EWI Options History — December 2015

In December 2015, EWI traded between $27.34 and $29.02. ATM implied volatility averaged 20.4%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.9% (HV 20d: 17.5%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2015-12-16: Highest Volume — 1,506 contracts
  • 2015-12-08: Largest IV spike — 23.9% change
  • 2015-12-01: Highest IV Rank — 35.2%
  • 2015-12-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.07$27.34$29.02$28.84$27.58
Max Pain$28.18$28.00$30.00$30.00$28.00
ATM IV20.4%15.2%25.4%25.3%15.2%
Expected Move5.8%4.4%7.3%7.3%4.4%
HV 20d17.5%15.3%19.0%16.6%18.4%
HV 60d18.6%15.6%21.1%21.1%15.8%
IV Rank18.9%2.5%35.2%35.2%2.5%
IV Percentile14.9%0.4%58.3%57.5%0.4%
Term Structure2.3%-2.6%11.3%-1.0%2.7%
VWIV20.9%14.3%25.9%25.9%14.3%
Skew 25d4.8%-2.0%10.7%10.7%3.2%
Skew 10d6.5%-2.1%21.5%7.3%3.7%
Call IV 25d18.0%13.2%22.3%15.2%16.3%
Put IV 25d22.8%18.9%26.4%25.9%19.5%
Bid-Ask Spread %70.6113.61123.7360.65105.20
Gamma HHI0.500.280.760.320.76
Net GEX-112.5K-225.5K21.4K-135.6K-225.5K
Net DEX2.6M405.5K6.1M787.2K1.9M
Net VEX-23.2K-29.2K-16.8K-29.1K-16.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.265.105.100.30
Total Volume1,158.18201,506611,025
Total OI8,377.9556,5709,4789,2176,586

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$28.84$30.0025.3%7.3%16.6%35.2%25.9%10.7%-1.0%-135.6K787.2K-29.1K5.1060.65N/AN/A10514,5484,669
2015-12-02$28.44$30.0022.7%6.5%17.1%26.9%20.6%4.3%1.6%-144.2K2.6M-28.3K0.2928.72N/AN/A1,1563364,5624,720
2015-12-03$28.58$28.0022.9%5.9%16.1%27.7%19.5%4.5%4.8%-133.7K575.7K-27.7K0.3059.79N/AN/A1,1403374,6524,731
2015-12-04$29.02$28.0019.8%5.2%17.1%17.7%22.4%-1.1%-1.2%-152.7K1.2M-29.2K0.3036.34N/AN/A1,0873314,6634,731
2015-12-07$28.64$28.0020.5%6.6%17.6%20.0%0.0%6.8%0.2%-100.0K1.9M-27.0K0.0051.31N/AN/A004,6604,733
2015-12-08$28.12$28.0025.4%6.6%17.9%35.0%22.8%10.2%0.2%-88.0K3.4M-26.1K0.3013.61N/AN/A1,0873304,6634,733
2015-12-09$28.12$28.0023.0%6.6%17.7%27.2%22.7%10.6%-0.5%-101.1K3.1M-26.2K0.3063.66N/AN/A1,0873304,6634,737
2015-12-10$28.00$28.0021.3%6.1%17.7%21.6%21.3%9.6%1.2%-89.0K3.1M-25.5K0.2668.01N/AN/A1,0872824,6634,736
2015-12-11$27.50$28.0019.2%5.5%15.3%15.1%23.8%8.3%1.2%-108.3K4.4M-24.4K0.2758.96N/AN/A1,0872974,6634,737
2015-12-14$27.34$28.0020.4%5.8%15.4%18.9%23.0%1.6%4.8%-137.6K6.1M-22.0K0.3473.39N/AN/A1,0873674,6634,741
2015-12-15$27.76$28.0023.8%6.8%16.1%29.8%25.2%5.3%-2.6%-37.3K4.7M-23.4K0.3069.48N/AN/A1,1563444,6984,780
2015-12-16$28.20$28.0019.7%5.7%17.1%16.8%24.2%8.4%4.4%-76.0K4.5M-22.7K0.30121.04N/AN/A1,1563504,6894,780
2015-12-17$27.80$28.0016.2%4.6%17.7%5.4%18.0%1.3%4.4%21.4K3.1M-22.6K0.2787.32N/AN/A1,1563174,6894,786
2015-12-18$27.48$28.0019.4%5.6%18.0%15.8%20.3%6.0%1.3%-85.4K5.3M-21.0K0.2620.50N/AN/A1,1562964,6864,752
2015-12-21$27.62$28.0019.0%5.4%18.0%14.4%19.1%6.0%5.3%-126.9K3.4M-20.3K0.3385.35N/AN/A7372423,1633,407
2015-12-22$27.74$28.0021.7%6.2%18.1%23.2%23.1%-2.0%11.3%-110.1K3.0M-20.4K0.33123.73N/AN/A7372453,2133,375
2015-12-23$28.18$28.0017.7%5.1%19.0%10.3%17.9%5.0%2.8%-104.5K585.3K-20.4K0.3399.96N/AN/A7372453,2133,365
2015-12-24$28.18$28.0019.8%5.7%18.5%17.0%19.9%1.6%1.0%-110.6K1.2M-20.3K0.3191.77N/AN/A7902453,2133,365
2015-12-28$28.18$28.0018.8%5.4%18.0%13.9%18.8%1.5%2.5%-131.4K1.0M-19.5K0.3024.17N/AN/A7802353,2663,365
2015-12-29$28.30$28.0018.9%5.4%18.1%14.1%19.5%2.1%2.0%-129.7K405.5K-18.6K0.30107.00N/AN/A7812353,2713,364
2015-12-30$27.96$28.0017.0%4.9%18.4%8.2%17.3%2.3%3.2%-169.5K1.6M-18.1K0.30103.41N/AN/A7912353,2573,364
2015-12-31$27.58$28.0015.2%4.4%18.4%2.5%14.3%3.2%2.7%-225.5K1.9M-16.8K0.30105.20N/AN/A7912343,2673,319