EWI Options History — April 2014

In April 2014, EWI traded between $34.54 and $36.08. ATM implied volatility averaged 19.2%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.3% (HV 20d: 20.5%). Max pain ranged from $32.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 33.98.

Notable Days

  • 2014-04-09: Highest Volume — 1,081 contracts
  • 2014-04-10: Largest IV spike — 25.5% change
  • 2014-04-10: Highest IV Rank — 46.8%
  • 2014-04-10: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.55$34.54$36.08$35.92$36.08
Max Pain$35.33$32.00$36.00$34.00$36.00
ATM IV19.2%16.7%22.2%19.6%19.2%
Expected Move5.6%4.8%6.4%5.6%5.5%
HV 20d20.5%19.4%21.5%19.5%20.4%
HV 60d22.6%21.0%23.6%22.2%21.0%
IV Rank32.1%19.7%46.8%33.8%32.8%
IV Percentile24.1%6.0%53.6%24.6%27.0%
Term Structure0.6%-0.8%2.2%0.4%-0.0%
VWIV19.2%14.9%21.8%15.9%20.8%
Skew 25d4.6%0.7%8.3%3.5%6.1%
Skew 10d12.5%-0.6%43.6%6.3%10.7%
Call IV 25d18.5%14.8%20.8%19.5%18.3%
Put IV 25d23.1%21.3%24.6%22.9%24.5%
Bid-Ask Spread %94.7888.0999.2096.5799.20
Gamma HHI0.510.360.690.370.69
Net GEX595.4K397.5K1.2M713.5K510.8K
Net DEX-7.9M-13.8M-3.5M-13.8M-5.3M
Net VEX-37.9K-46.0K-30.4K-38.7K-45.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio33.980.00599.330.900.34
Total Volume192.333131,08113543
Total OI11,243.85710,30711,97411,71911,786

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$35.92$34.0019.6%5.6%19.5%33.8%15.9%3.5%0.4%713.5K-13.8M-38.7K0.9096.57N/AN/A71646,1195,600
2014-04-02$35.40$34.0018.8%5.4%20.1%30.2%0.0%4.3%0.2%839.4K-12.5M-37.6K0.2992.59N/AN/A54166,1295,595
2014-04-03$35.76$34.0016.7%4.8%19.7%19.7%16.0%3.2%2.2%630.6K-10.3M-31.8K0.0095.70N/AN/A2504,9325,611
2014-04-04$35.62$32.0018.4%5.6%19.8%27.8%19.9%0.7%1.6%581.1K-9.9M-34.7K0.9291.90N/AN/A764,9555,611
2014-04-07$35.76$32.0018.9%5.7%19.8%30.6%20.0%3.6%1.0%574.3K-10.2M-32.9K9.5890.89N/AN/A121154,9585,610
2014-04-08$35.46$36.0018.1%5.8%20.1%26.4%0.0%3.4%0.5%699.1K-9.3M-33.0K0.5888.09N/AN/A18114,9555,721
2014-04-09$35.88$36.0017.7%5.5%20.4%24.3%19.2%1.9%1.8%542.9K-10.7M-30.4K1.0991.98N/AN/A5185634,9645,731
2014-04-10$34.78$36.0022.2%6.4%21.5%46.8%20.4%5.6%0.3%766.6K-7.3M-42.4K0.0090.85N/AN/A0795,4646,270
2014-04-11$34.78$36.0022.0%6.3%21.5%46.0%21.8%4.0%0.4%770.8K-7.2M-42.2K59.2093.47N/AN/A31485,4646,334
2014-04-14$35.06$36.0020.0%5.7%19.4%36.1%20.6%5.3%0.7%686.9K-8.7M-37.0K0.1095.55N/AN/A254265,4656,455
2014-04-15$34.54$36.0021.7%6.2%20.0%44.5%18.3%3.5%0.5%1.2M-6.4M-36.5K1.6494.49N/AN/A821345,4666,479
2014-04-16$35.54$36.0020.5%5.9%21.3%38.7%21.0%6.0%-0.2%397.5K-10.0M-37.6K1.6493.29N/AN/A46765,4456,437
2014-04-17$35.60$36.0018.4%5.3%21.3%28.0%0.0%4.0%1.5%438.6K-10.2M-37.8K0.2897.04N/AN/A2065,4656,509
2014-04-21$35.74$36.0018.6%5.3%20.5%29.5%14.9%8.3%1.6%430.7K-5.0M-35.6K0.6394.29N/AN/A40253,8506,457
2014-04-22$36.06$36.0018.5%5.3%20.6%29.3%18.6%6.2%-0.1%455.4K-5.9M-34.8K0.8196.56N/AN/A35293,8836,477
2014-04-23$35.76$36.0017.3%5.0%20.9%23.0%17.5%6.8%1.8%488.6K-5.0M-35.2K0.3396.16N/AN/A228753,8866,488
2014-04-24$35.84$36.0019.3%5.5%20.8%33.0%21.8%5.6%-0.1%474.1K-5.4M-37.9K599.3395.91N/AN/A28994,1116,554
2014-04-25$35.44$36.0019.1%5.5%21.3%32.4%0.0%4.1%0.2%398.3K-3.5M-44.8K0.5699.13N/AN/A28164,1097,442
2014-04-28$35.50$36.0018.2%5.2%20.7%27.5%20.4%4.1%-0.8%423.2K-3.7M-43.5K0.8998.34N/AN/A1131004,1157,449
2014-04-29$36.00$36.0019.5%5.6%20.9%34.4%19.6%6.0%-0.6%466.8K-5.3M-46.0K0.4798.42N/AN/A35174,2217,549
2014-04-30$36.08$36.0019.2%5.5%20.4%32.8%20.8%6.1%-0.0%510.8K-5.3M-45.3K0.3499.20N/AN/A32114,2217,565