EWI Options History — February 2015

In February 2015, EWI traded between $27.34 and $30.10. ATM implied volatility averaged 23.9%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 8.0% (HV 20d: 32.0%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.11.

Notable Days

  • 2015-02-03: Highest Volume — 2,276 contracts
  • 2015-02-09: Largest IV spike — 15.5% change
  • 2015-02-12: Highest IV Rank — 58.3%
  • 2015-02-12: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.85$27.34$30.10$27.72$29.76
Max Pain$29.37$26.00$30.00$26.00$30.00
ATM IV23.9%19.7%27.8%22.9%19.8%
Expected Move6.9%5.7%8.0%6.6%5.7%
HV 20d32.0%28.2%34.3%32.8%29.2%
HV 60d27.2%24.7%27.9%24.7%27.7%
IV Rank42.7%25.9%58.3%38.4%26.1%
IV Percentile67.4%35.3%87.7%61.5%36.5%
Term Structure-0.3%-3.6%3.1%0.6%0.6%
VWIV25.9%21.0%32.6%23.1%24.6%
Skew 25d6.1%0.3%11.2%5.2%6.5%
Skew 10d12.3%2.8%25.2%8.7%7.4%
Call IV 25d22.3%17.6%29.8%24.6%17.6%
Put IV 25d28.3%22.9%33.0%29.8%24.1%
Bid-Ask Spread %56.7621.66100.4797.8323.58
Gamma HHI0.370.250.500.360.47
Net GEX-193.3K-378.5K9.6K-251.8K-221.8K
Net DEX-683.3K-8.4M8.0M6.2M-4.6M
Net VEX-87.8K-99.7K-78.2K-98.9K-78.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.003.020.001.21
Total Volume1,503.368122,276122,240
Total OI26,616.63226,34227,64426,40526,525

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$27.72$26.0022.9%6.6%32.8%38.4%23.1%5.2%0.6%-251.8K6.2M-98.9K0.0097.83N/AN/A1209,28317,122
2015-02-03$28.76$26.0025.9%7.4%28.2%50.5%22.3%10.5%-0.8%-139.1K-186.7K-99.7K1.97100.47N/AN/A7661,5109,28517,126
2015-02-04$28.00$26.0025.4%7.3%29.9%48.7%23.1%2.1%0.6%-155.1K2.8M-96.6K2.1867.34N/AN/A7051,5399,34917,109
2015-02-05$28.38$30.0025.3%7.0%30.0%48.2%25.4%3.7%0.4%-133.5K829.0K-93.2K2.1273.25N/AN/A7101,5079,30717,126
2015-02-06$27.62$30.0022.8%7.3%31.8%38.0%27.2%3.6%-1.3%-236.4K6.2M-92.8K2.1177.22N/AN/A6931,4609,30417,128
2015-02-09$27.34$30.0026.3%7.4%31.3%52.1%32.6%3.0%-0.2%-378.5K8.0M-97.4K2.0774.27N/AN/A7091,4709,32317,141
2015-02-10$27.96$30.0025.6%7.5%32.0%49.2%29.5%6.1%-1.3%-189.0K4.2M-93.3K0.3442.50N/AN/A6542209,33117,155
2015-02-11$27.72$30.0026.6%7.6%32.3%53.5%31.2%7.6%-1.5%-230.1K6.1M-94.4K0.3636.19N/AN/A6542389,33517,159
2015-02-12$28.74$30.0027.8%8.0%34.3%58.3%29.8%8.9%-3.6%-113.3K-1.5M-86.3K0.4135.74N/AN/A6392599,33517,159
2015-02-13$28.86$30.0026.9%7.7%34.3%54.4%27.0%7.7%-1.4%-69.9K-1.9M-90.5K2.0171.39N/AN/A6261,2579,38017,169
2015-02-17$29.20$30.0024.6%7.0%33.4%45.3%24.9%6.9%-3.0%9.6K-4.3M-81.9K0.7084.84N/AN/A7255079,37917,687
2015-02-18$29.48$30.0024.9%7.1%33.0%46.4%26.4%11.2%-1.3%-170.3K-6.0M-83.7K0.3235.24N/AN/A7622469,34817,896
2015-02-19$29.36$30.0022.8%6.5%32.8%38.0%28.3%9.0%0.6%-206.9K-3.9M-84.8K3.0233.90N/AN/A3501,0579,01017,733
2015-02-20$30.10$30.0024.0%6.9%33.6%42.9%25.9%5.0%-0.1%-225.2K-8.4M-79.2K0.2521.66N/AN/A8422108,92718,717
2015-02-23$29.72$30.0021.3%6.1%32.8%32.2%25.0%0.3%3.1%-267.4K-3.7M-81.0K1.3722.23N/AN/A9121,2508,26518,246
2015-02-24$29.98$30.0022.0%6.3%32.3%34.8%22.6%6.1%0.3%-207.1K-5.3M-78.6K0.2174.31N/AN/A1,0772308,29718,045
2015-02-25$29.72$30.0020.4%5.8%32.6%28.5%22.0%5.2%1.2%-232.9K-4.0M-79.1K0.2230.34N/AN/A1,0352308,44818,040
2015-02-26$29.64$30.0019.7%5.7%30.6%25.9%21.0%6.5%1.5%-253.2K-3.5M-78.6K0.2276.23N/AN/A1,0332308,48518,042
2015-02-27$29.76$30.0019.8%5.7%29.2%26.1%24.6%6.5%0.6%-221.8K-4.6M-78.2K1.2123.58N/AN/A1,0131,2278,48318,042