EWI Options History — May 2016

In May 2016, EWI traded between $23.54 and $25.24. ATM implied volatility averaged 24.0%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.6% (HV 20d: 20.5%). Max pain ranged from $20.00 to $24.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2016-05-18: Highest Volume — 516 contracts
  • 2016-05-05: Largest IV spike — 38.9% change
  • 2016-05-05: Highest IV Rank — 20.8%
  • 2016-05-05: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.15$23.54$25.24$25.24$24.30
Max Pain$20.57$20.00$24.00$24.00$20.00
ATM IV24.0%19.9%33.7%20.2%23.1%
Expected Move6.9%5.7%10.2%5.8%6.6%
HV 20d20.5%17.7%29.1%29.1%19.6%
HV 60d26.3%24.3%29.9%29.9%24.3%
IV Rank9.9%5.2%20.8%5.6%8.8%
IV Percentile35.3%9.9%80.2%10.7%27.4%
Term Structure0.0%-3.6%7.9%-1.3%0.5%
VWIV24.9%18.4%48.2%18.7%23.6%
Skew 25d0.7%-58.2%10.4%-6.9%2.4%
Skew 10d0.8%-71.1%16.5%-8.9%3.1%
Call IV 25d23.4%15.9%80.1%24.9%20.8%
Put IV 25d24.1%17.5%34.5%18.0%23.2%
Bid-Ask Spread %55.6311.14138.6598.20114.50
Gamma HHI0.290.220.350.340.35
Net GEX6.7K-10.5K29.3K29.3K17.7K
Net DEX-609.7K-1.2M-169.9K-1.2M-816.9K
Net VEX-10.0K-12.5K-9.0K-10.7K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.821.160.820.97
Total Volume476.714441516457462
Total OI3,697.0953,6333,7493,7423,633

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$25.24$24.0020.2%5.8%29.1%5.6%18.7%-6.9%-1.3%29.3K-1.2M-10.7K0.8298.20N/AN/A2512061,7122,030
2016-05-03$24.60$24.0021.9%6.3%28.4%7.5%20.5%-0.2%7.0%11.2K-846.3K-11.1K0.8341.03N/AN/A2512071,7122,030
2016-05-04$24.50$24.0024.3%7.0%28.2%10.2%24.1%5.0%0.7%13.5K-776.0K-10.4K0.8399.90N/AN/A2512071,7002,038
2016-05-05$24.20$20.0033.7%10.2%24.8%20.8%48.2%2.8%-3.6%3.6K-690.1K-12.5K0.9262.11N/AN/A2302111,7002,038
2016-05-06$24.30$20.0026.9%6.7%20.1%13.1%21.8%5.1%-0.9%1.5K-681.7K-9.3K0.9123.79N/AN/A2342141,7042,038
2016-05-09$23.96$20.0024.8%7.1%20.2%10.8%26.9%9.8%-1.6%-2.6K-535.8K-10.0K1.1111.14N/AN/A2372621,7092,040
2016-05-10$24.32$20.0023.6%6.6%20.2%9.4%27.2%9.7%-1.3%5.2K-634.3K-9.4K1.1515.26N/AN/A2372711,7142,013
2016-05-11$24.06$20.0022.9%6.6%17.8%8.6%29.1%10.4%-0.4%2.7K-549.7K-9.1K1.1621.10N/AN/A2372741,7141,995
2016-05-12$24.04$20.0024.1%6.9%17.8%9.9%27.9%9.8%-0.7%8.9K-653.8K-9.7K1.1519.21N/AN/A2372741,7141,984
2016-05-13$23.72$20.0026.8%7.7%18.3%13.1%29.3%8.2%-3.4%-3.1K-434.2K-9.9K1.1532.53N/AN/A2372741,7151,984
2016-05-16$24.00$20.0027.3%7.8%18.1%13.6%20.8%0.9%-3.5%3.2K-510.3K-9.0K1.1162.03N/AN/A2392661,7151,984
2016-05-17$23.64$20.0024.7%7.1%18.2%10.6%20.9%-0.5%-2.3%-6.3K-457.3K-9.2K1.1113.18N/AN/A2392661,7181,984
2016-05-18$23.56$20.0024.0%6.9%17.9%9.9%27.4%5.8%-1.3%-10.5K-169.9K-11.0K1.1496.90N/AN/A2412751,7182,000
2016-05-19$23.54$20.0024.2%6.9%17.9%10.1%26.7%4.5%-1.5%-5.1K-351.1K-9.5K1.0343.84N/AN/A2412481,7182,002
2016-05-20$23.68$20.0021.8%6.2%18.1%7.4%18.9%-2.4%0.5%985-321.6K-9.7K1.0639.51N/AN/A2412551,7181,982
2016-05-23$23.60$20.0024.6%7.1%17.7%10.6%18.5%-6.1%0.4%417-340.9K-9.6K0.9217.00N/AN/A2302131,6951,947
2016-05-24$24.18$20.0022.1%6.3%18.6%7.7%23.8%5.0%7.9%9.9K-537.6K-9.6K0.93107.13N/AN/A2282131,6951,939
2016-05-25$24.58$20.0020.4%5.8%19.5%5.8%18.4%3.2%0.7%17.8K-713.7K-9.9K0.9412.18N/AN/A2282151,6951,939
2016-05-26$24.68$20.0023.6%6.8%19.6%9.4%21.0%6.3%0.9%19.4K-824.7K-10.3K0.9899.07N/AN/A2282251,6951,939
2016-05-27$24.48$20.0019.9%5.7%19.6%5.2%29.6%-58.2%3.8%22.6K-769.6K-11.1K1.00138.65N/AN/A2282281,6901,949
2016-05-31$24.30$20.0023.1%6.6%19.6%8.8%23.6%2.4%0.5%17.7K-816.9K-9.0K0.97114.50N/AN/A2342281,6901,943