EWI Options History — December 2014

In December 2014, EWI traded between $26.92 and $29.58. ATM implied volatility averaged 23.8%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 2.9% (HV 20d: 20.8%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 7.10.

Notable Days

  • 2014-12-24: Highest Volume — 3,591 contracts
  • 2014-12-09: Largest IV spike — 47.5% change
  • 2014-12-15: Highest IV Rank — 63.9%
  • 2014-12-15: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.25$26.92$29.58$29.50$27.20
Max Pain$29.76$28.00$30.00$30.00$28.00
ATM IV23.8%14.2%29.2%23.8%25.9%
Expected Move7.0%6.0%8.3%6.2%7.7%
HV 20d20.8%18.0%23.4%21.0%21.1%
HV 60d25.3%24.3%26.3%24.4%25.3%
IV Rank42.0%3.7%63.9%42.3%50.7%
IV Percentile70.3%1.6%94.8%82.5%86.5%
Term Structure0.1%-3.0%2.1%-2.2%1.2%
VWIV25.0%21.5%28.1%25.6%25.5%
Skew 25d5.3%0.5%11.3%5.7%6.2%
Skew 10d11.1%-2.4%50.8%12.1%6.0%
Call IV 25d23.7%18.4%30.9%21.8%26.3%
Put IV 25d28.9%22.9%34.0%27.5%32.6%
Bid-Ask Spread %76.1030.2790.7058.8688.31
Gamma HHI0.340.250.420.260.35
Net GEX-613.2K-799.0K-309.4K-309.4K-799.0K
Net DEX20.7M10.8M29.6M19.8M15.4M
Net VEX-81.4K-103.8K-71.8K-79.6K-98.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.100.5293.363.940.60
Total Volume1,714.591853,5911,70185
Total OI28,678.519,87133,48330,82322,472

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$29.50$30.0023.8%6.2%21.0%42.3%25.6%5.7%-2.2%-309.4K19.8M-79.6K3.9458.86N/AN/A3451,35610,04620,777
2014-12-02$29.46$30.0018.9%6.5%18.9%22.5%26.5%5.0%-3.0%-329.2K20.2M-80.1K5.4574.59N/AN/A2611,42110,13420,775
2014-12-03$29.58$30.0017.3%6.2%18.0%16.3%25.8%6.6%-0.3%-332.8K20.1M-80.5K5.3952.18N/AN/A2531,36210,13620,901
2014-12-04$29.04$30.0018.8%6.1%18.9%22.2%24.1%2.1%-1.8%-549.9K22.5M-73.0K22.6080.96N/AN/A817010,13621,011
2014-12-05$29.54$30.0014.2%6.0%19.2%3.7%21.5%7.7%1.5%-472.8K21.1M-73.2K1.0073.32N/AN/A72972610,14321,166
2014-12-08$29.34$30.0018.3%6.2%19.4%20.2%22.7%3.6%1.5%-367.4K21.0M-75.2K1.1384.30N/AN/A72982110,64321,233
2014-12-09$29.00$30.0027.0%6.8%20.0%55.1%22.5%5.9%0.3%-538.4K23.0M-71.8K1.1183.02N/AN/A71879810,64321,238
2014-12-10$28.36$30.0027.7%6.8%21.4%57.8%23.0%6.6%1.0%-609.5K26.0M-72.9K1.1186.60N/AN/A71980010,64721,278
2014-12-11$28.16$30.0024.9%7.0%19.7%46.8%23.5%0.5%0.2%-641.5K25.7M-72.9K0.8989.59N/AN/A75166710,64721,408
2014-12-12$27.48$30.0026.3%7.8%21.5%52.1%27.3%2.2%0.8%-673.6K27.4M-79.2K2.1288.09N/AN/A7601,61310,64721,410
2014-12-15$26.92$30.0029.2%8.3%21.9%63.9%27.7%0.8%-1.0%-733.9K29.6M-76.1K1.2645.00N/AN/A8331,04710,65821,564
2014-12-16$27.52$30.0028.1%7.9%23.2%59.4%28.1%3.1%0.1%-681.4K28.4M-75.8K0.8184.20N/AN/A98780110,69121,626
2014-12-17$27.58$30.0028.1%7.5%22.5%59.2%26.0%2.0%-1.5%-646.6K27.6M-76.6K2.3583.24N/AN/A7921,86010,86321,644
2014-12-18$28.00$30.0023.3%7.3%23.4%40.2%26.5%2.0%2.1%-732.6K26.0M-74.0K1.1685.07N/AN/A73084910,88122,483
2014-12-19$27.74$30.0024.3%7.3%23.2%44.1%23.2%6.7%1.4%-758.7K27.5M-77.8K6.5088.52N/AN/A2918910,90822,575
2014-12-22$27.78$0.0024.1%7.1%20.9%43.2%0.0%9.0%0.3%-723.5K12.7M-74.9K0.5290.70N/AN/A6593453,21616,655
2014-12-23$27.94$0.0023.1%7.0%20.4%39.2%0.0%10.0%1.2%-705.2K12.2M-74.7K0.8275.94N/AN/A1,9351,5923,24416,670
2014-12-24$28.10$0.0023.4%7.2%20.6%40.4%0.0%11.3%1.4%-676.7K11.3M-103.8K0.8675.21N/AN/A1,9351,6564,52717,914
2014-12-26$28.12$0.0024.3%7.0%20.6%44.2%0.0%9.8%-1.2%-669.9K10.8M-102.5K0.8490.37N/AN/A1,9351,6214,52717,909
2014-12-29$27.68$0.0024.8%7.4%21.0%46.0%25.5%6.6%0.5%-761.8K13.2M-99.0K2.3965.81N/AN/A6831,6314,52717,898
2014-12-30$27.42$28.0026.8%7.6%21.1%54.0%0.0%2.3%-0.3%-776.7K14.3M-99.2K93.3630.27N/AN/A65144,54817,908
2014-12-31$27.20$28.0025.9%7.7%21.1%50.7%0.0%6.2%1.2%-799.0K15.4M-98.6K0.6088.31N/AN/A53324,55317,919