EWI Options History — October 2015

In October 2015, EWI traded between $28.30 and $30.62. ATM implied volatility averaged 24.0%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.4% (HV 20d: 23.6%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.21.

Notable Days

  • 2015-10-14: Highest Volume — 2,277 contracts
  • 2015-10-12: Largest IV spike — 32.2% change
  • 2015-10-13: Highest IV Rank — 56.4%
  • 2015-10-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.00$28.30$30.62$28.30$29.68
Max Pain$29.82$28.00$30.00$28.00$30.00
ATM IV24.0%19.4%32.1%31.2%22.3%
Expected Move6.8%6.1%8.9%8.9%6.4%
HV 20d23.6%12.6%31.7%29.0%12.6%
HV 60d24.4%23.6%26.6%26.4%23.6%
IV Rank31.1%16.6%56.4%53.7%25.6%
IV Percentile35.5%4.4%84.9%83.7%21.4%
Term Structure0.4%-1.9%14.5%-1.2%-1.0%
VWIV19.6%13.7%27.3%27.3%17.4%
Skew 25d5.6%-1.1%23.2%14.7%-1.1%
Skew 10d7.5%-1.5%26.8%18.3%4.4%
Call IV 25d19.6%14.9%25.6%21.9%18.9%
Put IV 25d25.2%17.8%42.8%36.6%17.8%
Bid-Ask Spread %54.9014.6394.0520.4117.28
Gamma HHI0.230.180.340.340.23
Net GEX18.2K-79.3K85.1K85.1K-9.0K
Net DEX-2.8M-5.7M274.3K274.3K-884.2K
Net VEX-42.7K-47.8K-39.2K-44.9K-40.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.130.480.190.23
Total Volume1,589.773812,2771,4421,609
Total OI10,144.4099,64811,2629,9039,867

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$28.30$28.0031.2%8.9%29.0%53.7%27.3%14.7%-1.2%85.1K274.3K-44.9K0.1920.41N/AN/A1,2092335,4774,426
2015-10-02$29.30$28.0023.9%6.9%31.7%30.8%20.7%23.2%14.5%45.8K-879.8K-45.5K0.2920.41N/AN/A1,1693385,4584,446
2015-10-05$29.76$30.0030.0%7.8%30.8%50.0%0.0%6.0%-1.1%58.2K-2.1M-45.5K0.2884.63N/AN/A63185,4814,600
2015-10-06$29.92$30.0024.6%6.8%28.7%33.0%24.0%4.8%1.2%38.0K-2.8M-42.7K0.2392.15N/AN/A1,1842675,4874,605
2015-10-07$30.00$30.0021.0%6.9%28.2%21.4%24.0%2.8%-0.3%-79.3K-3.3M-42.1K0.1521.57N/AN/A1,7612595,5884,605
2015-10-08$30.26$30.0021.8%7.0%27.5%24.1%24.6%4.3%-1.1%-6.6K-4.6M-44.4K0.1421.91N/AN/A1,8082596,2284,634
2015-10-09$30.28$30.0019.4%6.3%27.4%16.6%22.8%4.0%0.8%16.5K-5.2M-43.2K0.2176.02N/AN/A1,2392556,2744,634
2015-10-12$30.08$30.0025.7%6.6%27.0%36.4%23.0%3.7%0.0%16.2K-4.4M-44.3K0.2193.31N/AN/A1,2142556,2514,634
2015-10-13$30.04$30.0032.1%6.8%26.5%56.4%16.3%11.8%-1.3%13.5K-4.0M-44.8K0.1883.41N/AN/A1,5342726,2544,634
2015-10-14$30.18$30.0023.4%6.7%26.5%29.2%15.6%11.5%-0.2%73.9K-5.4M-47.8K0.4894.05N/AN/A1,5347436,5764,686
2015-10-15$30.62$30.0023.6%6.8%26.8%29.8%20.9%4.9%0.1%45.7K-5.7M-44.0K0.1490.75N/AN/A1,5992316,0764,686
2015-10-16$30.56$30.0022.0%6.3%23.1%24.6%21.4%3.3%1.6%30.9K-3.3M-43.4K0.1341.70N/AN/A1,5972075,2134,689
2015-10-19$30.54$30.0023.0%6.6%23.1%27.9%20.8%-0.1%0.7%37.6K-3.1M-42.0K0.1355.31N/AN/A1,4021805,0594,589
2015-10-20$30.36$30.0023.9%6.8%19.1%30.6%23.0%4.5%-0.4%16.6K-2.6M-42.5K0.1393.02N/AN/A1,4021805,0634,597
2015-10-21$30.10$30.0023.3%6.7%19.6%28.8%15.5%5.5%1.2%27.0K-3.1M-40.9K0.1452.78N/AN/A1,3321805,0634,597
2015-10-22$30.38$30.0023.9%6.9%19.6%30.8%14.8%5.8%-1.9%9.8K-2.5M-40.4K0.1553.20N/AN/A1,3131985,0974,597
2015-10-23$30.26$30.0023.1%6.6%19.7%28.0%13.7%3.9%-0.7%11.4K-2.3M-41.1K0.2449.84N/AN/A1,2793135,0974,620
2015-10-26$30.06$30.0022.3%6.4%18.2%25.5%13.7%3.7%-0.7%8.6K-1.8M-40.9K0.2332.95N/AN/A1,2792975,0974,721
2015-10-27$29.70$30.0022.6%6.5%19.0%26.6%15.0%1.5%-0.2%-585-1.4M-40.4K0.2427.47N/AN/A1,2793015,0974,722
2015-10-28$29.96$30.0024.2%6.9%17.6%31.6%17.6%-0.4%-0.7%-4.4K-1.5M-39.2K0.2470.95N/AN/A1,2703035,0974,727
2015-10-29$29.66$30.0021.3%6.1%17.5%22.6%20.3%4.8%0.2%-34.8K-259.3K-40.3K0.2314.63N/AN/A1,3073035,0984,730
2015-10-30$29.68$30.0022.3%6.4%12.6%25.6%17.4%-1.1%-1.0%-9.0K-884.2K-40.4K0.2317.28N/AN/A1,3063035,1374,730