EWI Options History — August 2014

In August 2014, EWI traded between $30.26 and $32.86. ATM implied volatility averaged 22.9%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 3.1% (HV 20d: 26.0%). Max pain ranged from $32.00 to $32.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.18.

Notable Days

  • 2014-08-26: Highest Volume — 1,020 contracts
  • 2014-08-21: Largest IV drop — 20.8% change
  • 2014-08-08: Highest IV Rank — 100.0%
  • 2014-08-11: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.44$30.26$32.86$32.48$31.94
Max Pain$32.00$32.00$32.00$32.00$32.00
ATM IV22.9%17.1%35.7%26.4%17.5%
Expected Move6.6%6.1%7.3%6.7%6.2%
HV 20d26.0%23.9%29.5%25.4%24.7%
HV 60d22.3%21.1%23.7%21.1%21.7%
IV Rank49.6%18.8%100.0%80.2%20.3%
IV Percentile64.5%11.1%100.0%96.4%14.7%
Term Structure0.5%-1.7%2.2%-1.7%2.0%
VWIV24.2%21.1%28.8%21.4%24.1%
Skew 25d7.3%1.6%12.1%1.6%10.0%
Skew 10d13.0%1.6%30.2%1.6%30.2%
Call IV 25d18.7%10.2%25.6%25.6%13.7%
Put IV 25d26.0%20.8%30.5%27.2%23.8%
Bid-Ask Spread %66.6356.0180.3968.3874.41
Gamma HHI0.270.250.330.270.26
Net GEX-403.9K-508.0K-287.9K-304.4K-508.0K
Net DEX13.2M11.2M15.0M11.4M12.9M
Net VEX-43.8K-54.5K-36.8K-54.5K-50.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.0613.890.764.97
Total Volume224.52431,02088410
Total OI12,970.76211,85314,65411,85314,654

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$32.48$32.0026.4%6.7%25.4%80.2%21.4%1.6%-1.7%-304.4K11.4M-54.5K0.7668.38N/AN/A50384,6547,199
2014-08-04$32.86$32.0027.6%6.7%24.8%87.3%28.8%8.9%0.0%-327.4K11.3M-53.8K0.5670.39N/AN/A18104,6847,227
2014-08-05$31.48$32.0023.1%6.7%27.8%60.7%26.6%7.2%0.5%-356.0K13.4M-45.3K1.0962.88N/AN/A85934,6987,237
2014-08-06$31.12$32.0022.7%6.7%27.5%58.5%27.3%7.0%-0.7%-344.1K13.8M-44.9K0.4356.01N/AN/A4101754,7547,273
2014-08-07$30.26$32.0025.9%7.1%28.3%77.8%25.1%7.2%-0.4%-338.4K15.0M-38.5K0.9767.10N/AN/A3183075,1167,420
2014-08-08$30.86$32.0030.3%7.1%29.5%100.0%22.3%4.5%-0.4%-287.9K13.7M-45.6K1.0059.47N/AN/A44445,4197,665
2014-08-11$30.78$32.0035.7%7.3%29.5%100.0%24.0%6.1%-0.1%-339.1K14.0M-42.3K0.6658.90N/AN/A42285,4527,671
2014-08-12$30.88$32.0028.3%7.1%29.4%67.6%24.0%7.8%0.0%-343.2K13.9M-42.2K0.7059.02N/AN/A40285,4687,674
2014-08-13$30.96$32.0023.2%7.1%27.6%45.5%0.0%8.0%0.4%-369.7K14.0M-41.3K0.1161.68N/AN/A90105,4687,663
2014-08-14$30.92$32.0024.0%7.0%25.7%48.9%28.5%7.8%0.2%-389.5K13.9M-41.1K3.7462.62N/AN/A16585,3827,589
2014-08-15$30.84$32.0023.9%6.9%24.3%48.5%24.2%7.1%0.9%-384.2K14.0M-41.3K9.4467.80N/AN/A232135,3767,608
2014-08-18$31.26$32.0021.1%6.5%24.6%36.1%24.9%8.5%1.3%-414.9K13.5M-41.9K1.1673.69N/AN/A1001165,1867,625
2014-08-19$31.08$32.0018.8%6.2%24.0%26.3%0.0%3.9%2.2%-451.6K14.0M-38.0K0.0661.91N/AN/A5135,1987,670
2014-08-20$30.94$32.0022.5%6.6%23.9%42.5%22.6%3.1%-0.3%-446.4K14.3M-36.8K0.9166.32N/AN/A16155,2487,673
2014-08-21$31.54$32.0017.8%6.2%24.0%22.0%0.0%6.1%1.2%-468.1K13.6M-38.2K0.2373.76N/AN/A3075,2457,687
2014-08-22$31.44$32.0017.4%6.3%24.0%20.2%21.9%6.8%2.1%-460.1K13.2M-40.6K1.5073.39N/AN/A125,2657,686
2014-08-25$32.00$32.0018.3%6.1%25.2%24.0%0.0%8.3%1.1%-468.8K12.2M-41.2K13.8980.39N/AN/A192645,2667,687
2014-08-26$32.22$32.0018.4%6.2%25.4%24.6%21.1%12.1%-0.0%-503.2K12.0M-43.1K0.8567.78N/AN/A5524685,2747,945
2014-08-27$32.46$32.0017.1%6.2%25.6%18.8%21.4%11.6%2.2%-493.4K11.2M-50.0K0.3566.48N/AN/A29105,7758,402
2014-08-28$31.92$32.0020.2%6.1%24.8%32.3%23.8%10.2%-0.5%-484.2K12.8M-48.6K2.3666.84N/AN/A1443385,7938,410
2014-08-29$31.94$32.0017.5%6.2%24.7%20.3%24.1%10.0%2.0%-508.0K12.9M-50.2K4.9774.41N/AN/A693415,9138,741