EWI Options History — May 2014

In May 2014, EWI traded between $33.26 and $36.04. ATM implied volatility averaged 18.7%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.4% (HV 20d: 18.3%). Max pain ranged from $32.00 to $36.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.36.

Notable Days

  • 2014-05-06: Highest Volume — 1,283 contracts
  • 2014-05-15: Largest IV spike — 48.3% change
  • 2014-05-09: Highest IV Rank — 57.1%
  • 2014-05-27: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.66$33.26$36.04$36.04$35.36
Max Pain$33.05$32.00$36.00$36.00$34.00
ATM IV18.7%13.3%24.0%19.0%18.6%
Expected Move5.5%5.0%6.1%5.4%5.3%
HV 20d18.3%15.6%21.8%19.6%21.3%
HV 60d20.7%19.9%22.5%20.8%20.2%
IV Rank29.9%2.4%57.1%31.5%29.4%
IV Percentile27.2%0.4%80.2%23.4%21.4%
Term Structure0.4%-1.8%2.3%-0.4%-0.6%
VWIV19.6%16.5%23.8%18.8%19.9%
Skew 25d4.5%-3.1%10.2%-2.6%3.7%
Skew 10d8.3%-4.2%19.8%-4.2%4.7%
Call IV 25d17.4%14.4%20.1%18.7%19.5%
Put IV 25d21.9%16.0%24.6%16.1%23.2%
Bid-Ask Spread %41.2721.7898.3098.3030.80
Gamma HHI0.420.230.690.690.32
Net GEX234.0K-97.6K577.4K518.3K196.5K
Net DEX-1.9M-5.3M2.1M-5.3M-5.3M
Net VEX-41.4K-45.0K-36.7K-44.7K-41.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.360.0215.640.282.88
Total Volume264.429101,2832647
Total OI12,024.85710,93512,54811,77212,548

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$36.04$36.0019.0%5.4%19.6%31.5%0.0%-2.6%-0.4%518.3K-5.3M-44.7K0.2898.30N/AN/A2064,2097,563
2014-05-02$35.92$36.0018.8%5.4%19.4%30.7%18.8%-3.1%-0.6%538.6K-5.1M-45.0K0.0030.31N/AN/A0304,2227,568
2014-05-05$35.72$32.0019.8%5.3%19.4%35.7%19.2%4.4%2.3%536.2K-4.6M-43.1K4.7334.71N/AN/A11524,2227,593
2014-05-06$35.60$32.0019.0%5.6%19.4%31.7%23.8%4.6%0.6%546.0K-4.0M-44.1K0.0286.64N/AN/A1,254294,2207,644
2014-05-07$35.26$32.0014.5%5.4%19.5%8.5%21.5%7.2%0.9%465.0K-2.7M-43.5K2.1731.64N/AN/A374,2197,645
2014-05-08$35.44$32.0018.6%5.5%19.1%29.3%20.0%6.6%1.3%577.4K-3.3M-43.6K0.4884.68N/AN/A39194,2227,650
2014-05-09$34.86$32.0024.0%5.7%16.5%57.1%18.4%4.9%1.3%334.2K-1.6M-41.1K0.1937.77N/AN/A4994,2207,654
2014-05-12$34.96$32.0017.9%5.8%16.5%26.1%18.5%5.5%1.0%282.9K-1.5M-39.2K1.2124.15N/AN/A1351634,2287,658
2014-05-13$34.54$32.0013.7%5.5%16.8%4.5%19.6%2.2%1.4%16.5K-308.0K-40.1K12.2833.78N/AN/A253074,3327,809
2014-05-14$34.30$32.0013.3%5.5%16.1%2.4%17.9%3.6%1.2%-21.9K421.9K-40.9K0.3287.57N/AN/A91304,3517,967
2014-05-15$33.26$32.0019.7%5.6%15.8%35.1%19.9%6.1%1.7%-97.6K2.1M-39.5K15.6426.10N/AN/A497594,4097,916
2014-05-16$33.62$32.0019.4%5.5%16.5%33.5%19.4%3.1%0.4%-3711.3M-36.7K0.4529.96N/AN/A2321054,4427,722
2014-05-19$33.44$32.0018.9%5.4%16.3%31.0%18.7%5.2%0.9%-19.6K1.1M-36.7K0.1634.10N/AN/A6761103,2417,694
2014-05-20$33.32$32.0020.9%6.0%15.6%41.3%20.9%8.0%-1.8%29.2K1.2M-39.1K0.4133.29N/AN/A2901183,6687,804
2014-05-21$33.76$34.0019.9%5.7%16.7%36.4%20.1%9.1%-0.4%126.6K-245.8K-40.3K0.5325.23N/AN/A2721453,9507,891
2014-05-22$33.28$34.0019.1%5.5%17.0%32.0%19.7%5.9%0.5%139.5K1.0M-40.3K11.4129.55N/AN/A111264,2098,020
2014-05-23$33.88$34.0020.3%5.8%18.4%38.0%20.0%10.2%-0.9%139.1K-663.8K-43.1K1.5421.78N/AN/A701084,2138,096
2014-05-27$34.94$34.0021.3%6.1%21.8%43.3%21.5%4.7%0.3%198.3K-3.8M-42.9K0.1422.02N/AN/A77114,2838,179
2014-05-28$35.08$34.0017.5%5.0%21.2%23.8%16.5%3.5%-0.2%199.0K-4.4M-42.2K3.0030.83N/AN/A8234,3328,187
2014-05-29$35.18$34.0018.1%5.2%21.2%27.3%18.1%2.3%-0.9%210.0K-4.7M-41.1K9.2933.39N/AN/A4334,3378,185
2014-05-30$35.36$34.0018.6%5.3%21.3%29.4%19.9%3.7%-0.6%196.5K-5.3M-41.2K2.8830.80N/AN/A12354,3408,208