EWI Options History — February 2016

In February 2016, EWI traded between $21.54 and $24.06. ATM implied volatility averaged 35.0%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 1.3% (HV 20d: 36.3%). Max pain ranged from $22.00 to $26.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2016-02-11: Highest Volume — 2,314 contracts
  • 2016-02-18: Largest IV spike — 25.6% change
  • 2016-02-18: Highest IV Rank — 34.5%
  • 2016-02-18: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.61$21.54$24.06$24.06$22.58
Max Pain$23.00$22.00$26.00$26.00$22.00
ATM IV35.0%28.0%41.1%34.9%35.7%
Expected Move10.1%8.7%11.8%10.0%10.2%
HV 20d36.3%31.3%40.3%31.3%36.3%
HV 60d27.0%23.1%29.4%23.1%29.3%
IV Rank26.6%17.5%34.5%26.4%27.5%
IV Percentile86.9%69.8%96.8%89.3%87.7%
Term Structure-4.9%-12.9%0.8%-7.5%-3.2%
VWIV34.3%24.3%40.9%36.8%29.3%
Skew 25d7.6%-2.8%15.5%3.3%10.4%
Skew 10d12.8%-2.5%32.5%0.0%5.5%
Call IV 25d29.7%20.4%36.1%26.7%23.7%
Put IV 25d37.3%30.0%43.3%30.0%34.1%
Bid-Ask Spread %76.2517.19114.2199.90114.21
Gamma HHI0.310.140.480.140.36
Net GEX25.3K-20.0K58.5K1.1K55.1K
Net DEX-197.9K-982.4K887.4K-131.1K-599.2K
Net VEX-14.5K-17.8K-10.0K-10.0K-16.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.441.940.480.93
Total Volume1,471.35552,3145841,588
Total OI3,658.852,4384,2492,4384,228

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$24.06$26.0034.9%10.0%31.3%26.4%36.8%3.3%-7.5%1.1K-131.1K-10.0K0.4899.90N/AN/A3941901,2731,165
2016-02-02$23.14$26.0030.2%8.7%33.2%20.4%34.7%4.4%-4.3%-1.8K79.3K-10.7K0.4892.43N/AN/A3941901,2731,195
2016-02-03$23.24$26.0033.8%9.7%33.4%25.1%40.9%1.2%-5.9%-1.1K179.1K-10.7K0.5079.21N/AN/A3711841,2731,194
2016-02-04$23.48$24.0028.0%9.2%32.9%17.5%28.8%7.7%-2.1%-61854.4K-10.3K1.9483.81N/AN/A3717211,2841,223
2016-02-05$22.86$24.0034.7%10.8%33.7%26.2%35.3%13.9%-6.2%-13.1K323.6K-13.1K1.9273.44N/AN/A3717111,2841,761
2016-02-08$22.08$24.0040.3%10.5%35.1%33.4%33.9%7.4%-5.4%-17.3K682.4K-12.6K1.8921.48N/AN/A3636871,2841,758
2016-02-09$21.54$24.0035.8%11.4%35.5%27.5%40.7%6.2%-9.4%-20.0K887.4K-12.4K0.6885.97N/AN/A1,0347021,2791,763
2016-02-10$22.22$22.0036.3%10.4%37.6%28.2%36.0%10.5%-5.4%13.2K-61.2K-14.3K0.4485.90N/AN/A1,5726941,8261,768
2016-02-11$21.54$22.0037.0%10.6%38.4%29.2%35.9%7.7%-5.5%29.8K53.9K-16.8K0.4722.53N/AN/A1,5727422,3641,769
2016-02-12$22.18$22.0039.3%11.3%40.3%32.1%38.8%11.1%-12.9%33.8K-186.3K-16.7K0.5588.50N/AN/A1,3637512,3641,832
2016-02-16$22.58$22.0037.9%10.9%39.4%30.3%37.0%12.5%-8.0%38.8K-504.0K-17.5K0.5686.89N/AN/A1,3687602,3851,841
2016-02-17$23.10$22.0032.8%9.4%40.2%23.6%32.0%14.5%-8.2%41.9K-982.4K-15.1K0.96103.76N/AN/A7877592,3901,852
2016-02-18$22.48$22.0041.1%11.8%39.0%34.5%37.6%3.2%-8.6%39.9K-649.1K-17.8K1.0092.72N/AN/A7877892,3941,851
2016-02-19$22.32$22.0034.3%9.8%36.7%25.7%34.9%4.0%-2.9%45.4K-298.8K-16.3K0.9943.81N/AN/A7877762,3941,855
2016-02-22$22.92$22.0033.6%9.6%37.8%24.8%34.2%6.8%-2.0%46.2K-821.6K-17.2K0.9776.76N/AN/A7717522,3791,826
2016-02-23$22.44$22.0034.7%10.0%37.3%26.2%32.4%-2.8%-2.2%52.4K-711.0K-15.1K0.9796.51N/AN/A7717512,3791,828
2016-02-24$22.26$22.0035.6%10.2%36.1%27.4%35.8%3.5%0.8%48.6K-222.6K-15.5K0.9983.58N/AN/A7697622,3791,828
2016-02-25$22.60$22.0031.7%9.1%36.5%22.3%24.3%15.5%-0.1%58.5K-455.2K-15.3K0.9917.19N/AN/A7697622,3771,841
2016-02-26$22.64$22.0032.2%9.2%36.4%22.9%25.8%10.9%0.6%56.0K-595.5K-16.1K0.9976.38N/AN/A7747672,3771,841
2016-02-29$22.58$22.0035.7%10.2%36.3%27.5%29.3%10.4%-3.2%55.1K-599.2K-16.3K0.93114.21N/AN/A8247642,3821,846