EWI Options History — April 2015

In April 2015, EWI traded between $29.74 and $30.80. ATM implied volatility averaged 24.6%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 8.0% (HV 20d: 16.7%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2015-04-27: Highest Volume — 7,257 contracts
  • 2015-04-06: Largest IV spike — 31.6% change
  • 2015-04-29: Highest IV Rank — 66.2%
  • 2015-04-29: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.23$29.74$30.80$29.96$30.50
Max Pain$29.05$28.00$30.00$28.00$30.00
ATM IV24.6%20.2%29.8%21.8%29.0%
Expected Move7.0%6.2%8.5%6.2%8.3%
HV 20d16.7%13.2%22.2%22.0%13.2%
HV 60d23.9%20.7%25.2%25.2%20.7%
IV Rank45.5%27.6%66.2%34.1%62.9%
IV Percentile68.1%38.9%92.9%50.8%90.5%
Term Structure-0.6%-4.0%1.0%0.4%-1.7%
VWIV26.4%21.4%33.3%33.3%31.7%
Skew 25d6.4%-0.5%10.6%10.0%5.7%
Skew 10d10.8%3.0%17.2%15.9%11.5%
Call IV 25d23.4%19.9%29.8%22.4%29.2%
Put IV 25d29.8%26.5%35.2%32.4%34.8%
Bid-Ask Spread %84.0727.18127.1799.6928.34
Gamma HHI0.500.310.610.610.31
Net GEX576.8K445.8K788.6K445.8K747.3K
Net DEX-11.2M-13.9M-8.6M-10.5M-13.2M
Net VEX-66.1K-84.3K-62.1K-65.1K-84.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.031.120.790.05
Total Volume2,023.286107,2571,2824,613
Total OI10,913.7629,64413,51310,60113,512

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$29.96$28.0021.8%6.2%22.0%34.1%33.3%10.0%0.4%445.8K-10.5M-65.1K0.7999.69N/AN/A7155677,5463,055
2015-04-02$30.24$28.0020.2%6.6%22.2%27.6%24.8%4.0%0.6%478.5K-11.5M-64.4K0.7186.70N/AN/A7905597,5493,056
2015-04-06$30.58$28.0026.6%6.9%20.7%53.2%28.5%8.1%-0.3%523.4K-12.8M-62.8K0.7527.18N/AN/A7625717,6323,054
2015-04-07$30.44$28.0028.5%6.5%20.5%60.9%23.2%5.5%0.1%527.8K-12.4M-62.2K1.1291.75N/AN/A7358237,5423,065
2015-04-08$30.40$30.0023.1%6.6%17.8%39.1%23.2%4.7%0.7%512.8K-11.8M-63.9K0.1130.55N/AN/A917,5363,307
2015-04-09$30.28$28.0022.3%6.4%17.8%36.3%26.9%7.3%0.1%531.2K-11.4M-63.7K1.0442.83N/AN/A7808087,5553,308
2015-04-10$30.12$28.0022.8%6.5%17.9%38.3%26.5%8.1%-0.7%551.5K-10.9M-63.8K0.9878.86N/AN/A8278107,5993,308
2015-04-13$29.96$28.0021.9%6.3%17.1%34.4%25.8%4.5%0.2%544.5K-10.5M-63.2K1.0680.48N/AN/A7768227,6333,311
2015-04-14$30.16$28.0022.8%6.5%16.7%38.0%26.3%7.4%-1.5%572.1K-11.2M-62.9K1.0099.55N/AN/A8148107,6593,326
2015-04-15$30.52$28.0023.0%6.6%16.9%38.9%23.1%6.1%-1.0%598.0K-12.3M-62.4K0.9483.37N/AN/A8528007,5993,325
2015-04-16$30.24$28.0021.8%6.2%17.3%34.1%25.0%3.5%1.0%558.3K-10.8M-62.2K0.7199.76N/AN/A1,2138657,4093,326
2015-04-17$29.74$30.0024.6%7.1%18.2%45.5%26.4%-0.5%-0.7%538.8K-8.6M-62.5K0.7997.76N/AN/A1,1479037,4513,325
2015-04-20$29.76$30.0025.5%7.3%14.4%48.8%27.2%3.4%-1.2%551.4K-9.0M-62.8K0.9196.72N/AN/A4704257,4722,172
2015-04-21$29.80$30.0025.1%7.2%14.1%47.4%21.4%10.6%0.0%535.9K-9.0M-62.6K0.9085.73N/AN/A4744277,4402,206
2015-04-22$29.88$30.0024.0%6.9%13.8%43.0%22.5%9.8%0.3%545.4K-9.1M-62.1K0.31127.17N/AN/A7112227,4462,211
2015-04-23$30.10$30.0025.4%7.3%14.0%48.5%26.7%4.8%-0.8%572.3K-10.0M-64.3K0.50103.42N/AN/A4472227,7462,261
2015-04-24$30.36$30.0024.6%7.1%13.5%45.4%25.0%8.9%0.9%593.1K-10.9M-64.7K0.6468.37N/AN/A3512237,8312,261
2015-04-27$30.70$30.0026.4%7.6%13.9%52.4%24.1%7.8%-2.3%636.7K-12.3M-63.2K0.03100.28N/AN/A7,0711867,8942,262
2015-04-28$30.80$30.0028.1%8.1%13.9%59.4%30.8%9.0%-3.6%788.6K-13.9M-83.3K0.04110.40N/AN/A4,25418611,2432,270
2015-04-29$30.38$30.0029.8%8.5%13.9%66.2%31.5%5.5%-4.0%759.4K-12.5M-81.7K0.04126.61N/AN/A4,26418411,2162,270
2015-04-30$30.50$30.0029.0%8.3%13.2%62.9%31.7%5.7%-1.7%747.3K-13.2M-84.3K0.0528.34N/AN/A4,41220111,2412,271