EWI Options History — June 2016

In June 2016, EWI traded between $20.04 and $24.74. ATM implied volatility averaged 32.5%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 1.8% (HV 20d: 34.2%). Max pain ranged from $20.00 to $38.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-06-28: Highest Volume — 1,824 contracts
  • 2016-06-22: Largest IV spike — 39.7% change
  • 2016-06-22: Highest IV Rank — 34.3%
  • 2016-06-22: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.04$20.04$24.74$24.12$21.72
Max Pain$29.09$20.00$38.00$20.00$22.00
ATM IV32.5%20.7%45.7%23.5%41.5%
Expected Move9.3%5.9%13.1%6.7%11.9%
HV 20d34.2%16.5%72.3%17.7%72.3%
HV 60d29.4%22.1%45.4%24.3%45.4%
IV Rank19.4%6.1%34.3%9.3%29.6%
IV Percentile65.6%12.7%97.2%29.0%94.0%
Term Structure-3.3%-14.5%3.4%0.4%-6.0%
VWIV33.4%18.6%72.4%24.5%31.1%
Skew 25d4.9%-15.9%21.3%2.0%11.9%
Skew 10d9.2%-6.5%46.1%3.1%17.7%
Call IV 25d30.7%12.7%50.3%21.4%35.4%
Put IV 25d35.6%20.7%53.7%23.5%47.2%
Bid-Ask Spread %83.6311.54139.02109.80103.86
Gamma HHI0.290.200.410.340.20
Net GEX13.9K-37.5K114.6K11.7K34.1K
Net DEX152.0K-1.2M1.4M-617.9K426.6K
Net VEX-11.1K-14.3K-8.2K-8.2K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.202.100.970.39
Total Volume847.8644561,8244621,216
Total OI4,000.4553,6385,0943,6385,094

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$24.12$20.0023.5%6.7%17.7%9.3%24.5%2.0%0.4%11.7K-617.9K-8.2K0.97109.80N/AN/A2342281,6951,943
2016-06-02$24.08$38.0023.0%6.2%17.7%8.7%23.2%5.5%0.5%11.3K-614.4K-8.2K2.0713.69N/AN/A2344841,6951,943
2016-06-03$24.12$38.0022.4%6.1%17.1%8.1%23.6%6.2%0.8%4.2K-489.9K-8.8K2.0569.21N/AN/A2344811,6952,175
2016-06-06$24.24$38.0023.2%6.9%17.2%8.9%25.6%1.6%-2.2%55897.3K-9.6K2.0522.08N/AN/A2354821,4792,174
2016-06-07$24.62$38.0023.1%6.2%17.2%8.9%18.6%7.8%0.5%19.7K-111.6K-9.5K2.1039.74N/AN/A2304831,4802,174
2016-06-08$24.74$38.0022.1%6.4%16.5%7.8%18.6%9.5%-1.1%27.5K-208.3K-9.6K1.9917.49N/AN/A2575121,4802,176
2016-06-09$24.42$38.0020.7%5.9%16.7%6.1%19.5%3.3%0.5%16.9K-67.9K-8.3K1.8711.54N/AN/A2745131,4652,196
2016-06-10$23.28$38.0028.5%8.2%24.0%15.0%27.8%6.6%-5.0%-15.0K317.3K-10.7K0.90110.00N/AN/A2752491,4852,197
2016-06-13$22.60$38.0031.9%9.2%25.7%18.8%29.2%-0.1%-8.3%-31.6K873.3K-10.5K0.9021.38N/AN/A2822551,4882,210
2016-06-14$22.26$38.0039.0%11.2%25.5%26.7%39.5%0.5%-9.9%-37.5K906.4K-10.6K0.83101.36N/AN/A2872371,5002,204
2016-06-15$22.46$24.0031.3%9.0%25.5%18.0%33.8%-15.9%-5.3%-20.6K726.8K-12.1K0.85139.02N/AN/A2792371,5062,214
2016-06-16$22.58$24.0026.8%7.7%25.7%13.0%31.3%1.1%3.4%-33.3K869.6K-9.9K0.94111.90N/AN/A2732561,5072,214
2016-06-17$23.34$24.0031.4%9.0%28.6%18.2%32.8%6.5%-8.4%-7.0K611.3K-10.4K0.2098.47N/AN/A1,2712561,4972,237
2016-06-20$23.88$24.0038.3%11.0%29.7%26.0%42.6%5.9%-2.0%76.0K-633.7K-14.3K0.69122.50N/AN/A2691872,1781,998
2016-06-21$24.04$24.0032.7%9.4%29.7%19.7%34.0%-1.0%3.1%114.6K-811.2K-13.0K0.7243.48N/AN/A2691952,2281,998
2016-06-22$23.20$24.0045.7%13.1%31.1%34.3%42.9%9.6%-14.3%66.3K-500.1K-13.8K0.75128.40N/AN/A2692012,2282,006
2016-06-23$24.44$24.0042.7%12.2%36.0%30.9%42.5%21.3%-14.5%98.3K-1.2M-13.4K0.27131.81N/AN/A7902152,2282,012
2016-06-24$20.76$22.0043.8%12.6%68.1%32.2%72.4%7.2%-2.7%24.1K130.1K-14.1K0.28127.68N/AN/A8272312,4151,981
2016-06-27$20.04$22.0043.6%12.5%68.7%31.9%47.4%-0.2%0.3%-28.5K1.4M-11.1K0.90111.08N/AN/A8177342,2031,991
2016-06-28$20.82$22.0041.4%11.9%70.8%29.5%39.9%4.5%-1.3%-31.9K1.3M-11.5K0.6790.83N/AN/A1,0927322,2212,337
2016-06-29$21.14$22.0037.6%10.8%71.3%25.2%34.6%13.7%-2.0%6.0K887.0K-12.9K0.50114.52N/AN/A1,0495222,5022,361
2016-06-30$21.72$22.0041.5%11.9%72.3%29.6%31.1%11.9%-6.0%34.1K426.6K-12.9K0.39103.86N/AN/A8773392,7302,364