EWI Options History — November 2016

In November 2016, EWI traded between $20.86 and $22.37. ATM implied volatility averaged 48.3%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 31.8% (HV 20d: 16.5%). Max pain ranged from $11.00 to $26.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 4.93.

Notable Days

  • 2016-11-29: Highest Volume — 6,740 contracts
  • 2016-11-07: Largest IV spike — 1274.1% change
  • 2016-11-07: Highest IV Rank — 100.0%
  • 2016-11-29: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.66$20.86$22.37$22.34$21.79
Max Pain$16.48$11.00$26.00$26.00$20.00
ATM IV48.3%16.7%364.0%30.3%35.1%
Expected Move9.7%8.1%12.7%8.3%12.6%
HV 20d16.5%13.2%22.9%13.6%22.9%
HV 60d18.8%17.8%20.6%17.8%20.6%
IV Rank10.9%0.4%100.0%8.7%5.7%
IV Percentile69.9%1.2%100.0%69.4%84.9%
Term Structure-1.4%-13.0%4.6%-4.0%-2.1%
VWIV41.3%29.6%104.1%41.7%44.4%
Skew 25d5.1%-11.0%10.6%-11.0%9.6%
Skew 10d9.9%-33.0%25.1%-28.5%14.8%
Call IV 25d33.0%20.8%86.3%60.4%32.0%
Put IV 25d38.1%28.1%86.1%49.3%41.6%
Bid-Ask Spread %93.6625.02136.52133.18107.71
Gamma HHI0.250.150.340.260.20
Net GEX-63.6K-171.8K104.3K-136.1K104.3K
Net DEX-2.1M-6.3M6.2M4.8M-4.6M
Net VEX-13.0K-35.3K-893-19.8K-24.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.930.728.223.212.17
Total Volume3,723.9529976,7409974,624
Total OI15,363.1437,46121,3107,46121,310

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$22.34$26.0030.3%8.3%13.6%8.7%41.7%-11.0%-4.0%-136.1K4.8M-19.8K3.21133.18N/AN/A2377601,5225,939
2016-11-02$22.02$26.0029.8%11.6%13.2%8.4%68.1%1.1%2.3%-119.5K5.3M-20.3K3.98131.18N/AN/A2379441,5225,944
2016-11-03$21.82$22.0075.1%12.6%13.5%34.4%45.3%-0.2%-13.0%-123.0K5.3M-20.7K7.23116.44N/AN/A2371,7141,5225,987
2016-11-04$21.68$22.0026.5%9.1%13.6%6.5%30.2%5.5%2.8%-171.8K6.2M-22.5K5.3025.02N/AN/A2371,2551,5226,743
2016-11-07$22.22$11.00364.0%0.0%16.2%100.0%104.1%0.0%0.0%-35.4K-2.5M-35.3K5.3725.02N/AN/A4742,5473,04014,184
2016-11-08$22.37$11.0016.7%8.7%14.9%0.4%0.0%5.2%0.0%2.4K-6.3M-1.6K5.3747.63N/AN/A4742,5472,87012,939
2016-11-09$22.19$11.0028.1%8.1%15.3%3.7%0.0%5.3%0.0%4.1K-6.2M-1.2K5.3280.28N/AN/A4842,5772,87012,939
2016-11-10$22.16$11.0027.0%8.3%14.9%3.4%34.3%-10.0%2.1%2.1K-6.2M-8935.3872.31N/AN/A4852,6072,86812,969
2016-11-11$22.11$11.0032.7%8.4%14.7%5.0%29.6%10.6%-2.5%-73-6.2M-9705.7073.41N/AN/A4962,8272,86912,999
2016-11-14$21.66$12.0031.0%8.8%16.3%4.5%32.4%4.2%2.8%-22.8K-5.8M-2.0K7.7371.61N/AN/A4983,8502,88013,219
2016-11-15$21.72$12.0030.7%8.8%15.0%4.4%35.5%8.9%4.6%-71.1K-5.0M-6.4K6.9872.98N/AN/A4983,4742,88214,140
2016-11-16$21.40$12.0033.4%9.6%15.6%5.2%34.0%6.9%-3.5%-75.4K-5.2M-6.5K8.22101.95N/AN/A5264,3253,04915,793
2016-11-17$21.36$13.0032.2%9.3%15.4%4.9%32.9%7.5%-3.2%-94.5K-4.2M-9.4K6.17120.64N/AN/A5263,2463,07717,372
2016-11-18$20.86$13.0033.0%9.7%17.1%5.1%34.4%7.5%-2.6%-90.3K-3.8M-10.3K6.02136.52N/AN/A5353,2213,08717,404
2016-11-21$21.05$13.0030.2%9.1%17.4%4.3%33.0%8.5%-0.6%-95.4K-1.3M-9.2K7.41114.48N/AN/A3812,8251,84311,766
2016-11-22$21.37$20.0029.3%8.7%18.6%4.0%32.4%6.7%-1.2%-166.9K-1.0M-11.2K7.73114.75N/AN/A4013,0991,87712,619
2016-11-23$21.29$20.0030.5%9.3%18.4%4.4%33.3%6.5%-1.4%-169.4K-988.8K-10.7K1.16113.72N/AN/A2,6973,1261,91712,759
2016-11-25$21.29$20.0029.2%9.3%18.2%4.0%33.5%8.9%-1.3%-15.2K-2.5M-18.7K1.25111.03N/AN/A2,6783,3494,22913,185
2016-11-28$20.86$20.0033.8%11.8%19.2%5.3%41.7%10.2%-1.9%-36.8K-1.7M-18.6K1.02101.24N/AN/A3,1943,2514,23213,399
2016-11-29$21.40$20.0035.1%12.7%21.9%5.7%44.3%9.8%-2.0%-24.9K-2.3M-22.4K0.7295.82N/AN/A3,9082,8325,04314,296
2016-11-30$21.79$20.0035.1%12.6%22.9%5.7%44.4%9.6%-2.1%104.3K-4.6M-24.7K2.17107.71N/AN/A1,4573,1676,52914,781