EWI Options History — October 2014

In October 2014, EWI traded between $27.66 and $30.96. ATM implied volatility averaged 27.9%, placing in the 60.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.8% (HV 20d: 26.0%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 57.42.

Notable Days

  • 2014-10-23: Highest Volume — 11,337 contracts
  • 2014-10-09: Largest IV spike — 21.0% change
  • 2014-10-14: Highest IV Rank — 100.0%
  • 2014-10-16: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.26$27.66$30.96$30.96$29.80
Max Pain$31.04$30.00$32.00$32.00$30.00
ATM IV27.9%23.1%38.3%25.7%23.7%
Expected Move7.3%6.5%8.4%6.9%6.7%
HV 20d26.0%16.5%32.8%16.5%32.8%
HV 60d23.1%21.7%24.8%21.7%23.5%
IV Rank60.7%39.4%100.0%55.5%41.9%
IV Percentile94.3%82.9%100.0%95.6%86.1%
Term Structure-1.9%-6.9%1.4%-1.6%0.1%
VWIV28.9%23.6%33.0%23.6%29.3%
Skew 25d6.0%1.6%12.4%2.2%12.4%
Skew 10d11.6%2.7%24.8%6.6%17.9%
Call IV 25d25.5%18.6%33.4%24.6%18.6%
Put IV 25d31.4%26.0%39.8%26.9%31.0%
Bid-Ask Spread %78.9865.6394.3081.2983.75
Gamma HHI0.290.230.590.250.25
Net GEX-195.9K-542.3K738.1K-542.3K-273.3K
Net DEX19.0M10.9M24.0M15.9M20.2M
Net VEX-86.8K-123.0K-52.6K-56.6K-109.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio57.420.01651.742.9829.18
Total Volume6,122.5227111,33710610,188
Total OI23,271.47812,36230,82912,36230,829

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$30.96$32.0025.7%6.9%16.5%55.5%23.6%2.2%-1.6%-542.3K15.9M-56.6K2.9881.29N/AN/A27792,7459,617
2014-10-02$30.20$32.0025.6%6.7%17.6%55.0%25.8%4.4%-1.7%-509.8K17.6M-52.6K0.0173.41N/AN/A5,049702,7479,643
2014-10-03$30.20$32.0024.4%6.9%17.3%49.6%26.1%1.6%-0.0%121.0K14.7M-69.2K26.1088.04N/AN/A51317,7199,696
2014-10-06$30.26$32.0023.6%6.9%17.2%45.9%24.4%5.2%-1.6%738.1K10.9M-90.0K140.0074.70N/AN/A17012,7199,817
2014-10-07$29.54$32.0024.1%6.9%18.6%48.2%28.8%5.7%0.2%11.9K15.6M-67.4K365.0080.05N/AN/A11837,7199,886
2014-10-08$30.24$32.0024.6%7.0%21.1%50.7%27.0%8.0%-0.8%33.4K14.7M-73.0K0.0969.31N/AN/A5,2074677,71910,037
2014-10-09$29.00$32.0029.8%7.3%25.0%73.7%27.8%2.5%-5.5%-20.1K16.4M-65.2K0.1070.71N/AN/A5,2105187,73010,136
2014-10-10$29.00$32.0029.1%7.7%25.1%70.3%28.0%4.5%-6.6%-26.4K15.9M-70.1K2.0874.03N/AN/A1984117,74210,286
2014-10-13$28.70$32.0031.7%7.7%25.2%82.1%28.7%5.1%-4.1%-63.1K17.0M-63.9K2.2173.33N/AN/A2044507,75810,452
2014-10-14$28.96$32.0038.3%8.1%25.6%100.0%28.7%5.1%-3.3%-71.2K18.9M-57.4K1.9187.05N/AN/A2554887,81510,580
2014-10-15$28.24$32.0037.9%8.2%26.1%98.7%30.2%8.0%-6.9%-90.9K18.0M-62.6K3.9694.30N/AN/A7823,0997,82010,664
2014-10-16$27.66$32.0033.0%8.4%26.5%79.1%30.6%5.1%-3.0%-218.0K22.4M-60.7K1.0571.84N/AN/A8719157,88012,812
2014-10-17$28.38$30.0030.1%7.8%28.9%67.5%33.0%3.9%-1.7%66.9K19.8M-74.5K651.7465.63N/AN/A148,7998,80113,645
2014-10-20$28.46$30.0031.3%7.7%29.1%72.1%31.9%7.3%-1.2%-517.4K24.0M-111.9K11.5268.80N/AN/A7919,1058,17320,492
2014-10-21$29.02$30.0026.1%7.3%30.2%51.5%30.1%5.3%0.1%-449.8K23.7M-107.1K6.5676.34N/AN/A1,4899,7658,24520,535
2014-10-22$28.78$30.0029.6%7.5%29.7%65.4%30.7%6.8%-0.7%-441.0K21.8M-123.0K6.3971.40N/AN/A1,5299,7748,99221,164
2014-10-23$29.22$30.0025.8%7.0%30.0%50.0%30.1%6.7%-1.6%-342.1K21.5M-118.9K6.4682.48N/AN/A1,5219,8169,02321,173
2014-10-24$29.64$30.0025.7%6.8%29.4%49.7%28.4%5.7%-3.4%-365.6K21.0M-115.4K13.0080.60N/AN/A7609,8759,03121,223
2014-10-27$28.90$30.0028.9%7.5%30.2%62.6%31.4%4.2%1.4%-434.6K22.9M-112.8K12.9680.65N/AN/A7629,8749,07021,319
2014-10-28$29.72$30.0025.2%6.9%32.1%47.9%31.2%12.1%-1.5%-307.3K20.2M-117.5K12.0486.13N/AN/A8219,8779,10121,405
2014-10-29$29.06$30.0023.1%6.6%32.6%39.4%29.4%7.2%-0.6%-419.3K21.6M-107.9K12.4488.80N/AN/A7979,9129,17921,380
2014-10-30$29.14$30.0023.1%6.5%31.7%39.5%30.0%7.9%1.3%-384.3K22.1M-110.6K12.8793.97N/AN/A7699,8899,30721,418
2014-10-31$29.80$30.0023.7%6.7%32.8%41.9%29.3%12.4%0.1%-273.3K20.2M-109.2K29.1883.75N/AN/A3389,8509,38821,441