EWI Options History — August 2015

In August 2015, EWI traded between $28.58 and $31.72. ATM implied volatility averaged 28.4%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 8.0% (HV 20d: 20.4%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.43.

Notable Days

  • 2015-08-12: Highest Volume — 2,690 contracts
  • 2015-08-24: Largest IV spike — 38.2% change
  • 2015-08-24: Highest IV Rank — 99.7%
  • 2015-08-24: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.49$28.58$31.72$30.96$29.68
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV28.4%18.6%45.8%24.0%36.7%
Expected Move8.2%5.3%13.1%6.9%10.5%
HV 20d20.4%16.8%26.3%25.6%22.3%
HV 60d29.2%28.4%29.7%29.5%29.1%
IV Rank44.9%13.8%99.7%31.0%71.1%
IV Percentile60.6%4.8%99.6%48.0%94.4%
Term Structure2.0%-10.9%82.2%0.2%-2.7%
VWIV28.4%21.0%39.7%24.4%38.1%
Skew 25d7.2%-1.6%19.2%2.3%19.2%
Skew 10d10.7%-1.5%23.9%2.2%14.8%
Call IV 25d25.3%16.3%38.6%22.2%26.4%
Put IV 25d32.4%22.0%48.7%24.5%45.6%
Bid-Ask Spread %65.0014.20103.6776.8844.88
Gamma HHI0.260.200.330.240.21
Net GEX483.9K54.3K967.6K635.3K111.4K
Net DEX-4.6M-10.8M2.5M-6.6M69.8K
Net VEX-70.7K-79.5K-58.9K-77.9K-60.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.430.1936.700.240.63
Total Volume1,777.19512,6901951,663
Total OI18,434.71415,30519,98619,49815,356

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$30.96$30.0024.0%6.9%25.6%31.0%24.4%2.3%0.2%635.3K-6.6M-77.9K0.2476.88N/AN/A1573811,5347,964
2015-08-04$30.60$30.0020.5%5.9%26.1%19.9%23.9%-1.6%3.6%569.6K-5.2M-77.6K0.7218.30N/AN/A1,24590111,4767,975
2015-08-05$31.04$30.0018.6%5.3%26.3%13.8%21.0%3.6%0.1%720.6K-7.5M-79.5K0.6857.73N/AN/A1,33490211,4897,977
2015-08-06$31.06$30.0021.4%6.1%24.6%22.8%23.8%6.1%0.6%717.1K-7.4M-78.5K0.7373.20N/AN/A1,4091,02311,5307,996
2015-08-07$31.22$30.0020.8%5.9%17.0%20.9%27.3%6.5%2.1%742.8K-8.0M-75.4K0.7990.97N/AN/A1,3031,02311,5057,971
2015-08-10$31.72$30.0019.5%6.0%17.4%16.9%21.8%9.2%1.1%967.6K-10.8M-77.8K0.6278.04N/AN/A1,46490811,4927,971
2015-08-11$31.48$30.0021.4%6.5%17.7%22.8%24.0%8.0%-0.9%856.4K-9.5M-73.0K0.1970.58N/AN/A43811,3387,972
2015-08-12$31.34$30.0025.1%7.2%17.9%34.6%23.3%11.0%-1.4%769.5K-8.2M-76.3K1.1644.12N/AN/A1,2431,44711,3067,979
2015-08-13$31.30$30.0024.7%7.1%17.1%33.3%23.9%6.8%-1.0%672.0K-8.2M-77.8K1.2727.51N/AN/A1,1431,44711,2848,665
2015-08-14$31.18$30.0024.6%7.0%17.2%32.7%24.8%6.0%1.1%658.6K-7.7M-77.8K0.6971.77N/AN/A1,14379211,2908,665
2015-08-17$31.26$30.0025.0%7.2%16.8%34.1%25.5%4.5%-2.0%659.8K-7.5M-72.6K0.7722.33N/AN/A1,11385611,2908,663
2015-08-18$30.92$30.0027.6%7.9%17.2%42.4%27.3%7.2%-3.2%591.0K-6.7M-71.2K1.0014.20N/AN/A1,1011,10511,2958,641
2015-08-19$30.74$30.0028.3%8.1%17.3%44.5%27.6%8.0%-3.5%501.2K-5.7M-67.5K36.7086.48N/AN/A518411,2928,637
2015-08-20$29.84$30.0031.1%8.9%20.2%53.5%30.8%4.2%-5.6%294.2K-1.4M-67.5K0.8432.22N/AN/A1,02585911,2898,692
2015-08-21$29.20$30.0033.1%9.5%21.3%59.8%34.6%7.3%-5.8%112.7K2.5M-64.3K1.0067.93N/AN/A1,0361,03211,2948,692
2015-08-24$28.58$30.0045.8%13.1%21.5%99.7%39.7%10.1%82.2%74.8K1.4M-63.8K0.5696.93N/AN/A1,1126269,9015,470
2015-08-25$28.76$30.0037.6%10.8%18.7%74.1%34.9%1.2%-10.9%54.3K329.6K-58.9K0.5996.86N/AN/A1,0436159,8705,445
2015-08-26$29.66$30.0035.8%10.3%22.2%68.1%28.7%5.8%-4.7%121.9K-222.7K-61.1K0.59103.67N/AN/A1,0396159,8535,452
2015-08-27$29.96$30.0042.2%12.1%22.6%88.5%36.2%12.7%-8.2%208.6K-995.0K-63.8K0.6199.52N/AN/A1,0196189,8565,452
2015-08-28$29.76$30.0032.5%9.3%22.3%57.9%34.7%12.6%0.3%121.5K-46.3K-62.0K0.6490.92N/AN/A1,0236599,8555,455
2015-08-31$29.68$30.0036.7%10.5%22.3%71.1%38.1%19.2%-2.7%111.4K69.8K-60.5K0.6344.88N/AN/A1,0236409,8555,501