EWI Options History — April 2016

In April 2016, EWI traded between $22.54 and $25.42. ATM implied volatility averaged 29.1%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.1% (HV 20d: 29.1%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2016-04-01: Highest Volume — 1,712 contracts
  • 2016-04-27: Largest IV spike — 425.7% change
  • 2016-04-27: Highest IV Rank — 100.0%
  • 2016-04-27: Largest Expected Move — 29.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.35$22.54$25.42$24.06$25.42
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV29.1%16.4%104.1%23.8%16.4%
Expected Move7.7%4.7%29.8%6.8%4.7%
HV 20d29.1%23.5%33.0%23.5%29.4%
HV 60d31.9%29.9%34.0%31.8%29.9%
IV Rank16.9%1.3%100.0%10.9%1.3%
IV Percentile42.9%0.8%100.0%34.1%0.8%
Term Structure0.0%-7.2%10.4%0.1%3.8%
VWIV23.9%15.7%36.3%26.1%19.9%
Skew 25d5.1%-6.9%18.0%11.1%-6.9%
Skew 10d2.2%-21.5%18.8%18.8%-15.9%
Call IV 25d21.1%15.0%28.0%19.9%24.0%
Put IV 25d26.2%17.0%43.0%31.0%17.0%
Bid-Ask Spread %62.7713.56138.7763.31111.74
Gamma HHI0.420.290.810.470.36
Net GEX179.9K8.2K601.8K518.0K31.6K
Net DEX-1.4M-3.7M197.9K-2.6M-1.3M
Net VEX-13.1K-17.0K-9.5K-16.7K-11.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.331.611.030.82
Total Volume652.2384171,7121,712458
Total OI7,3423,65910,76510,3613,705

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$24.06$24.0023.8%6.8%23.5%10.9%26.1%11.1%0.1%518.0K-2.6M-16.7K1.0363.31N/AN/A8448688,4111,950
2016-04-04$23.76$24.0026.6%7.4%23.8%14.4%25.3%10.8%-1.8%413.0K-2.0M-16.0K0.6851.79N/AN/A8475798,4521,950
2016-04-05$23.04$24.0028.8%7.3%26.1%17.3%25.5%5.2%0.3%269.4K-813.6K-17.0K1.6134.22N/AN/A3555698,4532,200
2016-04-06$23.38$24.0028.7%7.0%26.7%17.1%21.6%7.5%1.0%316.7K-1.3M-16.6K1.20112.67N/AN/A3554268,4992,198
2016-04-07$22.54$24.0029.7%8.8%29.4%18.5%25.2%1.4%-2.7%102.0K197.9K-15.4K0.5534.21N/AN/A3351858,4992,230
2016-04-08$23.52$24.0032.4%7.8%33.0%21.8%28.1%8.1%-1.9%277.8K-1.1M-15.6K0.5765.45N/AN/A3351908,5192,245
2016-04-11$23.88$24.0033.8%7.1%28.1%23.7%27.5%4.3%1.5%394.4K-2.0M-15.5K0.5620.94N/AN/A3571998,5192,245
2016-04-12$23.58$24.0047.3%7.3%28.2%40.8%28.2%0.5%-3.9%291.4K-1.2M-15.1K0.35101.61N/AN/A5641978,5172,248
2016-04-13$24.28$24.0025.1%7.2%30.3%12.5%26.8%12.2%-0.0%601.8K-2.4M-13.2K0.33122.25N/AN/A5731888,5002,251
2016-04-14$24.36$24.0025.1%7.2%30.0%12.6%23.2%6.2%-0.5%382.5K-3.0M-11.7K0.3541.23N/AN/A5732028,5102,249
2016-04-15$24.34$24.0025.5%7.3%30.0%13.1%23.9%4.8%-7.2%8.9K-3.7M-10.6K0.6462.04N/AN/A3021958,4422,236
2016-04-18$24.68$24.0024.6%7.1%30.5%11.9%24.2%8.2%0.2%14.1K-723.9K-13.2K0.6617.63N/AN/A2871901,6791,980
2016-04-19$24.92$24.0024.6%7.0%30.7%11.9%24.0%3.6%0.1%22.0K-1.0M-11.1K0.7836.53N/AN/A2822201,6791,986
2016-04-20$25.10$24.0017.3%5.0%30.8%2.7%17.8%3.0%1.6%15.9K-1.0M-11.3K0.9253.26N/AN/A2382201,6552,021
2016-04-21$25.04$24.0020.2%5.8%29.9%6.3%17.9%1.5%1.4%21.6K-1.0M-11.1K0.9289.92N/AN/A2382201,6612,021
2016-04-22$25.02$24.0021.1%6.0%29.5%7.4%17.6%1.1%-0.8%18.5K-982.6K-11.1K1.0287.48N/AN/A2152201,6612,021
2016-04-25$24.68$24.0017.9%5.1%30.0%3.4%15.7%-2.4%10.4%8.2K-771.5K-11.7K0.9421.71N/AN/A2152021,6642,021
2016-04-26$25.16$24.0019.8%5.7%30.7%5.8%24.8%6.3%-1.2%19.7K-1.1M-11.1K0.9413.56N/AN/A2162021,6642,031
2016-04-27$25.32$24.00104.1%29.8%30.5%100.0%36.3%18.0%-5.2%24.5K-1.2M-9.5K0.94138.77N/AN/A2162021,6742,031
2016-04-28$25.34$24.0017.4%5.0%30.2%2.4%23.1%2.4%5.0%26.7K-1.2M-10.8K0.9437.97N/AN/A2162021,6742,031
2016-04-29$25.42$24.0016.4%4.7%29.4%1.3%19.9%-6.9%3.8%31.6K-1.3M-11.0K0.82111.74N/AN/A2512071,6742,031