EWI Options History — October 2016

In October 2016, EWI traded between $21.56 and $22.72. ATM implied volatility averaged 33.8%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 14.3% (HV 20d: 19.5%). Max pain ranged from $22.00 to $26.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.72.

Notable Days

  • 2016-10-18: Highest Volume — 3,180 contracts
  • 2016-10-27: Largest IV spike — 661.6% change
  • 2016-10-27: Highest IV Rank — 100.0%
  • 2016-10-04: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.18$21.56$22.72$21.84$22.56
Max Pain$25.43$22.00$26.00$22.00$26.00
ATM IV33.8%22.4%189.2%30.7%26.0%
Expected Move7.7%6.4%9.3%8.8%7.7%
HV 20d19.5%13.2%24.8%24.2%13.2%
HV 60d18.9%17.7%19.8%19.8%17.7%
IV Rank15.8%4.9%100.0%17.4%6.2%
IV Percentile50.6%19.4%100.0%70.6%50.4%
Term Structure6.0%-5.4%59.9%-2.7%59.9%
VWIV30.8%21.8%40.4%32.8%29.8%
Skew 25d1.3%-34.4%16.0%-5.1%13.2%
Skew 10d-3.1%-47.4%33.2%-7.2%-47.4%
Call IV 25d28.4%13.8%68.9%27.4%35.4%
Put IV 25d29.7%20.7%48.6%22.4%48.6%
Bid-Ask Spread %98.5023.51142.07109.53122.26
Gamma HHI0.280.230.440.230.27
Net GEX-56.1K-155.5K71.3K-68.9K-141.7K
Net DEX4.7M3.4M5.9M4.8M4.9M
Net VEX-21.4K-24.3K-19.7K-21.5K-19.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.720.779.144.213.16
Total Volume1,669.0959853,1801,275985
Total OI7,651.3337,1408,5127,1407,463

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$21.84$22.0030.7%8.8%24.2%17.4%32.8%-5.1%-2.7%-68.9K4.8M-21.5K4.21109.53N/AN/A2451,0301,5865,554
2016-10-04$21.72$22.0032.3%9.3%24.1%19.2%37.8%11.1%-5.4%-81.5K4.8M-22.0K3.98122.43N/AN/A2621,0421,5935,579
2016-10-05$22.12$22.0025.9%7.4%24.8%12.1%38.0%3.7%3.4%-12.4K4.1M-22.3K4.43139.43N/AN/A2381,0521,5825,582
2016-10-06$22.08$26.0025.1%8.3%24.6%11.1%24.9%3.1%4.7%-24.2K4.7M-20.6K4.4178.30N/AN/A2381,0471,5825,594
2016-10-07$22.00$26.0025.9%8.4%23.3%12.0%38.0%12.1%4.2%-23.2K4.7M-21.5K4.4131.06N/AN/A2381,0471,5825,589
2016-10-10$22.16$26.0026.8%8.4%23.6%13.1%28.9%13.9%3.2%-23.0K4.4M-20.9K3.5977.52N/AN/A2659521,5825,591
2016-10-11$21.78$26.0023.3%7.0%21.9%9.0%33.8%-0.2%7.8%-22.9K4.9M-20.5K4.4667.87N/AN/A2651,1831,6155,808
2016-10-12$21.74$26.0028.0%8.0%21.9%14.4%39.0%-30.4%3.7%-35.2K5.2M-21.8K4.27138.31N/AN/A2651,1321,6156,140
2016-10-13$21.56$26.0026.4%7.6%21.7%12.6%40.4%-27.2%5.3%-82.5K5.2M-24.3K4.16142.07N/AN/A3031,2581,6156,151
2016-10-14$21.74$26.0028.5%8.2%18.8%14.9%31.6%15.0%3.2%-14.6K5.9M-22.3K9.14132.84N/AN/A2642,4131,6526,515
2016-10-17$21.90$26.0025.0%7.2%18.6%11.0%27.5%0.4%6.0%59.3K5.6M-20.5K3.4667.18N/AN/A6902,3851,6656,256
2016-10-18$22.28$26.0025.9%7.4%19.2%12.0%29.1%3.7%6.2%37.6K4.3M-23.1K3.0751.87N/AN/A7812,3992,1036,273
2016-10-19$22.38$26.0026.0%7.5%17.8%12.2%28.9%5.0%4.8%71.3K4.2M-21.1K2.98122.38N/AN/A7872,3422,2266,273
2016-10-20$22.46$26.0025.1%7.2%17.6%11.2%27.4%5.8%6.2%46.4K3.7M-23.0K2.34109.98N/AN/A7871,8432,2346,278
2016-10-21$22.42$26.0025.7%7.4%17.1%11.8%21.8%6.3%3.4%-155.5K3.4M-22.0K0.7723.51N/AN/A1,0478082,2346,274
2016-10-24$22.56$26.0022.4%6.4%16.3%8.0%24.1%-0.7%7.1%-139.5K4.9M-21.1K3.17121.33N/AN/A2708531,5115,998
2016-10-25$22.52$26.0023.1%6.6%16.2%8.9%27.9%16.0%4.0%-141.9K5.1M-20.6K3.12126.95N/AN/A2708411,5155,923
2016-10-26$22.60$26.0024.8%7.1%15.9%10.8%26.1%5.3%3.3%-140.9K5.0M-20.2K3.2153.34N/AN/A2708661,5155,923
2016-10-27$22.72$26.00189.2%7.5%15.1%100.0%29.7%10.5%-4.2%-140.6K4.8M-20.7K2.92110.85N/AN/A2707881,5155,937
2016-10-28$22.64$26.0023.7%7.5%13.8%4.9%30.2%-34.4%2.8%-144.5K4.8M-20.2K2.82119.59N/AN/A2707601,5155,940
2016-10-31$22.56$26.0026.0%7.7%13.2%6.2%29.8%13.2%59.9%-141.7K4.9M-19.7K3.16122.26N/AN/A2377481,5155,948