EWI Options History — July 2016

In July 2016, EWI traded between $20.24 and $22.38. ATM implied volatility averaged 34.0%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 28.3% (HV 20d: 62.2%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2016-07-15: Highest Volume — 1,725 contracts
  • 2016-07-05: Largest IV spike — 68.4% change
  • 2016-07-07: Highest IV Rank — 35.2%
  • 2016-07-05: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.68$20.24$22.38$21.64$22.38
Max Pain$21.10$20.00$22.00$22.00$22.00
ATM IV34.0%26.1%46.5%27.4%31.2%
Expected Move9.1%7.5%11.4%7.9%8.9%
HV 20d62.2%28.3%75.0%72.2%28.3%
HV 60d45.3%44.6%45.6%44.8%45.4%
IV Rank21.1%12.2%35.2%13.7%17.9%
IV Percentile76.0%51.2%98.0%59.1%69.0%
Term Structure1.2%-2.9%9.4%3.5%-1.1%
VWIV33.3%27.0%43.7%30.2%30.5%
Skew 25d5.1%-21.0%18.9%18.9%-5.0%
Skew 10d1.9%-37.1%33.0%33.0%-10.3%
Call IV 25d30.7%22.9%67.7%23.0%34.3%
Put IV 25d35.8%29.3%46.7%41.9%29.3%
Bid-Ask Spread %92.4916.16124.2450.30102.81
Gamma HHI0.300.210.350.220.30
Net GEX-61.0K-172.4K64.8K64.8K-172.4K
Net DEX2.4M338.9K3.7M338.9K3.3M
Net VEX-15.2K-16.8K-12.1K-13.2K-16.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.312.740.381.25
Total Volume1,147.657271,7251,211729
Total OI6,116.25,1277,0345,1276,656

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$21.64$22.0027.4%7.9%72.2%13.7%30.2%18.9%3.5%64.8K338.9K-13.2K0.3850.30N/AN/A8773342,7362,391
2016-07-05$20.74$20.0046.2%11.4%73.3%34.8%43.7%-21.0%9.4%-4.0K1.0M-12.1K0.4354.49N/AN/A8773792,7362,417
2016-07-06$20.60$20.0045.1%10.2%72.8%33.6%35.3%6.2%2.0%-22.6K1.4M-12.5K0.66100.43N/AN/A8835822,7452,623
2016-07-07$20.24$20.0046.5%10.1%72.6%35.2%36.4%2.9%1.7%-48.4K1.8M-13.7K0.68112.50N/AN/A8846032,7482,960
2016-07-08$21.12$20.0035.3%10.3%75.0%22.6%39.2%13.7%-2.9%-22.3K1.8M-14.5K0.8951.75N/AN/A9108082,7483,313
2016-07-11$21.38$20.0039.0%8.7%73.7%26.7%33.7%5.6%0.3%-29.9K2.6M-14.7K0.43108.21N/AN/A8483642,7733,801
2016-07-12$22.02$20.0036.5%8.9%74.0%23.9%35.0%-5.0%7.2%44.3K2.1M-16.7K0.31124.24N/AN/A8542632,7763,926
2016-07-13$21.88$20.0032.2%9.2%73.8%19.1%32.9%-0.3%0.9%41.6K2.3M-15.8K0.3395.82N/AN/A8932952,7773,997
2016-07-14$22.20$20.0034.2%9.8%73.9%21.4%33.2%5.3%-2.5%45.9K2.1M-16.1K0.3696.50N/AN/A8853192,8394,097
2016-07-15$22.10$20.0033.0%9.5%73.9%20.0%31.5%2.3%0.5%-87.2K1.8M-16.1K0.40114.30N/AN/A1,2364892,8444,190
2016-07-18$22.08$22.0030.6%8.8%72.8%17.4%30.4%2.3%-0.5%-99.1K2.9M-15.8K1.2187.04N/AN/A3504241,5924,235
2016-07-19$21.84$22.0031.2%8.9%72.2%17.9%30.2%10.4%0.3%-108.3K3.1M-16.0K1.16112.91N/AN/A3504071,5884,252
2016-07-20$21.94$22.0031.5%9.0%72.2%18.4%27.8%11.4%-0.7%-102.6K3.0M-15.3K1.0716.16N/AN/A3523751,5884,260
2016-07-21$21.94$22.0031.3%9.0%71.2%18.1%37.1%13.5%-1.4%-96.7K3.0M-15.8K1.86109.91N/AN/A3456401,5904,255
2016-07-22$21.90$22.0030.9%8.8%68.3%17.6%34.1%10.6%-0.1%-108.8K3.1M-16.2K1.8889.99N/AN/A3456481,5874,461
2016-07-25$21.74$22.0027.9%8.0%34.6%14.3%31.4%5.5%3.1%-116.1K3.2M-15.8K2.0597.64N/AN/A3286721,5874,461
2016-07-26$21.86$22.0031.0%8.9%31.6%17.7%33.3%5.4%-0.7%-116.9K3.1M-15.1K2.03123.93N/AN/A3286661,5884,464
2016-07-27$22.08$22.0026.1%7.5%29.1%12.2%27.0%8.5%6.7%-108.9K2.9M-15.3K2.72101.44N/AN/A3238781,5944,499
2016-07-28$21.92$22.0032.5%9.3%29.0%19.4%32.3%11.2%-2.3%-172.0K3.7M-16.8K2.7499.46N/AN/A3248861,5945,036
2016-07-29$22.38$22.0031.2%8.9%28.3%17.9%30.5%-5.0%-1.1%-172.4K3.3M-16.4K1.25102.81N/AN/A3254041,5975,059