EWI Options History — May 2015

In May 2015, EWI traded between $30.14 and $32.12. ATM implied volatility averaged 26.3%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 7.8% (HV 20d: 18.5%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2015-05-01: Highest Volume — 4,605 contracts
  • 2015-05-11: Largest IV spike — 67.3% change
  • 2015-05-11: Highest IV Rank — 100.0%
  • 2015-05-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.24$30.14$32.12$30.98$31.18
Max Pain$28.10$28.00$30.00$30.00$28.00
ATM IV26.3%19.3%41.0%30.9%23.2%
Expected Move6.9%5.5%8.9%8.9%6.7%
HV 20d18.5%13.5%23.0%13.9%22.5%
HV 60d18.9%17.9%20.0%20.0%19.3%
IV Rank47.9%19.0%100.0%70.7%33.8%
IV Percentile62.6%20.2%100.0%94.8%53.2%
Term Structure-0.7%-2.3%2.0%-2.3%-1.5%
VWIV24.2%17.9%32.6%31.4%23.3%
Skew 25d7.6%3.4%16.6%7.7%3.4%
Skew 10d15.0%3.0%24.2%15.8%3.0%
Call IV 25d20.9%13.4%27.1%27.1%22.6%
Put IV 25d28.5%24.4%34.8%34.8%26.0%
Bid-Ask Spread %60.5323.38101.2599.0292.44
Gamma HHI0.320.300.350.310.31
Net GEX806.5K558.0K948.3K746.0K948.3K
Net DEX-14.0M-17.4M-10.2M-14.1M-13.6M
Net VEX-88.3K-98.0K-81.0K-84.4K-83.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.002.010.091.48
Total Volume1,974.4344,6054,6052,777
Total OI15,042.4513,44215,91113,44215,317

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$30.98$30.0030.9%8.9%13.9%70.7%31.4%7.7%-2.3%746.0K-14.1M-84.4K0.0999.02N/AN/A4,20839711,1582,284
2015-05-04$30.86$28.0034.5%7.8%13.5%84.9%25.8%16.6%-1.8%789.4K-13.8M-83.8K0.0090.61N/AN/A79011,1642,487
2015-05-05$30.14$28.0032.6%7.8%15.9%77.4%26.7%6.0%-1.0%726.9K-11.2M-81.0K0.6423.38N/AN/A54734811,1352,487
2015-05-06$30.50$28.0028.4%7.7%16.5%60.5%27.6%5.2%-1.1%804.0K-12.5M-82.7K2.0126.79N/AN/A9651,93611,3102,488
2015-05-07$30.54$28.0034.5%8.2%16.4%84.8%25.7%9.2%-2.0%668.8K-10.2M-93.3K1.4828.34N/AN/A9791,44911,8284,051
2015-05-08$31.26$28.0024.5%6.8%18.2%44.9%24.6%7.6%-0.1%681.8K-14.2M-98.0K0.02101.25N/AN/A107311,8454,066
2015-05-11$30.94$28.0041.0%7.7%18.5%100.0%27.2%12.3%-1.9%716.2K-12.0M-93.3K0.1231.51N/AN/A30411,7784,066
2015-05-12$30.94$28.0035.6%7.9%18.4%80.8%27.1%4.5%-1.7%691.3K-11.7M-91.4K1.7524.07N/AN/A8031,40911,7884,070
2015-05-13$31.30$28.0024.2%6.9%18.4%39.5%32.6%5.5%-1.0%680.7K-13.5M-91.8K1.1759.30N/AN/A1,1641,36511,8114,073
2015-05-14$32.00$28.0023.6%6.8%19.4%37.2%22.0%4.4%-0.5%558.0K-16.6M-92.1K1.2750.86N/AN/A1,1011,40111,5984,072
2015-05-15$32.12$28.0023.3%6.7%17.9%33.9%24.1%4.9%-0.9%816.3K-17.4M-92.4K1.6491.12N/AN/A8591,40611,5174,087
2015-05-18$31.78$28.0021.6%6.2%18.6%27.6%21.4%9.3%2.0%884.7K-15.8M-91.1K0.0786.08N/AN/A4013011,4073,503
2015-05-19$31.74$28.0020.7%5.9%18.7%24.4%20.7%10.0%0.8%876.1K-16.1M-88.8K0.0769.20N/AN/A99711,4363,527
2015-05-20$31.76$28.0020.4%5.8%18.7%23.2%21.7%12.0%1.1%885.0K-16.3M-88.8K0.8462.78N/AN/A1,02886711,4393,530
2015-05-21$31.88$28.0020.0%5.7%18.6%21.8%17.9%9.2%0.5%903.3K-16.6M-86.7K1.0228.87N/AN/A1,3311,36311,4173,535
2015-05-22$31.58$28.0019.3%5.5%19.0%19.0%19.2%7.0%1.1%947.0K-15.9M-88.1K1.0794.42N/AN/A1,2911,37911,7023,263
2015-05-26$30.64$28.0024.4%7.0%21.8%38.3%21.7%4.2%0.0%931.5K-11.6M-84.4K1.4299.56N/AN/A1,1381,61511,7253,275
2015-05-27$31.28$28.0021.7%6.2%23.0%27.9%21.4%6.0%-2.2%929.0K-14.0M-85.8K1.4025.11N/AN/A1,1751,64511,7423,533
2015-05-28$31.34$28.0021.6%6.2%22.4%27.5%21.6%7.0%-1.9%945.8K-14.0M-84.1K1.4725.97N/AN/A1,1251,65711,7723,563
2015-05-29$31.18$28.0023.2%6.7%22.5%33.8%23.3%3.4%-1.5%948.3K-13.6M-83.9K1.4892.44N/AN/A1,1201,65711,7523,565