EWI Options History — March 2015

In March 2015, EWI traded between $28.38 and $30.16. ATM implied volatility averaged 22.0%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.6% (HV 20d: 22.6%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.70.

Notable Days

  • 2015-03-13: Highest Volume — 1,928 contracts
  • 2015-03-10: Largest IV spike — 75.0% change
  • 2015-03-06: Highest IV Rank — 49.6%
  • 2015-03-16: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.29$28.38$30.16$29.82$29.56
Max Pain$28.55$28.00$30.00$30.00$28.00
ATM IV22.0%14.4%25.7%20.1%23.2%
Expected Move6.4%5.5%7.1%5.8%6.6%
HV 20d22.6%20.1%28.7%28.1%21.6%
HV 60d27.5%26.9%27.9%27.7%27.7%
IV Rank35.0%4.7%49.6%27.5%39.6%
IV Percentile52.7%1.2%78.6%39.7%61.5%
Term Structure0.9%-1.8%3.2%1.4%-0.0%
VWIV24.5%20.1%29.4%21.0%29.4%
Skew 25d6.3%3.2%11.7%6.5%8.1%
Skew 10d11.1%4.2%20.6%20.4%10.8%
Call IV 25d20.7%16.7%24.6%18.6%23.8%
Put IV 25d26.9%24.4%31.8%25.1%31.8%
Bid-Ask Spread %76.5116.25119.2054.25100.14
Gamma HHI0.520.380.600.600.60
Net GEX32.3K-463.2K499.4K-240.2K449.8K
Net DEX-3.6M-11.3M4.2M-4.7M-9.3M
Net VEX-68.0K-75.5K-62.3K-75.1K-65.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.700.0535.710.130.79
Total Volume685.409101,9281,1771,281
Total OI21,396.09110,38327,26226,48910,538

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$29.82$30.0020.1%5.8%28.1%27.5%21.0%6.5%1.4%-240.2K-4.7M-75.1K0.1354.25N/AN/A1,0401378,50017,989
2015-03-03$29.42$30.0020.0%5.7%28.7%26.9%25.9%6.4%1.3%-291.1K-2.1M-75.5K0.1475.75N/AN/A1,0491478,55217,984
2015-03-04$29.28$30.0021.3%6.1%25.8%32.1%22.3%3.6%-1.8%-285.5K-1.2M-73.7K0.1684.11N/AN/A9851568,56717,810
2015-03-05$29.38$28.0017.7%6.1%23.7%17.6%23.8%6.8%0.7%-250.7K-2.2M-72.7K0.1987.22N/AN/A8801648,60517,786
2015-03-06$28.76$28.0025.7%6.7%24.7%49.6%23.9%4.7%0.5%-355.1K2.0M-71.7K0.9454.73N/AN/A4043798,63117,786
2015-03-09$29.12$30.0014.4%5.7%22.7%4.7%0.0%8.8%0.5%-281.1K-710.5K-70.2K0.7975.60N/AN/A14118,64117,680
2015-03-10$28.38$30.0025.3%7.0%24.5%48.1%24.2%4.7%-0.5%-458.9K4.2M-66.6K0.1916.25N/AN/A145288,65517,685
2015-03-11$28.66$30.0022.7%6.5%23.5%37.6%22.3%3.2%2.3%-453.8K2.3M-67.0K0.2267.00N/AN/A310698,79217,692
2015-03-12$28.88$28.0024.1%6.9%23.3%43.1%24.0%8.5%-0.1%-327.2K259.8K-68.6K0.0658.04N/AN/A919,08117,738
2015-03-13$28.48$28.0023.6%6.8%20.1%41.4%27.7%5.3%0.1%-463.2K3.0M-66.9K35.7167.77N/AN/A531,8759,07517,738
2015-03-16$28.86$28.0024.9%7.1%20.7%46.5%0.0%6.1%-1.3%104.0K-494.2K-62.9K0.2880.20N/AN/A64189,12316,688
2015-03-17$28.74$28.0022.7%6.5%20.2%37.7%22.2%5.7%1.7%66.0K154.3K-62.3K0.6647.51N/AN/A7054639,15216,702
2015-03-18$28.98$28.0023.8%6.8%20.2%42.1%23.9%3.9%1.7%80.4K-1.2M-65.7K0.6097.84N/AN/A5643389,37417,015
2015-03-19$28.74$28.0023.8%6.8%20.3%42.1%24.5%4.6%1.9%199.5K-1.3M-67.8K12.0084.48N/AN/A2249,92317,339
2015-03-20$29.66$28.0019.3%5.5%21.5%24.2%20.1%7.1%3.2%466.9K-4.1M-67.2K1.3323.60N/AN/A2082779,87917,318
2015-03-23$29.92$28.0023.1%6.6%21.3%39.5%26.8%6.8%-0.3%453.4K-10.6M-67.1K0.0995.54N/AN/A450397,5672,848
2015-03-24$30.16$28.0021.0%6.0%21.2%31.0%0.0%8.5%1.9%499.4K-11.3M-66.0K0.2399.94N/AN/A90217,5152,868
2015-03-25$30.08$28.0022.3%6.4%21.0%36.1%22.5%6.7%0.7%484.2K-11.1M-66.2K0.0594.89N/AN/A2117,5262,878
2015-03-26$29.70$28.0022.6%6.5%21.5%37.1%25.7%3.2%2.0%434.9K-10.0M-66.4K0.84119.20N/AN/A7456297,5272,879
2015-03-27$29.80$28.0021.6%6.2%21.5%33.1%25.5%7.0%2.5%437.4K-10.0M-66.3K3.22110.08N/AN/A9297,5173,004
2015-03-30$29.96$28.0021.6%6.2%21.6%33.3%29.0%11.7%0.8%441.7K-10.6M-65.4K0.7789.14N/AN/A7045417,5303,017
2015-03-31$29.56$28.0023.2%6.6%21.6%39.6%29.4%8.1%-0.0%449.8K-9.3M-65.4K0.79100.14N/AN/A7145677,5213,017