EWI Options History — June 2015

In June 2015, EWI traded between $29.80 and $32.22. ATM implied volatility averaged 27.9%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.5% (HV 20d: 25.5%). Max pain ranged from $28.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.55.

Notable Days

  • 2015-06-05: Highest Volume — 3,435 contracts
  • 2015-06-29: Largest IV spike — 38.9% change
  • 2015-06-30: Highest IV Rank — 87.4%
  • 2015-06-30: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.07$29.80$32.22$30.96$29.82
Max Pain$29.91$28.00$32.00$28.00$30.00
ATM IV27.9%23.5%37.6%28.1%37.6%
Expected Move7.9%6.7%10.8%8.1%10.8%
HV 20d25.5%21.4%33.6%22.0%32.6%
HV 60d20.5%18.8%24.2%19.4%24.1%
IV Rank51.4%34.7%87.4%52.1%87.4%
IV Percentile77.8%54.4%98.8%84.5%98.8%
Term Structure-2.0%-6.2%4.2%-1.7%-6.2%
VWIV30.5%25.1%39.9%25.6%39.9%
Skew 25d6.7%2.2%14.7%2.2%6.9%
Skew 10d13.2%1.2%24.6%1.2%6.0%
Call IV 25d25.1%17.9%35.6%25.3%34.9%
Put IV 25d31.8%26.5%41.8%27.5%41.8%
Bid-Ask Spread %82.6917.77132.3057.03100.84
Gamma HHI0.340.250.530.320.25
Net GEX792.7K202.3K1.3M938.4K202.3K
Net DEX-10.5M-17.7M-1.3M-12.0M-1.3M
Net VEX-84.2K-90.3K-78.3K-81.5K-84.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.572.031.231.08
Total Volume3,023.727413,4353,0103,212
Total OI15,571.90912,94917,66515,32614,646

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$30.96$28.0028.1%8.1%22.0%52.1%25.6%2.2%-1.7%938.4K-12.0M-81.5K1.2357.03N/AN/A1,3521,65811,7613,565
2015-06-02$31.58$28.0023.5%6.7%23.0%34.7%29.1%6.2%-2.5%994.1K-15.6M-85.1K0.5795.16N/AN/A261512,0013,571
2015-06-03$31.98$28.0026.2%7.5%21.4%44.8%25.5%10.8%-4.2%932.3K-17.7M-86.9K1.4884.13N/AN/A1,2111,78712,0063,576
2015-06-04$31.40$32.0025.3%7.9%22.4%41.4%34.4%5.1%-4.7%956.9K-15.0M-86.4K1.47109.09N/AN/A1,1881,75112,0783,706
2015-06-05$30.66$32.0027.4%7.8%24.1%49.3%29.7%5.3%-1.4%986.2K-11.1M-84.0K1.5417.77N/AN/A1,3502,08512,1273,875
2015-06-08$30.58$30.0031.1%7.9%22.5%63.1%31.2%5.8%-2.5%935.6K-10.5M-86.1K1.6993.16N/AN/A1,2512,10812,3544,366
2015-06-09$30.50$30.0030.9%7.7%22.3%62.3%29.7%2.3%-1.5%1.0M-10.1M-83.4K1.9070.18N/AN/A1,1122,11312,3524,394
2015-06-10$31.54$30.0023.8%6.8%25.4%35.9%27.1%7.9%1.6%980.1K-15.1M-90.3K1.93117.98N/AN/A1,1072,13012,3434,398
2015-06-11$31.58$30.0023.7%6.8%25.1%35.4%26.8%6.7%0.1%974.7K-16.4M-87.2K1.6744.02N/AN/A1,1081,85012,3244,371
2015-06-12$31.10$30.0027.3%7.8%24.3%48.9%30.7%7.1%-1.9%993.7K-13.4M-85.3K1.6785.83N/AN/A1,1081,85012,3374,375
2015-06-15$30.52$30.0029.6%8.5%24.9%57.7%30.7%3.8%-3.5%1.1M-10.5M-80.7K2.0328.42N/AN/A1,1062,24112,3374,375
2015-06-16$30.44$30.0030.3%8.7%24.8%60.3%32.1%6.8%-3.5%1.1M-9.4M-80.3K1.9481.29N/AN/A1,1212,17712,3394,831
2015-06-17$30.28$30.0028.1%8.1%24.8%51.9%31.4%4.2%4.2%1.3M-8.2M-78.3K2.00132.30N/AN/A1,1202,23712,3325,156
2015-06-18$30.94$30.0029.7%8.5%26.2%58.1%27.5%11.9%-0.5%977.0K-13.0M-83.8K1.8650.68N/AN/A1,1652,16512,3315,334
2015-06-19$31.12$30.0024.8%7.1%26.3%39.6%30.4%7.0%-2.6%368.4K-13.7M-80.8K1.77109.88N/AN/A1,1772,08212,1225,393
2015-06-22$32.22$30.0027.4%7.9%29.0%49.5%32.6%14.7%-2.9%537.1K-7.8M-84.2K1.7594.42N/AN/A1,0981,9218,6004,349
2015-06-23$31.98$30.0023.9%6.9%26.8%36.4%25.1%3.0%-1.2%527.0K-7.3M-82.2K1.63118.66N/AN/A1,0991,7868,6034,519
2015-06-24$31.66$30.0026.2%7.5%26.1%44.7%30.1%7.5%-1.2%436.5K-6.3M-85.3K1.62103.45N/AN/A1,0691,7278,6164,525
2015-06-25$31.38$30.0027.0%7.7%26.4%47.7%33.9%10.5%-1.0%435.6K-6.4M-85.2K1.0727.34N/AN/A1,5771,6948,5604,525
2015-06-26$31.58$30.0026.4%7.6%26.4%45.5%31.0%9.9%-1.2%490.2K-7.2M-88.7K1.08104.23N/AN/A1,5631,6969,0644,538
2015-06-29$29.80$30.0036.6%10.5%33.6%83.8%37.1%2.7%-5.7%276.5K-3.1M-82.5K1.1393.40N/AN/A1,5601,7699,0694,538
2015-06-30$29.82$30.0037.6%10.8%32.6%87.4%39.9%6.9%-6.2%202.3K-1.3M-84.9K1.08100.84N/AN/A1,5471,6659,1035,543