EWI Options History — September 2014

In September 2014, EWI traded between $30.94 and $32.96. ATM implied volatility averaged 20.9%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.9% (HV 20d: 16.0%). 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 15 of 21 days. Put/call ratio averaged 4.32.

Notable Days

  • 2014-09-08: Highest Volume — 1,807 contracts
  • 2014-09-25: Largest IV spike — 29.5% change
  • 2014-09-25: Highest IV Rank — 50.1%
  • 2014-09-25: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.04$30.94$32.96$31.94$31.38
Max Pain$32.00$32.00$32.00$32.00$32.00
ATM IV20.9%18.7%24.5%21.8%21.0%
Expected Move6.2%5.8%6.6%6.3%6.4%
HV 20d16.0%13.8%24.3%24.3%17.1%
HV 60d21.7%21.3%22.4%21.3%22.0%
IV Rank34.3%24.2%50.1%39.4%34.2%
IV Percentile64.5%31.3%94.8%73.4%71.8%
Term Structure0.3%-2.0%1.5%-1.4%0.7%
VWIV22.3%19.5%25.6%25.6%22.6%
Skew 25d7.4%2.9%23.0%11.1%2.9%
Skew 10d13.6%2.2%73.2%45.8%4.6%
Call IV 25d17.9%12.8%21.4%16.1%21.0%
Put IV 25d25.3%22.1%36.5%27.2%23.9%
Bid-Ask Spread %72.5064.0284.3967.1375.42
Gamma HHI0.250.230.330.260.25
Net GEX-605.0K-816.7K-510.2K-510.2K-594.5K
Net DEX14.2M11.1M16.7M13.1M15.5M
Net VEX-61.3K-70.8K-52.6K-52.6K-56.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.320.0938.690.420.80
Total Volume290.095101,8074314
Total OI15,416.52411,98417,94515,06312,359

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$31.94$32.0021.8%6.3%24.3%39.4%0.0%11.1%-1.4%-510.2K13.1M-52.6K0.4267.13N/AN/A30135,9829,081
2014-09-03$32.44$32.0020.7%6.3%19.4%34.6%25.6%12.8%0.6%-513.4K11.6M-53.9K38.6967.96N/AN/A321,2386,0049,087
2014-09-04$32.78$32.0021.3%6.2%19.0%37.0%24.5%23.0%0.6%-517.2K11.3M-57.2K6.0766.46N/AN/A553315,9919,788
2014-09-05$32.96$32.0021.2%6.3%15.2%36.5%19.5%6.2%0.3%-573.1K11.1M-58.9K3.1467.07N/AN/A1033226,00410,006
2014-09-08$32.54$32.0023.1%6.4%15.2%44.7%22.9%5.3%1.0%-591.3K12.5M-56.3K6.2464.15N/AN/A2501,5575,94110,009
2014-09-09$32.48$32.0020.9%6.4%15.2%35.4%21.5%4.3%0.4%-622.6K14.1M-69.3K0.4964.02N/AN/A166816,15311,548
2014-09-10$32.48$32.0023.2%6.2%15.2%45.5%22.4%6.2%0.5%-631.3K13.8M-70.8K4.0075.74N/AN/A286,29411,580
2014-09-11$32.46$32.0020.4%6.3%15.3%31.6%25.6%4.8%1.5%-630.8K14.2M-68.1K0.4867.09N/AN/A52256,29611,583
2014-09-12$32.32$32.0020.8%6.2%15.4%33.7%21.0%3.7%0.1%-666.8K14.5M-68.0K0.2167.26N/AN/A1236,33211,608
2014-09-15$32.12$32.0020.7%6.2%15.6%32.9%19.6%11.3%0.6%-619.0K15.3M-66.1K0.7771.36N/AN/A77596,33911,606
2014-09-16$32.20$32.0021.0%6.3%15.0%34.4%20.8%6.9%-0.5%-624.8K14.8M-65.7K1.0470.72N/AN/A1611676,30611,599
2014-09-17$32.40$32.0020.9%6.4%14.8%34.0%24.0%7.7%1.0%-632.1K14.2M-65.8K0.0973.03N/AN/A2736,26211,573
2014-09-18$32.32$32.0020.1%6.1%14.7%30.4%21.6%5.3%-1.1%-667.4K12.8M-69.2K9.6176.33N/AN/A605726,20611,545
2014-09-19$31.86$32.0018.7%6.2%14.4%24.2%0.0%6.9%1.3%-816.7K16.4M-57.9K3.7472.64N/AN/A16586,19411,448
2014-09-22$31.64$32.0020.0%5.8%14.6%30.1%20.7%8.0%-0.3%-587.9K14.6M-59.1K7.5684.39N/AN/A141022,5999,385
2014-09-23$31.22$32.0019.4%6.0%13.8%27.5%21.9%6.0%1.5%-578.4K15.5M-59.0K2.0579.35N/AN/A19382,5999,478
2014-09-24$31.54$32.0018.9%5.9%14.1%25.2%21.7%7.5%0.6%-599.7K15.6M-58.7K3.3177.44N/AN/A421382,6119,501
2014-09-25$30.94$32.0024.5%6.6%15.1%50.1%21.8%3.9%-2.0%-563.1K16.7M-56.0K0.1881.76N/AN/A136242,5879,594
2014-09-26$31.60$32.0019.4%6.2%16.3%27.4%23.8%7.2%-0.2%-595.2K15.0M-59.5K1.2273.44N/AN/A16202,7239,595
2014-09-29$31.18$32.0020.5%6.4%16.9%32.4%22.6%4.7%0.8%-570.1K15.5M-58.9K0.6379.77N/AN/A30192,7389,613
2014-09-30$31.38$32.0021.0%6.4%17.1%34.2%0.0%2.9%0.7%-594.5K15.5M-56.5K0.8075.42N/AN/A862,7389,621