EWI Options History — March 2016

In March 2016, EWI traded between $23.36 and $25.32. ATM implied volatility averaged 30.0%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.4% (HV 20d: 29.6%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.56.

Notable Days

  • 2016-03-11: Highest Volume — 12,682 contracts
  • 2016-03-16: Largest IV spike — 263.9% change
  • 2016-03-16: Highest IV Rank — 100.0%
  • 2016-03-16: Largest Expected Move — 26.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.40$23.36$25.32$23.36$24.46
Max Pain$23.82$22.00$24.00$22.00$24.00
ATM IV30.0%20.7%93.9%28.0%23.9%
Expected Move8.6%5.9%26.9%8.0%6.8%
HV 20d29.6%23.4%38.5%38.5%23.8%
HV 60d31.2%30.3%32.1%30.3%31.6%
IV Rank19.2%7.0%100.0%17.6%11.0%
IV Percentile55.6%11.5%100.0%63.5%35.3%
Term Structure4.5%-3.9%95.6%0.6%0.8%
VWIV26.4%20.3%32.2%30.0%23.0%
Skew 25d8.0%-1.6%36.2%8.6%6.5%
Skew 10d8.0%-73.2%113.3%10.0%8.2%
Call IV 25d22.5%18.3%31.3%26.0%18.3%
Put IV 25d30.5%23.6%59.0%34.6%24.8%
Bid-Ask Spread %87.4715.01144.1689.4189.71
Gamma HHI0.610.290.840.340.60
Net GEX595.7K17.7K882.6K61.2K803.0K
Net DEX-5.8M-12.7M-961.9K-961.9K-4.4M
Net VEX-23.8K-35.4K-12.8K-16.2K-19.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.071.050.931.05
Total Volume4,646.7731,58812,6821,5881,690
Total OI9,026.6364,27411,1274,28210,360

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$23.36$22.0028.0%8.0%38.5%17.6%30.0%8.6%0.6%61.2K-961.9K-16.2K0.9389.41N/AN/A8247642,4321,850
2016-03-02$23.54$22.0024.4%7.0%35.9%12.8%25.8%10.3%0.4%58.3K-1.2M-15.7K0.9688.65N/AN/A8247922,4321,850
2016-03-03$24.04$24.0025.4%7.7%36.6%14.2%27.1%11.9%-0.8%17.7K-1.6M-14.6K0.96106.54N/AN/A8247922,4211,853
2016-03-04$23.90$24.0026.1%7.3%36.6%15.1%25.5%9.9%-0.8%56.5K-1.6M-13.5K0.9623.37N/AN/A8257942,4211,853
2016-03-07$23.70$24.0026.0%7.9%35.3%15.0%27.4%11.0%1.9%40.5K-1.4M-12.8K0.1390.17N/AN/A6,3307922,4191,855
2016-03-08$23.62$24.0032.7%8.2%32.6%23.6%32.2%8.4%-1.3%591.9K-7.5M-35.4K0.13126.36N/AN/A6,3308307,9291,855
2016-03-09$23.76$24.0027.0%7.7%30.9%15.4%26.5%9.0%-1.4%632.6K-7.6M-30.5K0.1322.56N/AN/A6,3258007,9291,895
2016-03-10$24.12$24.0027.3%7.8%29.6%15.7%27.9%17.0%-0.7%663.9K-8.6M-31.0K0.1394.91N/AN/A6,3428007,9241,903
2016-03-11$25.32$24.0026.9%7.7%30.5%15.2%23.7%5.4%-3.7%613.4K-12.7M-25.1K0.0783.98N/AN/A11,8658177,9471,913
2016-03-14$25.08$24.0027.6%7.9%30.1%16.1%28.4%3.5%-3.2%784.0K-8.9M-29.8K0.1391.59N/AN/A6,3698079,1801,909
2016-03-15$24.80$24.0025.8%7.4%30.3%13.8%26.0%36.2%-1.9%791.3K-7.9M-29.1K0.13118.94N/AN/A6,3608049,2121,910
2016-03-16$25.04$24.0093.9%26.9%29.6%100.0%31.1%2.3%0.2%864.3K-8.0M-28.4K0.13144.16N/AN/A6,3608049,2171,910
2016-03-17$25.04$24.0020.7%5.9%27.3%7.0%22.7%9.3%1.0%877.6K-9.2M-28.2K0.1317.82N/AN/A6,3608049,2171,906
2016-03-18$24.96$24.0027.8%8.0%27.1%16.0%29.5%3.7%-3.9%812.3K-8.4M-29.7K0.12130.45N/AN/A6,3627909,2171,906
2016-03-21$25.04$24.0046.6%13.4%26.0%39.9%28.8%0.3%95.6%864.4K-7.5M-28.1K0.12123.91N/AN/A6,3307528,4031,792
2016-03-22$24.96$24.0023.9%6.8%24.3%11.0%23.6%2.7%5.6%871.5K-7.2M-26.8K0.92107.24N/AN/A8257638,4031,792
2016-03-23$24.46$24.0022.3%6.4%25.6%9.0%20.3%-1.6%10.8%799.7K-5.3M-26.6K0.96109.64N/AN/A8197898,4031,822
2016-03-24$24.20$24.0024.1%6.9%25.8%11.3%24.8%2.6%0.1%623.5K-3.4M-22.1K1.0578.09N/AN/A8248678,4051,868
2016-03-28$24.32$24.0025.8%7.4%25.8%13.5%25.1%4.6%-0.1%691.4K-3.9M-21.9K1.0571.12N/AN/A8268678,4101,947
2016-03-29$24.44$24.0027.5%7.9%25.7%15.7%27.5%7.7%-0.3%704.5K-4.1M-18.0K1.05100.66N/AN/A8268678,4111,947
2016-03-30$24.72$24.0026.0%7.4%23.4%13.6%23.6%7.1%-1.1%882.6K-5.4M-21.1K1.0515.01N/AN/A8268688,4111,947
2016-03-31$24.46$24.0023.9%6.8%23.8%11.0%23.0%6.5%0.8%803.0K-4.4M-19.8K1.0589.71N/AN/A8268648,4111,949