EWI Options History — June 2014

In June 2014, EWI traded between $34.76 and $36.88. ATM implied volatility averaged 18.3%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 1.1% (HV 20d: 19.4%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 8.84.

Notable Days

  • 2014-06-23: Highest Volume — 2,061 contracts
  • 2014-06-09: Largest IV spike — 36.0% change
  • 2014-06-26: Highest IV Rank — 41.9%
  • 2014-06-03: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.81$34.76$36.88$35.62$34.76
Max Pain$35.14$34.00$38.00$34.00$38.00
ATM IV18.3%14.5%20.6%19.9%18.2%
Expected Move5.4%4.5%5.9%5.7%5.2%
HV 20d19.4%14.7%23.3%21.5%14.9%
HV 60d19.5%18.5%20.7%20.0%18.5%
IV Rank29.2%8.7%41.9%36.4%32.1%
IV Percentile24.4%4.4%50.4%40.1%20.2%
Term Structure0.5%-2.4%1.9%-0.9%1.3%
VWIV20.6%15.3%29.2%20.1%18.8%
Skew 25d4.2%-0.7%9.2%2.9%-0.7%
Skew 10d3.1%-2.8%15.2%6.3%-1.3%
Call IV 25d17.4%15.3%20.6%19.3%19.3%
Put IV 25d21.6%18.6%24.5%22.3%18.6%
Bid-Ask Spread %39.4416.0296.8140.3416.37
Gamma HHI0.300.230.420.330.30
Net GEX101.5K-200.5K385.1K189.4K-194.4K
Net DEX-3.1M-9.0M7.8M-5.8M7.8M
Net VEX-46.9K-64.0K-37.2K-39.0K-62.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.840.0095.816.090.46
Total Volume419.1982,06112174
Total OI12,418.0487,54114,86112,54710,333

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$35.62$34.0019.9%5.7%21.5%36.4%20.1%2.9%-0.9%189.4K-5.8M-39.0K6.0940.34N/AN/A171044,3278,220
2014-06-03$35.34$34.0020.6%5.9%21.6%39.7%22.4%3.3%-2.4%187.5K-5.2M-40.4K0.0738.34N/AN/A758544,3348,269
2014-06-04$35.32$34.0020.2%5.8%21.6%37.5%21.7%3.8%-1.0%171.5K-4.7M-39.7K3.5821.55N/AN/A371334,2418,292
2014-06-05$36.14$34.0018.1%5.2%22.8%27.3%18.1%9.2%0.6%154.2K-6.9M-38.1K0.8926.50N/AN/A2552264,2658,383
2014-06-06$36.72$34.0014.5%5.6%23.3%8.7%19.7%5.1%-0.4%103.7K-8.6M-37.2K1.6245.31N/AN/A1973204,3898,495
2014-06-09$36.88$34.0019.7%5.6%22.3%35.4%0.0%3.9%-0.0%110.0K-8.8M-38.0K0.0033.56N/AN/A53804,5568,607
2014-06-10$36.60$34.0017.8%5.4%22.6%25.6%20.0%2.5%0.1%186.4K-9.0M-40.4K10.6344.31N/AN/A101015,0628,607
2014-06-11$36.00$34.0017.8%5.8%23.1%25.4%19.6%4.8%-0.2%198.7K-7.3M-41.8K0.0538.11N/AN/A229125,0598,694
2014-06-12$35.92$34.0018.4%5.3%22.9%28.6%24.1%2.8%1.5%232.6K-7.1M-42.6K9.4338.07N/AN/A1121,0575,2098,696
2014-06-13$35.92$34.0019.4%5.6%19.3%33.7%23.0%3.3%0.6%125.7K-5.3M-52.5K0.5837.54N/AN/A1385,1409,702
2014-06-16$35.90$34.0018.8%5.4%19.2%30.6%0.0%5.4%1.9%83.9K-5.4M-51.1K0.5038.08N/AN/A535,1469,700
2014-06-17$35.96$34.0018.6%5.3%18.9%29.5%19.4%5.3%1.7%114.0K-5.3M-50.8K1.1992.85N/AN/A16195,1439,697
2014-06-18$36.34$34.0019.0%5.4%18.9%31.5%29.2%7.7%0.6%120.4K-6.4M-51.0K0.0540.21N/AN/A11865,1459,716
2014-06-19$36.42$34.0017.5%5.0%18.6%24.2%19.4%6.8%0.8%189.0K-7.2M-47.2K0.1243.90N/AN/A2535,1619,566
2014-06-20$36.06$36.0016.3%4.7%18.1%17.9%15.3%4.4%1.9%385.1K-2.0M-46.8K0.2554.91N/AN/A48124,0739,534
2014-06-23$35.76$36.0016.6%4.7%17.8%20.4%22.2%7.0%0.5%90.0K508.0K-45.5K14.4916.02N/AN/A1331,9283,3564,185
2014-06-24$35.50$38.0018.4%5.3%14.7%30.3%23.8%3.7%0.8%19.9K3.3M-45.8K35.7524.97N/AN/A281,0013,4694,947
2014-06-25$35.08$38.0015.8%4.5%15.3%17.4%18.1%3.3%1.7%-61.2K5.0M-55.5K2.8096.81N/AN/A25693,4045,937
2014-06-26$34.90$38.0019.9%5.7%15.4%41.9%16.6%2.5%-0.1%-75.0K5.5M-55.5K95.8116.52N/AN/A111,0063,3986,004
2014-06-27$34.82$38.0019.3%5.5%15.2%38.2%18.8%0.7%1.3%-200.5K7.5M-64.0K1.3824.07N/AN/A39533,3137,005
2014-06-30$34.76$38.0018.2%5.2%14.9%32.1%0.0%-0.7%1.3%-194.4K7.8M-62.6K0.4616.37N/AN/A51233,3137,020