0020.0%5.7%21.8%36.2%21.7%3.1%-0.7%344.9K-7.2M-25.8K0.0193.91N/AN/A2,592233,5235,595