EWI Options History — January 2015

In January 2015, EWI traded between $25.60 and $27.94. ATM implied volatility averaged 28.0%, placing in the 58.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.6% (HV 20d: 27.4%). Max pain ranged from $24.00 to $28.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.69.

Notable Days

  • 2015-01-30: Highest Volume — 5,087 contracts
  • 2015-01-05: Largest IV spike — 28.4% change
  • 2015-01-12: Highest IV Rank — 89.9%
  • 2015-01-16: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.75$25.60$27.94$27.32$27.42
Max Pain$25.20$24.00$28.00$28.00$26.00
ATM IV28.0%22.3%35.7%25.7%23.0%
Expected Move7.9%6.4%9.5%7.7%6.6%
HV 20d27.4%21.1%32.6%21.1%32.6%
HV 60d25.0%24.1%26.6%24.9%24.8%
IV Rank58.9%36.0%89.9%49.9%38.8%
IV Percentile84.6%59.1%98.8%85.3%63.5%
Term Structure-0.9%-3.8%1.8%0.4%1.1%
VWIV29.2%22.2%36.4%28.5%23.5%
Skew 25d6.5%2.2%10.8%5.5%6.5%
Skew 10d14.2%-1.4%27.5%-1.4%8.1%
Call IV 25d26.1%19.8%32.2%27.0%24.4%
Put IV 25d32.7%26.6%37.1%32.5%30.9%
Bid-Ask Spread %87.1947.02100.7988.03100.79
Gamma HHI0.430.290.560.360.38
Net GEX-539.2K-837.1K-120.0K-798.7K-303.1K
Net DEX12.9M3.7M20.3M15.0M7.0M
Net VEX-97.0K-112.7K-88.4K-97.2K-101.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.0310.062.180.44
Total Volume2,195.752125,0872,3795,087
Total OI25,041.822,54027,24922,54026,569

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$27.32$28.0025.7%7.7%21.1%49.9%28.5%5.5%0.4%-798.7K15.0M-97.2K2.1888.03N/AN/A7491,6304,60117,939
2015-01-05$25.88$26.0033.1%9.0%27.3%79.2%29.0%8.1%-1.4%-837.1K20.3M-92.5K0.3176.66N/AN/A1,8265704,63417,940
2015-01-06$25.60$24.0031.0%8.7%25.9%71.0%32.0%7.3%-0.9%-710.1K19.2M-95.3K1.5890.56N/AN/A1702696,42917,726
2015-01-07$25.86$24.0028.7%8.4%26.7%61.8%29.1%7.8%-1.1%-733.8K19.9M-94.0K10.0679.19N/AN/A262626,55917,957
2015-01-08$26.22$24.0028.3%7.9%27.5%60.0%26.4%6.5%-0.5%-734.8K16.6M-97.0K0.6847.02N/AN/A2,6101,7866,55917,945
2015-01-09$25.76$24.0028.8%8.3%27.2%62.0%35.5%6.7%-1.8%-792.2K19.3M-92.9K2.1292.01N/AN/A7391,5666,55817,927
2015-01-12$25.74$24.0035.7%8.9%27.2%89.9%34.3%3.9%-1.0%-738.2K19.3M-93.2K2.1688.74N/AN/A7431,6066,56917,913
2015-01-13$25.86$24.0034.2%8.8%26.3%83.6%33.5%5.5%-2.0%-757.2K19.1M-90.1K1.8681.45N/AN/A8251,5326,57617,916
2015-01-14$25.96$24.0031.0%8.9%25.6%71.1%34.3%5.1%-2.7%-787.0K19.1M-88.4K1.7889.94N/AN/A8541,5236,63117,916
2015-01-15$25.92$26.0030.7%8.8%24.0%69.8%35.0%7.5%-1.2%-828.3K18.1M-91.0K1.7085.28N/AN/A9071,5386,62417,905
2015-01-16$26.62$26.0033.0%9.5%26.1%79.1%36.4%10.8%-3.8%-669.3K14.6M-90.5K0.0685.07N/AN/A477276,67317,832
2015-01-20$27.14$24.0026.5%7.6%26.5%52.7%26.2%8.3%-1.4%-579.9K11.2M-89.7K0.0891.22N/AN/A507426,05016,923
2015-01-21$27.62$24.0028.7%8.2%27.2%61.7%28.6%2.2%-0.8%-473.7K8.1M-90.2K0.0393.80N/AN/A3,816986,41816,916
2015-01-22$27.94$26.0025.4%7.3%27.5%48.4%25.5%4.7%-0.7%-138.1K3.7M-112.7K2.1285.11N/AN/A7271,54110,07216,961
2015-01-23$27.34$26.0022.7%6.5%28.5%37.9%22.2%5.5%0.8%-225.8K7.5M-108.9K2.9788.37N/AN/A5261,56110,03616,993
2015-01-26$27.88$26.0022.9%6.6%29.3%38.7%0.0%10.3%0.6%-122.3K4.0M-106.0K0.9295.75N/AN/A12411510,05517,024
2015-01-27$27.92$26.0024.4%7.0%29.4%44.5%24.6%9.8%-1.3%-155.2K3.7M-104.6K0.8891.79N/AN/A1139910,06717,017
2015-01-28$27.14$26.0023.9%6.8%30.5%42.5%27.8%4.6%-2.0%-279.9K8.7M-101.7K1.44100.28N/AN/A1,0781,54910,16917,080
2015-01-29$27.92$26.0022.3%6.4%32.1%36.0%22.3%4.2%1.8%-120.0K4.0M-102.8K0.4992.76N/AN/A3,1491,54810,04817,109
2015-01-30$27.42$26.0023.0%6.6%32.6%38.8%23.5%6.5%1.1%-303.1K7.0M-101.3K0.44100.79N/AN/A3,5431,5449,44217,127