EWI Options History — November 2015

In November 2015, EWI traded between $28.04 and $29.90. ATM implied volatility averaged 22.4%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 7.3% (HV 20d: 15.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.21.

Notable Days

  • 2015-11-18: Highest Volume — 1,749 contracts
  • 2015-11-09: Largest IV spike — 36.7% change
  • 2015-11-18: Highest IV Rank — 34.7%
  • 2015-11-10: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.68$28.04$29.90$29.90$28.78
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV22.4%16.8%25.2%21.6%24.3%
Expected Move6.6%5.0%7.2%6.2%7.0%
HV 20d15.1%11.6%16.9%11.6%16.9%
HV 60d23.0%21.6%24.5%23.6%21.6%
IV Rank25.9%8.1%34.7%23.3%32.0%
IV Percentile30.5%0.8%56.0%14.7%47.2%
Term Structure-0.2%-3.6%1.9%1.9%-0.6%
VWIV19.8%15.4%24.5%19.3%15.4%
Skew 25d5.3%-3.2%12.2%0.3%10.9%
Skew 10d3.9%-4.2%14.1%0.6%5.5%
Call IV 25d18.1%14.3%23.9%19.7%14.3%
Put IV 25d23.4%16.1%28.6%20.1%25.2%
Bid-Ask Spread %53.888.9692.7574.9180.13
Gamma HHI0.320.220.410.220.34
Net GEX-101.8K-183.6K14.5K14.5K-148.9K
Net DEX1.8M-1.5M4.0M-1.5M1.4M
Net VEX-33.6K-38.8K-29.5K-38.8K-29.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.000.290.230.24
Total Volume1,161.911,7491,60937
Total OI9,785.459,08510,1589,8689,184

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$29.90$30.0021.6%6.2%11.6%23.3%19.3%0.3%1.9%14.5K-1.5M-38.8K0.2374.91N/AN/A1,3063035,1384,730
2015-11-03$29.74$30.0019.1%5.5%11.6%15.6%18.9%7.2%1.2%9.4K-374.4K-37.7K0.2315.73N/AN/A1,3063025,1384,730
2015-11-04$29.18$30.0017.3%5.0%13.3%10.0%19.3%-3.2%1.1%-26.9K188.4K-37.9K0.2269.94N/AN/A1,3362995,1384,732
2015-11-05$29.08$30.0017.8%6.0%12.8%11.3%22.3%5.3%-0.0%-34.8K512.2K-37.6K0.2359.93N/AN/A1,3033005,1574,729
2015-11-06$29.20$30.0016.8%5.8%13.0%8.1%20.1%3.7%0.9%-46.0K938.7K-36.8K0.0030.89N/AN/A10005,1534,721
2015-11-09$28.74$30.0022.9%6.8%13.8%27.6%0.0%-0.2%-3.6%-59.7K1.4M-35.6K0.0092.75N/AN/A105,2534,721
2015-11-10$28.88$30.0022.7%7.2%14.0%26.8%21.2%6.7%-2.2%-54.3K1.8M-35.4K0.2368.77N/AN/A1,3453045,2574,721
2015-11-11$28.96$30.0024.3%7.0%13.9%31.9%21.3%2.9%-0.7%-42.2K950.5K-35.7K0.2955.71N/AN/A1,3453905,2574,721
2015-11-12$28.08$30.0023.5%6.7%15.9%29.5%23.8%3.4%1.8%-141.7K3.2M-34.1K0.2789.84N/AN/A1,3503675,2604,824
2015-11-13$28.04$30.0023.8%6.8%16.0%30.2%16.7%10.8%-1.2%-152.9K3.9M-33.3K0.2716.32N/AN/A1,3643645,2624,809
2015-11-16$28.30$30.0024.4%7.0%16.6%32.3%24.5%11.4%-0.1%-183.6K4.0M-31.7K0.1583.44N/AN/A72115,2714,809
2015-11-17$28.22$30.0024.8%7.1%16.6%33.6%19.1%12.2%0.2%-145.9K2.7M-33.1K0.2025.90N/AN/A1,4352815,3444,809
2015-11-18$28.38$30.0025.2%7.2%16.8%34.7%18.1%6.3%0.0%-179.7K3.4M-32.1K0.2217.42N/AN/A1,4353145,3444,814
2015-11-19$28.44$30.0022.9%6.6%16.3%27.7%17.7%4.3%-0.3%-171.6K2.4M-32.0K0.2277.57N/AN/A1,4353145,3444,805
2015-11-20$28.22$30.0021.6%6.2%16.4%23.3%17.9%3.6%0.6%-132.8K2.4M-31.3K0.2235.09N/AN/A1,4353145,3444,800
2015-11-23$28.26$30.0024.9%7.1%16.4%33.7%0.0%5.6%-2.1%-134.4K2.3M-30.6K0.0057.64N/AN/A064,4734,612
2015-11-24$28.10$30.0023.4%6.7%16.1%29.2%23.4%1.6%0.9%-128.3K3.2M-30.0K0.0056.90N/AN/A014,4734,612
2015-11-25$28.40$30.0022.4%6.4%16.3%25.9%16.9%4.0%0.6%-132.6K2.5M-29.8K0.2559.83N/AN/A1,1102794,4764,613
2015-11-27$28.74$30.0023.9%6.9%16.8%30.8%15.4%9.3%-2.6%-143.7K1.2M-29.8K0.258.96N/AN/A1,1032714,4764,655
2015-11-30$28.78$30.0024.3%7.0%16.9%32.0%0.0%10.9%-0.6%-148.9K1.4M-29.5K0.2480.13N/AN/A3074,5224,662