EWI Options History — January 2016

In January 2016, EWI traded between $23.50 and $27.12. ATM implied volatility averaged 33.6%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 9.7% (HV 20d: 23.9%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.52.

Notable Days

  • 2016-01-15: Highest Volume — 1,405 contracts
  • 2016-01-15: Largest IV spike — 265.8% change
  • 2016-01-15: Highest IV Rank — 100.0%
  • 2016-01-15: Largest Expected Move — 26.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.14$23.50$27.12$27.12$23.88
Max Pain$27.79$26.00$30.00$30.00$26.00
ATM IV33.6%24.5%91.8%29.5%32.5%
Expected Move9.2%6.2%26.3%7.9%9.3%
HV 20d23.9%17.8%31.0%19.0%30.9%
HV 60d19.3%15.9%23.0%16.1%23.0%
IV Rank36.9%13.4%100.0%48.0%23.3%
IV Percentile78.0%52.0%100.0%77.0%85.3%
Term Structure-6.6%-125.3%11.6%-2.7%0.7%
VWIV23.9%15.8%40.7%15.8%22.9%
Skew 25d6.2%-12.6%17.5%4.9%13.2%
Skew 10d7.5%-12.3%14.1%5.3%13.8%
Call IV 25d24.9%16.7%35.4%21.5%24.7%
Put IV 25d31.1%22.8%39.6%26.4%37.8%
Bid-Ask Spread %88.6222.72138.38102.71108.17
Gamma HHI0.260.150.540.540.15
Net GEX-2.9K-88.7K36.7K-88.7K1.5K
Net DEX2.9M-568.0K6.4M3.8M-259.0K
Net VEX-9.1K-15.2K-7.1K-15.2K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.201.570.281.57
Total Volume962.1585851,4051,0101,015
Total OI4,442.0531,7056,9666,5862,429

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$27.12$30.0029.5%7.9%19.0%48.0%15.8%4.9%-2.7%-88.7K3.8M-15.2K0.28102.71N/AN/A7892213,2673,319
2016-01-05$27.06$30.0025.6%6.2%17.8%35.5%16.6%3.7%-0.0%-87.6K4.2M-13.9K0.2522.72N/AN/A8642163,2673,326
2016-01-06$26.26$30.0025.5%6.6%19.9%35.1%19.2%2.8%0.8%-40.5K6.4M-9.5K0.24118.00N/AN/A9082183,3413,324
2016-01-07$26.14$30.0028.6%7.8%19.2%45.1%20.2%7.5%-2.4%-21.8K6.4M-9.6K0.2729.48N/AN/A8392243,3863,262
2016-01-08$25.78$30.0024.5%7.3%19.5%31.9%20.5%3.0%-0.7%-15.3K6.0M-9.5K0.24109.86N/AN/A9132233,4443,233
2016-01-11$25.74$30.0038.1%6.7%19.5%75.2%22.1%1.8%5.7%6.7K6.1M-8.7K0.23104.27N/AN/A9132123,5193,232
2016-01-12$26.04$30.0028.4%7.5%19.6%44.5%20.6%11.9%-0.5%36.7K6.4M-8.0K0.2353.07N/AN/A9142133,5193,231
2016-01-13$25.68$28.0027.1%7.8%19.9%40.2%22.2%6.1%-2.4%30.3K6.4M-8.6K0.20123.78N/AN/A1,0862133,5193,231
2016-01-14$25.92$28.0025.1%7.2%19.3%33.9%19.5%9.9%0.8%25.5K5.9M-8.5K0.2398.01N/AN/A1,0862483,7313,232
2016-01-15$24.90$28.0091.8%26.3%22.0%100.0%30.5%-0.8%-125.3%14.5K5.9M-8.7K0.29138.38N/AN/A1,0863193,7313,235
2016-01-19$24.44$26.0028.4%8.1%22.2%18.0%31.3%2.4%11.6%12.2K-389.8K-7.9K0.58131.67N/AN/A4412541,135570
2016-01-20$23.50$26.0037.5%10.8%25.1%29.8%29.6%12.7%-5.0%6.8K-382.2K-7.5K0.6533.87N/AN/A3932541,149647
2016-01-21$24.28$26.0036.6%10.5%28.6%28.6%26.8%17.5%-3.7%9.7K-295.7K-7.9K0.7036.00N/AN/A3912751,159650
2016-01-22$24.62$26.0024.8%7.1%29.3%13.4%19.0%6.2%8.0%9.0K-439.6K-7.7K0.70102.09N/AN/A3912731,159654
2016-01-25$23.94$26.0031.9%9.2%29.1%22.6%28.2%9.8%-5.8%5.9K-238.8K-7.1K0.7029.13N/AN/A3912731,159656
2016-01-26$24.48$26.0031.5%9.0%30.9%22.0%23.4%15.0%-1.1%8.0K-324.5K-7.3K0.46104.51N/AN/A4281971,159656
2016-01-27$24.08$26.0034.5%9.9%31.0%26.0%25.2%-12.6%1.1%17.0K-568.0K-8.4K0.48132.30N/AN/A3941911,260667
2016-01-28$23.82$26.0036.1%10.3%30.7%28.0%40.7%3.5%-3.8%14.4K-396.4K-8.0K1.57105.68N/AN/A3946211,273668
2016-01-29$23.88$26.0032.5%9.3%30.9%23.3%22.9%13.2%0.7%1.5K-259.0K-10.8K1.57108.17N/AN/A3946211,2731,156