EWI Options History — August 2016

In August 2016, EWI traded between $21.50 and $22.68. ATM implied volatility averaged 27.0%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 8.0% (HV 20d: 19.0%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 2.84.

Notable Days

  • 2016-08-22: Highest Volume — 2,212 contracts
  • 2016-08-05: Largest IV drop — 18.4% change
  • 2016-08-04: Highest IV Rank — 22.1%
  • 2016-08-03: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.25$21.50$22.68$21.90$22.58
Max Pain$23.30$22.00$24.00$22.00$24.00
ATM IV27.0%19.3%34.8%33.3%23.7%
Expected Move7.7%5.5%9.9%9.6%6.8%
HV 20d19.0%14.3%29.5%29.5%14.3%
HV 60d45.4%45.2%45.6%45.5%45.3%
IV Rank13.2%4.6%22.1%20.4%9.5%
IV Percentile47.0%6.3%82.9%78.2%29.4%
Term Structure3.1%-2.2%17.2%-0.6%4.3%
VWIV25.9%19.2%36.0%31.3%22.8%
Skew 25d2.8%-8.6%9.9%0.4%1.5%
Skew 10d2.2%-10.2%16.7%-0.9%1.9%
Call IV 25d24.0%17.4%34.5%28.2%22.3%
Put IV 25d26.7%19.8%35.4%28.6%23.8%
Bid-Ask Spread %72.7915.86128.08114.9280.61
Gamma HHI0.430.300.580.300.58
Net GEX-193.3K-288.1K-120.6K-174.2K-176.6K
Net DEX3.6M3.0M4.2M3.7M3.7M
Net VEX-15.4K-17.6K-13.1K-16.5K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.841.3512.401.351.87
Total Volume891.739192,212724865
Total OI7,0556,2327,3526,7157,307

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$21.90$22.0033.3%9.6%29.5%20.4%31.3%0.4%-0.6%-174.2K3.7M-16.5K1.35114.92N/AN/A3094151,6095,106
2016-08-02$21.52$22.0033.0%9.5%25.7%20.0%36.0%4.4%-1.7%-193.0K4.1M-15.6K1.9015.86N/AN/A2845411,6125,114
2016-08-03$21.50$22.0034.7%9.9%25.5%21.9%24.4%-8.6%-2.2%-204.6K4.2M-16.4K1.82118.14N/AN/A2845181,6135,179
2016-08-04$21.52$22.0034.8%9.1%24.4%22.1%31.3%9.1%-0.8%-199.4K4.2M-15.6K1.5697.09N/AN/A2844411,6135,186
2016-08-05$21.92$22.0028.4%8.8%20.4%14.9%30.6%3.9%-1.3%-200.4K3.8M-15.1K1.5485.00N/AN/A2834371,6105,232
2016-08-08$22.04$22.0031.1%8.2%20.1%17.8%29.5%3.1%1.7%-206.3K3.6M-15.2K1.6731.84N/AN/A2924891,6095,266
2016-08-09$22.18$22.0028.7%8.3%17.3%15.1%23.3%1.6%1.1%-222.7K3.6M-14.4K1.6687.74N/AN/A2924841,6215,337
2016-08-10$22.36$22.0027.8%8.0%17.4%14.2%26.1%-3.0%1.6%-193.8K3.4M-14.3K1.9983.71N/AN/A3186331,6215,309
2016-08-11$22.50$24.0027.0%7.7%16.8%13.2%24.9%6.6%2.4%-233.5K3.3M-15.7K2.0527.33N/AN/A3186501,5795,560
2016-08-12$22.58$24.0027.7%7.9%16.7%14.0%27.1%-0.4%0.5%-207.8K3.3M-15.3K2.0126.40N/AN/A3186391,5795,574
2016-08-15$22.68$24.0026.7%7.6%16.7%12.9%25.7%-1.9%1.7%-204.1K3.0M-14.6K2.0820.13N/AN/A3186601,5795,576
2016-08-16$22.54$24.0025.9%7.4%16.3%12.0%24.8%7.8%1.9%-201.3K3.4M-14.7K2.0120.72N/AN/A3436901,5645,628
2016-08-17$22.40$24.0027.0%7.7%16.5%13.2%0.0%6.1%1.6%-288.1K3.4M-14.3K0.0096.36N/AN/A01531,5405,641
2016-08-18$22.58$24.0026.6%7.6%16.7%12.8%26.5%4.2%2.0%-231.1K3.3M-14.1K2.7022.16N/AN/A5141,5405,790
2016-08-19$22.10$24.0024.5%7.0%18.5%10.4%24.0%7.7%3.9%-129.8K3.3M-13.8K1.7350.46N/AN/A3275651,5705,782
2016-08-22$22.16$24.0023.7%6.8%18.3%9.5%23.8%9.9%12.6%-120.6K3.3M-13.1K6.81105.90N/AN/A2831,9291,5324,700
2016-08-23$22.60$24.0024.9%7.1%19.4%10.9%24.8%-3.5%6.9%-157.7K3.6M-16.2K4.79117.74N/AN/A2981,4271,5325,716
2016-08-24$22.56$24.0022.2%6.4%19.2%7.9%22.4%5.1%4.4%-169.2K3.6M-17.1K12.40117.84N/AN/A5621,5425,736
2016-08-25$22.46$24.0023.6%6.8%19.1%9.4%25.8%5.5%3.9%-170.4K3.5M-16.9K4.87117.48N/AN/A3011,4641,5425,708
2016-08-26$22.40$24.0019.3%5.5%17.7%4.6%19.2%-0.7%17.2%-197.8K3.6M-17.6K1.84128.08N/AN/A2965451,5425,710
2016-08-29$22.32$24.0021.9%6.3%15.8%7.5%22.8%1.0%5.7%-190.5K3.7M-16.9K1.8721.41N/AN/A3025651,5415,726
2016-08-30$22.46$24.0024.1%6.9%14.3%10.0%23.7%3.4%5.0%-173.5K3.7M-15.6K1.8687.32N/AN/A3025621,5465,746
2016-08-31$22.58$24.0023.7%6.8%14.3%9.5%22.8%1.5%4.3%-176.6K3.7M-15.4K1.8780.61N/AN/A3025631,5515,756