EWI Options History — November 2014

In November 2014, EWI traded between $28.10 and $30.00. ATM implied volatility averaged 24.8%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 2.7% (HV 20d: 27.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 12.47.

Notable Days

  • 2014-11-04: Highest Volume — 10,532 contracts
  • 2014-11-20: Largest IV spike — 35.1% change
  • 2014-11-04: Highest IV Rank — 72.9%
  • 2014-11-05: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.02$28.10$30.00$29.06$29.76
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV24.8%17.5%31.5%26.2%22.0%
Expected Move6.7%6.0%7.5%7.0%6.0%
HV 20d27.5%22.1%33.9%33.9%22.2%
HV 60d24.2%23.6%24.7%23.6%24.4%
IV Rank46.2%17.0%72.9%51.6%34.8%
IV Percentile79.3%11.9%98.0%92.5%69.8%
Term Structure-1.0%-3.6%1.6%-0.9%-1.2%
VWIV26.3%20.3%30.3%29.5%23.1%
Skew 25d6.4%-0.3%11.7%7.6%5.7%
Skew 10d11.9%3.2%22.4%22.4%12.1%
Call IV 25d22.6%15.2%30.8%24.6%19.0%
Put IV 25d28.9%22.2%37.0%32.2%24.7%
Bid-Ask Spread %71.7037.4597.1687.5255.85
Gamma HHI0.270.240.290.240.27
Net GEX-369.8K-574.6K-122.5K-406.5K-244.8K
Net DEX21.9M17.6M25.5M22.0M18.8M
Net VEX-90.6K-108.7K-62.5K-108.7K-79.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.470.0047.5032.270.00
Total Volume4,486.579810,53210,14750
Total OI30,638.36823,49931,40130,97330,773

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$29.06$30.0026.2%7.0%33.9%51.6%29.5%7.6%-0.9%-406.5K22.0M-108.7K32.2787.52N/AN/A3059,8429,50721,466
2014-11-04$28.64$30.0031.5%7.4%33.3%72.9%30.0%10.2%0.1%-474.6K24.2M-103.3K14.6057.72N/AN/A6759,8579,51221,486
2014-11-05$29.00$30.0030.6%7.5%32.4%69.3%28.6%2.4%-0.7%-345.7K21.8M-108.3K14.5576.62N/AN/A6769,8399,90921,492
2014-11-06$28.66$30.0029.1%7.1%29.1%63.4%30.3%-0.3%-0.6%-403.8K22.0M-105.8K14.1975.89N/AN/A6909,7929,92721,099
2014-11-07$28.58$30.0026.7%7.2%29.1%53.8%29.6%6.0%-2.6%-444.1K22.9M-104.2K33.1281.14N/AN/A2979,8219,93721,106
2014-11-10$28.64$30.0029.7%7.1%28.9%65.9%29.4%8.0%-3.6%-446.2K23.7M-96.3K47.5090.97N/AN/A2089,8799,95221,107
2014-11-11$28.80$30.0023.3%6.8%28.7%40.2%28.3%6.6%-1.6%-122.5K21.0M-62.5K41.0884.44N/AN/A2419,8819,87813,621
2014-11-12$28.10$30.0026.9%6.9%28.7%54.6%25.9%3.1%-1.7%-560.6K25.4M-96.4K5.0091.08N/AN/A2831,4139,98621,164
2014-11-13$28.18$30.0025.4%6.7%27.7%48.5%25.2%5.0%-2.0%-574.6K25.5M-91.2K5.0284.82N/AN/A2851,42910,03121,176
2014-11-14$28.54$30.0025.6%6.7%26.5%49.2%23.4%7.8%-1.8%-511.5K24.5M-91.6K1.0948.35N/AN/A232510,03421,181
2014-11-17$28.80$30.0025.7%6.8%26.6%49.8%25.8%5.8%-2.3%-470.3K23.8M-89.7K3.6786.27N/AN/A3881,42310,04421,189
2014-11-18$29.22$30.0021.8%6.3%26.2%34.3%25.2%4.6%0.2%-379.8K22.6M-90.9K2.3950.60N/AN/A5931,41810,08921,187
2014-11-19$29.20$30.0017.5%6.3%26.0%17.0%23.8%3.4%1.6%-350.4K21.4M-83.9K0.6073.75N/AN/A5310,18421,186
2014-11-20$28.82$30.0023.6%6.9%25.9%41.5%24.3%5.8%0.2%-540.7K22.9M-83.2K3.0297.16N/AN/A4621,39310,21221,067
2014-11-21$29.56$30.0020.6%6.0%27.0%29.4%24.4%7.9%0.8%-177.9K19.9M-85.3K2.7542.59N/AN/A5081,39810,21521,076
2014-11-24$29.90$30.0022.5%6.0%25.6%36.8%20.3%8.9%-0.9%-276.6K18.7M-78.8K0.1137.45N/AN/A346379,47620,667
2014-11-25$30.00$30.0021.3%6.2%23.6%32.2%25.3%11.7%-0.5%-153.1K17.6M-80.6K3.4361.91N/AN/A3801,3049,81920,677
2014-11-26$29.96$30.0021.7%6.1%22.1%33.6%23.1%10.7%-1.6%-142.3K17.8M-81.4K0.0078.15N/AN/A7609,97020,727
2014-11-28$29.76$30.0022.0%6.0%22.2%34.8%0.0%5.7%-1.2%-244.8K18.8M-79.8K0.0055.85N/AN/A05010,04620,727