EWI Options History — September 2016

In September 2016, EWI traded between $21.62 and $23.40. ATM implied volatility averaged 26.9%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.5% (HV 20d: 19.3%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.20.

Notable Days

  • 2016-09-30: Highest Volume — 1,550 contracts
  • 2016-09-09: Largest IV spike — 44.0% change
  • 2016-09-13: Highest IV Rank — 27.8%
  • 2016-09-01: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.31$21.62$23.40$22.74$22.08
Max Pain$22.19$22.00$24.00$24.00$22.00
ATM IV26.9%21.2%39.9%32.4%25.6%
Expected Move7.5%6.0%9.3%9.3%7.3%
HV 20d19.3%13.3%24.3%14.3%24.3%
HV 60d35.0%21.4%45.3%45.3%21.4%
IV Rank13.1%6.7%27.8%19.3%11.7%
IV Percentile48.8%13.1%93.7%75.8%49.6%
Term Structure7.9%-6.6%99.0%-6.6%4.1%
VWIV26.1%19.7%37.2%32.1%25.8%
Skew 25d3.6%-2.6%11.7%11.7%0.6%
Skew 10d-5.0%-88.6%8.1%3.7%1.0%
Call IV 25d22.4%17.8%30.0%18.3%25.0%
Put IV 25d25.9%20.4%35.1%30.0%25.6%
Bid-Ask Spread %87.3414.66138.27121.23100.81
Gamma HHI0.370.230.660.370.24
Net GEX-112.0K-250.2K-34.5K-150.4K-34.5K
Net DEX3.5M3.0M4.9M3.2M4.7M
Net VEX-16.5K-22.2K-14.8K-17.4K-22.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.201.664.431.792.30
Total Volume911.5716621,5508471,550
Total OI6,605.2384,8177,5427,3387,141

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$22.74$24.0032.4%9.3%14.3%19.3%32.1%11.7%-6.6%-150.4K3.2M-17.4K1.79121.23N/AN/A3045431,5515,787
2016-09-02$22.94$24.0025.7%7.4%13.3%11.8%21.5%5.0%4.4%-182.8K3.4M-15.6K1.7064.98N/AN/A3045161,5515,795
2016-09-06$22.98$22.0032.3%8.4%13.3%19.2%28.1%3.2%3.1%-153.0K3.3M-15.8K1.8767.28N/AN/A2785181,5565,801
2016-09-07$23.24$22.0021.2%6.0%13.6%6.7%19.7%4.7%7.1%-129.3K3.1M-14.9K1.6673.76N/AN/A3065081,5555,791
2016-09-08$23.40$22.0021.5%6.5%13.5%7.1%20.0%4.6%4.0%-113.6K3.0M-14.8K1.7039.38N/AN/A3035161,6005,796
2016-09-09$22.86$22.0031.0%8.2%16.2%17.7%28.2%3.0%-1.9%-161.9K3.2M-15.1K1.7521.86N/AN/A3075361,5995,796
2016-09-12$22.86$22.0028.9%8.3%16.2%15.3%26.6%1.1%2.8%-165.9K3.4M-15.4K1.9084.81N/AN/A3075831,5985,840
2016-09-13$22.18$22.0039.9%8.1%19.4%27.8%24.1%6.3%4.9%-219.7K3.7M-16.3K1.86113.83N/AN/A3075701,5985,890
2016-09-14$22.14$22.0028.5%8.2%19.3%14.9%25.5%5.5%4.1%-245.3K4.1M-15.4K1.8422.73N/AN/A3075661,5985,919
2016-09-15$22.32$22.0027.6%7.9%19.5%13.9%25.3%7.2%-0.2%-250.2K3.7M-17.3K1.84131.66N/AN/A3075641,5985,944
2016-09-16$21.62$22.0028.6%8.2%22.2%15.0%31.7%6.4%3.8%-87.1K4.9M-16.1K2.33116.03N/AN/A3077161,5985,922
2016-09-19$21.86$22.0024.2%6.9%21.4%10.1%37.2%3.5%99.0%-100.6K3.6M-15.1K1.77138.27N/AN/A2394238283,989
2016-09-20$21.66$22.0028.1%8.0%21.6%14.4%26.6%5.1%2.4%-47.1K3.3M-16.4K1.9614.66N/AN/A2274451,3544,001
2016-09-21$22.12$22.0022.7%6.5%21.8%8.4%27.4%3.5%6.5%-35.9K3.1M-16.6K2.48121.70N/AN/A2265601,3564,042
2016-09-22$22.32$22.0024.3%7.0%22.1%10.2%21.5%6.2%4.2%-36.5K3.0M-16.8K2.60123.74N/AN/A2265861,3814,162
2016-09-23$22.08$22.0026.6%7.6%22.3%12.8%23.6%5.3%2.3%-51.0K3.1M-16.9K2.59108.69N/AN/A2225741,3814,184
2016-09-26$21.78$22.0027.0%7.7%22.8%13.2%26.1%-1.5%4.1%-47.7K3.4M-16.6K2.63101.84N/AN/A2225821,3824,185
2016-09-27$21.68$22.0024.1%6.9%22.8%10.0%27.7%-2.6%5.6%-47.3K3.8M-15.7K4.43115.83N/AN/A2229821,3874,215
2016-09-28$21.92$22.0022.2%6.4%23.1%7.8%24.9%-2.2%6.4%-35.9K3.7M-18.4K2.9547.54N/AN/A2226531,3874,600
2016-09-29$21.66$22.0022.1%6.3%23.2%7.7%23.9%-2.0%5.5%-56.6K3.6M-18.4K2.21103.45N/AN/A4701,0391,3874,665
2016-09-30$22.08$22.0025.6%7.3%24.3%11.7%25.8%0.6%4.1%-34.5K4.7M-22.2K2.30100.81N/AN/A4701,0801,5865,555