EWI Options History — July 2015

In July 2015, EWI traded between $28.18 and $31.14. ATM implied volatility averaged 30.1%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 7.5% (HV 20d: 37.6%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2015-07-07: Highest Volume — 4,686 contracts
  • 2015-07-15: Largest IV drop — 33.6% change
  • 2015-07-06: Highest IV Rank — 100.0%
  • 2015-07-02: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.23$28.18$31.14$30.20$30.92
Max Pain$30.36$30.00$32.00$30.00$30.00
ATM IV30.1%19.8%45.9%35.6%23.5%
Expected Move7.7%5.7%10.6%10.2%6.7%
HV 20d37.6%32.2%41.5%32.6%33.8%
HV 60d28.6%24.2%30.0%24.2%29.5%
IV Rank52.4%17.7%100.0%80.1%29.5%
IV Percentile62.7%12.3%100.0%96.8%41.7%
Term Structure-0.4%-6.8%2.2%-4.8%0.9%
VWIV29.9%20.9%41.3%41.3%21.7%
Skew 25d6.1%3.7%10.0%10.0%5.9%
Skew 10d9.8%-91.1%25.6%10.3%17.7%
Call IV 25d24.7%19.1%34.7%32.4%20.1%
Put IV 25d30.8%23.3%42.3%42.3%26.0%
Bid-Ask Spread %76.9018.77122.0420.5323.40
Gamma HHI0.230.200.280.260.22
Net GEX296.5K-32.0K584.2K242.8K584.2K
Net DEX-3.5M-6.5M3.8M-2.4M-6.4M
Net VEX-86.7K-101.9K-76.1K-87.1K-80.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.461.160.730.82
Total Volume2,5992,0604,6863,0892,163
Total OI18,336.514,72219,66214,72219,394

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$30.20$30.0035.6%10.2%32.6%80.1%41.3%10.0%-4.8%242.8K-2.4M-87.1K0.7320.53N/AN/A1,7821,3079,1355,587
2015-07-02$29.94$30.0037.1%10.6%32.2%85.5%38.8%6.2%-6.8%226.5K-2.1M-87.9K0.94103.49N/AN/A1,6521,5579,4405,725
2015-07-06$28.26$30.0042.7%9.8%37.0%100.0%28.5%5.9%-4.5%23.7K2.3M-76.9K0.4625.31N/AN/A1,7327959,5376,014
2015-07-07$28.20$32.0040.2%8.9%37.1%91.2%32.5%7.1%0.4%-15.3K3.6M-76.1K1.1666.84N/AN/A2,1742,5129,7556,149
2015-07-08$28.18$32.0043.9%10.1%37.1%100.0%36.1%6.9%-2.7%-32.0K3.8M-85.8K1.03113.68N/AN/A1,7851,83510,3477,721
2015-07-09$29.04$32.0045.9%9.5%36.6%100.0%39.7%6.9%-2.2%41.0K1.1M-91.2K0.4890.36N/AN/A1,79086810,4808,125
2015-07-10$30.56$32.0040.7%8.6%41.5%83.8%35.8%6.9%0.0%238.7K-5.6M-101.9K1.11108.71N/AN/A1,1911,32710,6058,125
2015-07-13$30.30$30.0036.6%8.2%41.3%70.8%36.2%6.0%-2.0%134.5K-3.5M-93.5K0.8199.20N/AN/A1,2791,03310,8768,589
2015-07-14$30.40$30.0038.6%7.3%40.8%77.2%36.0%8.3%-0.2%173.1K-4.7M-96.4K0.82104.31N/AN/A1,2591,03311,0268,636
2015-07-15$30.46$30.0025.7%7.4%40.8%36.2%25.9%6.5%-0.4%150.1K-4.8M-91.9K0.7846.11N/AN/A1,25997611,0158,633
2015-07-16$30.92$30.0023.6%6.8%41.1%29.6%25.3%6.9%-0.3%332.4K-6.5M-89.7K0.7193.78N/AN/A1,36496411,0158,635
2015-07-17$30.82$30.0022.4%6.4%40.4%25.8%23.9%6.3%0.8%332.5K-5.8M-87.5K0.6437.81N/AN/A1,50896410,9568,643
2015-07-20$31.14$30.0019.8%5.7%40.5%17.7%20.9%4.1%1.0%469.4K-6.2M-87.8K0.79102.61N/AN/A1,3491,06510,2797,787
2015-07-21$31.00$30.0022.4%6.4%38.4%26.0%27.2%5.4%1.8%460.2K-5.6M-87.5K1.0121.64N/AN/A1,0251,03710,6237,787
2015-07-22$30.94$30.0021.9%6.3%38.3%24.4%27.5%5.3%2.1%418.8K-4.8M-85.3K1.0798.71N/AN/A1,0401,11110,6247,797
2015-07-23$30.90$30.0022.1%6.3%38.2%24.9%27.8%4.3%1.1%426.4K-4.8M-82.9K1.1099.67N/AN/A1,0051,11110,6097,796
2015-07-24$30.68$30.0022.2%6.4%38.1%25.2%22.1%4.1%2.0%366.9K-4.1M-83.5K0.60122.04N/AN/A1,8601,11510,6097,796
2015-07-27$30.08$30.0025.2%7.2%38.6%34.9%25.4%3.7%0.2%384.7K-4.3M-86.1K0.5598.43N/AN/A1,9141,06211,5097,800
2015-07-28$30.92$30.0025.6%7.3%33.9%36.1%28.5%7.2%0.9%554.7K-6.4M-84.8K0.9776.53N/AN/A1,0981,06211,4637,958
2015-07-29$30.64$30.0022.8%6.5%34.1%27.1%28.2%4.4%1.6%509.0K-5.5M-80.0K0.97119.97N/AN/A1,0931,06211,4517,958
2015-07-30$30.62$30.0023.0%6.6%33.9%27.8%28.2%5.0%2.2%500.5K-5.3M-82.6K0.9218.77N/AN/A1,07298811,4367,958
2015-07-31$30.92$30.0023.5%6.7%33.8%29.5%21.7%5.9%0.9%584.2K-6.4M-80.0K0.8223.40N/AN/A1,18597811,4367,958