EWI Options History — September 2015

In September 2015, EWI traded between $27.82 and $30.24. ATM implied volatility averaged 32.1%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.3% (HV 20d: 27.8%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2015-09-22: Highest Volume — 1,832 contracts
  • 2015-09-08: Largest IV drop — 16.9% change
  • 2015-09-01: Highest IV Rank — 86.9%
  • 2015-09-01: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.02$27.82$30.24$28.94$28.62
Max Pain$29.43$28.00$30.00$30.00$28.00
ATM IV32.1%27.1%41.7%41.7%33.5%
Expected Move9.1%7.8%12.0%12.0%9.6%
HV 20d27.8%23.2%30.7%23.5%29.1%
HV 60d29.1%25.8%30.6%29.5%26.3%
IV Rank56.6%40.7%86.9%86.9%61.0%
IV Percentile83.0%68.7%98.0%98.0%88.1%
Term Structure1.0%-5.5%56.7%-2.5%-3.8%
VWIV30.1%22.0%43.3%43.3%28.0%
Skew 25d10.7%4.8%20.5%15.0%17.1%
Skew 10d12.9%2.5%24.4%19.7%19.2%
Call IV 25d25.4%18.9%35.5%27.6%21.5%
Put IV 25d36.2%30.5%46.7%42.5%38.7%
Bid-Ask Spread %81.0113.38115.17115.1719.22
Gamma HHI0.250.210.330.210.33
Net GEX-10.4K-153.1K86.9K52.7K78.8K
Net DEX818.7K-968.7K2.4M1.4M207.0K
Net VEX-49.6K-58.0K-43.8K-57.6K-45.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.000.730.610.21
Total Volume1,410.1921,8321,6401,457
Total OI13,1188,59615,40715,3589,901

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$28.94$30.0041.7%12.0%23.5%86.9%43.3%15.0%-2.5%52.7K1.4M-57.6K0.61115.17N/AN/A1,0216199,8555,503
2015-09-02$29.26$30.0035.5%10.2%23.2%67.2%42.1%20.5%-1.2%54.5K668.9K-57.2K0.60110.63N/AN/A1,0396199,8555,508
2015-09-03$29.40$30.0036.2%9.2%23.4%69.5%33.0%6.2%-2.8%77.0K456.1K-58.0K0.36103.91N/AN/A1,0393779,8315,508
2015-09-04$28.70$30.0041.4%10.8%24.3%86.0%33.1%7.8%-5.5%-64.4K2.4M-55.2K0.39101.77N/AN/A1,0644169,8315,513
2015-09-08$29.64$30.0034.4%9.4%26.7%63.9%0.0%6.4%-3.8%-60.9K963.1K-53.3K0.0098.85N/AN/A3309,8565,524
2015-09-09$29.22$30.0030.4%8.7%27.0%51.2%33.9%5.1%-0.5%-23.3K291.5K-52.3K0.3999.09N/AN/A1,0614129,8655,524
2015-09-10$29.80$30.0029.9%8.6%28.2%49.7%29.9%7.3%-2.0%-153.1K657.3K-50.7K0.2897.36N/AN/A1,0612929,8515,551
2015-09-11$29.72$30.0027.1%7.8%28.2%40.7%24.6%10.7%1.0%-63.4K845.1K-50.8K0.7199.54N/AN/A1,0657589,8515,556
2015-09-14$29.30$30.0029.3%8.4%28.5%47.6%31.1%8.9%-1.2%-96.5K1.3M-49.0K0.7396.37N/AN/A1,0397589,8565,382
2015-09-15$29.74$30.0029.7%8.5%29.2%49.0%0.0%11.9%-3.1%-132.9K802.0K-48.4K0.00102.37N/AN/A209,8555,382
2015-09-16$29.96$30.0028.1%8.0%29.2%43.8%22.0%10.9%-1.7%-43.3K288.1K-48.2K0.70101.14N/AN/A1,0567449,8585,382
2015-09-17$30.24$30.0030.1%8.6%29.4%50.2%26.3%12.3%56.7%23.2K-968.7K-52.0K0.72102.55N/AN/A1,0447519,8685,376
2015-09-18$29.18$30.0029.9%8.6%30.2%49.7%26.6%9.3%-4.4%-69.9K1.2M-46.0K0.72100.24N/AN/A1,0457499,8645,384
2015-09-21$29.12$30.0027.9%8.0%29.2%43.1%27.5%5.8%1.8%-74.7K561.7K-45.8K0.1597.76N/AN/A1,0171544,2744,322
2015-09-22$28.16$30.0030.8%8.8%30.7%52.5%30.3%7.7%0.1%-89.2K2.1M-43.8K0.0922.85N/AN/A1,6801524,2794,324
2015-09-23$28.20$28.0030.5%8.7%30.6%51.4%30.2%4.8%0.1%66.4K187.3K-46.9K0.1224.09N/AN/A1,2111465,3974,326
2015-09-24$28.14$28.0030.8%8.8%28.2%52.5%27.1%13.4%-0.8%81.2K834.6K-45.1K0.1659.71N/AN/A1,2131895,4984,326
2015-09-25$28.38$28.0029.7%8.5%28.1%49.1%25.1%15.9%-0.2%86.9K170.3K-46.7K0.1845.77N/AN/A1,2072145,5004,371
2015-09-28$27.82$28.0034.2%9.8%28.7%63.3%29.1%12.6%-2.4%65.1K1.2M-44.7K0.2113.38N/AN/A1,2072485,4754,396
2015-09-29$27.96$28.0033.1%9.5%28.9%59.6%28.2%15.8%-3.4%67.9K1.7M-44.4K0.2189.43N/AN/A1,2072485,4754,425
2015-09-30$28.62$28.0033.5%9.6%29.1%61.0%28.0%17.1%-3.8%78.8K207.0K-45.2K0.2119.22N/AN/A1,2092485,4754,426