EWI Options History — July 2014

In July 2014, EWI traded between $32.68 and $35.52. ATM implied volatility averaged 18.9%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.4% (HV 20d: 20.2%). Max pain ranged from $32.00 to $38.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.01.

Notable Days

  • 2014-07-08: Highest Volume — 1,167 contracts
  • 2014-07-17: Largest IV spike — 38.4% change
  • 2014-07-31: Highest IV Rank — 63.7%
  • 2014-07-17: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.85$32.68$35.52$35.24$32.68
Max Pain$34.30$32.00$38.00$38.00$32.00
ATM IV18.9%15.2%23.6%16.0%23.6%
Expected Move5.6%4.3%6.8%4.6%6.6%
HV 20d20.2%13.3%25.6%15.6%25.6%
HV 60d19.6%17.9%21.2%18.7%21.2%
IV Rank35.9%13.9%63.7%18.9%63.7%
IV Percentile35.4%4.8%88.9%6.7%88.9%
Term Structure0.4%-1.7%1.5%-0.4%0.1%
VWIV20.6%15.5%24.8%18.0%24.3%
Skew 25d5.1%-2.0%9.4%2.9%3.7%
Skew 10d8.0%-3.2%16.8%3.6%5.3%
Call IV 25d17.7%14.3%21.2%17.1%21.2%
Put IV 25d22.8%15.3%28.1%20.0%24.9%
Bid-Ask Spread %46.1212.3094.9315.7760.36
Gamma HHI0.300.270.310.300.28
Net GEX-238.8K-334.1K-118.3K-173.2K-295.1K
Net DEX9.6M5.7M13.1M6.3M10.8M
Net VEX-58.9K-63.9K-52.1K-63.7K-52.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.0013.961.1113.96
Total Volume175.54521,16757374
Total OI11,062.09110,33711,61310,38111,495

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$35.24$38.0016.0%4.6%15.6%18.9%18.0%2.9%-0.4%-173.2K6.3M-63.7K1.1115.77N/AN/A27303,3017,080
2014-07-02$35.38$38.0015.2%4.3%15.7%13.9%16.4%4.4%-0.4%-144.1K6.1M-63.1K0.0019.85N/AN/A203,2997,108
2014-07-03$35.52$38.0015.6%4.5%13.3%16.6%15.5%-2.0%1.1%-127.6K5.7M-63.9K2.2222.07N/AN/A9203,3007,108
2014-07-07$34.64$34.0020.4%5.5%14.3%45.3%18.7%4.5%0.2%-209.7K8.0M-60.0K0.0294.93N/AN/A7923,3077,111
2014-07-08$33.86$34.0019.6%5.6%15.7%40.0%20.4%6.2%-0.0%-287.6K10.5M-56.7K0.9342.24N/AN/A6065613,3297,112
2014-07-09$34.16$34.0019.8%5.5%16.3%41.4%23.5%4.6%0.2%-253.1K10.9M-62.2K0.0416.00N/AN/A2613,8777,620
2014-07-10$33.52$34.0019.2%5.5%16.6%38.1%21.1%7.4%0.1%-307.9K12.4M-59.4K0.0612.30N/AN/A224143,8997,621
2014-07-11$33.68$34.0018.4%5.3%16.8%33.0%21.9%6.6%1.3%-280.6K12.0M-60.7K1.1736.54N/AN/A673,9467,627
2014-07-14$33.58$34.0018.6%5.3%16.8%34.1%0.0%7.3%0.6%-280.4K11.9M-60.0K0.0012.83N/AN/A023,9497,633
2014-07-15$33.16$34.0019.3%5.5%17.1%38.2%17.3%5.5%-0.1%-334.1K13.1M-55.2K0.0439.90N/AN/A12763,9497,633
2014-07-16$34.00$34.0017.0%4.9%19.9%25.0%17.2%7.0%1.5%-248.9K11.0M-59.4K0.0534.04N/AN/A3023,9767,637
2014-07-17$32.94$34.0023.5%6.8%21.7%63.6%18.6%9.4%-1.7%-317.4K13.1M-56.7K2.6437.37N/AN/A24623,9637,617
2014-07-18$33.58$34.0018.9%5.4%23.2%36.3%22.8%4.7%1.0%-286.6K12.3M-56.6K6.6747.19N/AN/A3203,9837,589
2014-07-21$33.02$0.0019.1%6.1%23.6%37.6%0.0%7.1%0.6%-306.5K9.8M-55.9K0.2477.80N/AN/A1743,6716,666
2014-07-22$33.40$0.0018.7%6.1%24.2%34.8%21.5%3.6%1.1%-294.8K9.1M-55.6K1.0360.43N/AN/A71733,6876,670
2014-07-23$33.50$36.0018.7%6.0%24.2%35.1%23.6%2.5%-0.5%-284.0K8.9M-56.7K1.1460.48N/AN/A21243,7536,706
2014-07-24$34.12$32.0017.5%6.0%25.1%28.0%0.0%1.2%1.0%-215.3K7.2M-59.9K0.0169.30N/AN/A1,140123,7596,716
2014-07-25$33.94$32.0018.0%6.1%25.1%30.7%20.5%6.8%0.3%-118.3K7.2M-62.1K1.7858.04N/AN/A591044,5756,715
2014-07-28$33.76$34.0019.2%6.1%25.1%37.9%23.3%6.0%0.6%-141.5K8.0M-58.9K4.8967.09N/AN/A5224,6206,816
2014-07-29$33.62$34.0019.3%6.0%25.2%38.4%21.1%5.5%1.3%-167.5K8.0M-59.0K1.7160.71N/AN/A11184,6246,838
2014-07-30$33.50$32.0019.6%6.0%24.5%40.4%24.8%6.7%0.2%-180.1K8.4M-58.4K2.4069.40N/AN/A5124,6356,846
2014-07-31$32.68$32.0023.6%6.6%25.6%63.7%24.3%3.7%0.1%-295.1K10.8M-52.1K13.9660.36N/AN/A253494,6406,855