EWI Options History — December 2016

In December 2016, EWI traded between $21.96 and $24.28. ATM implied volatility averaged 30.7%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.4% (HV 20d: 25.3%). Max pain ranged from $18.00 to $20.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.28.

Notable Days

  • 2016-12-02: Highest Volume — 10,508 contracts
  • 2016-12-08: Largest IV spike — 132.8% change
  • 2016-12-09: Highest IV Rank — 21.5%
  • 2016-12-09: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.63$21.96$24.28$21.96$24.22
Max Pain$19.76$18.00$20.50$20.50$20.00
ATM IV30.7%14.7%90.2%34.8%22.5%
Expected Move6.9%3.9%15.6%13.9%6.3%
HV 20d25.3%22.4%28.2%22.6%23.6%
HV 60d20.9%20.1%21.8%20.5%20.3%
IV Rank4.5%0.0%21.5%5.6%2.2%
IV Percentile37.1%0.0%98.0%83.7%15.1%
Term Structure-4.7%-63.0%3.0%-2.0%1.9%
VWIV25.5%12.4%66.5%49.6%21.9%
Skew 25d2.5%-45.7%85.0%12.2%-45.7%
Skew 10d-7.0%-86.9%93.5%19.8%-62.0%
Call IV 25d34.5%17.1%112.8%30.8%71.2%
Put IV 25d37.0%19.0%110.4%43.0%25.5%
Bid-Ask Spread %113.8195.56133.61105.23127.63
Gamma HHI0.290.180.500.230.22
Net GEX230.8K-72.9K1.1M115.3K-72.9K
Net DEX-10.2M-18.0M-5.6M-5.6M-6.0M
Net VEX-17.3K-31.7K-8.3K-28.4K-11.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.280.765.913.314.13
Total Volume6,510.7623,34710,5084,5043,347
Total OI22,963.71416,67631,17923,58617,454

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$21.96$20.5034.8%13.9%22.6%5.6%49.6%12.2%-2.0%115.3K-5.6M-28.4K3.31105.23N/AN/A1,0453,4597,40816,178
2016-12-02$22.14$20.5036.7%14.3%22.5%6.2%50.9%9.3%-4.8%161.2K-6.5M-28.9K1.3999.60N/AN/A4,3976,1117,89316,860
2016-12-05$22.29$18.0034.3%6.8%22.4%5.5%21.8%4.7%0.9%422.7K-8.6M-31.7K1.34108.09N/AN/A2,9003,89510,02519,992
2016-12-06$23.23$18.0024.1%5.2%25.3%2.6%15.9%9.8%-2.8%713.3K-14.7M-24.3K2.19105.55N/AN/A1,3692,9989,82620,121
2016-12-07$23.87$18.0017.5%5.4%26.8%0.7%19.1%2.0%-0.2%576.3K-18.0M-18.9K3.6195.56N/AN/A1,6065,8029,74120,126
2016-12-08$23.72$20.0040.8%4.1%26.7%7.3%17.3%-19.1%-3.3%-18.1K-13.5M-21.7K4.23131.15N/AN/A1,4045,9349,46521,714
2016-12-09$23.48$20.0090.2%15.6%27.1%21.5%66.5%-20.1%-7.9%50.4K-11.7M-30.5K4.39133.61N/AN/A1,3195,7929,33421,711
2016-12-12$23.59$20.0084.3%3.9%27.0%19.8%12.4%85.0%-63.0%376.3K-14.6M-19.7K2.99109.35N/AN/A1,2293,6718,77816,569
2016-12-13$24.20$20.0037.0%5.8%26.6%6.2%20.5%7.8%-20.8%482.1K-17.5M-11.1K0.76115.01N/AN/A4,7993,6698,75116,559
2016-12-14$23.69$20.0020.4%5.6%28.2%1.5%20.0%8.4%-0.9%642.1K-14.3M-14.8K0.76113.89N/AN/A4,8113,6678,54616,585
2016-12-15$23.88$20.0023.4%6.3%27.3%2.3%21.9%34.1%-1.2%1.1M-14.5M-14.7K0.79111.51N/AN/A4,8683,8278,51116,583
2016-12-16$23.90$20.0018.0%6.2%27.3%0.8%21.8%4.6%3.0%119.7K-13.7M-13.5K0.8795.90N/AN/A4,9964,3528,56816,760
2016-12-19$23.84$20.0014.7%4.2%25.2%0.0%18.3%2.2%-1.0%129.3K-8.7M-11.7K0.90106.65N/AN/A3,3683,0264,66112,723
2016-12-20$24.08$20.0018.1%4.7%25.2%1.0%17.5%1.9%2.1%88.9K-9.1M-8.3K0.94110.44N/AN/A3,3603,1634,63513,038
2016-12-21$23.97$20.0020.4%5.8%25.3%1.6%21.8%4.3%-3.4%32.2K-6.9M-11.2K0.92117.64N/AN/A3,3573,1003,91113,186
2016-12-22$23.85$20.0020.2%5.8%25.4%1.6%22.3%5.4%0.2%5.3K-6.8M-12.2K0.93121.48N/AN/A3,3293,1063,90313,688
2016-12-23$24.16$20.0024.0%6.7%25.4%2.7%24.5%-21.9%0.8%-14.2K-6.9M-12.7K0.91118.82N/AN/A3,3893,0713,90613,695
2016-12-27$24.28$20.0020.5%5.6%23.4%1.7%24.6%-41.5%2.0%8.5K-6.2M-11.1K0.77122.85N/AN/A3,2002,4483,50113,175
2016-12-28$23.86$20.0022.2%6.1%24.0%2.2%27.4%5.1%-0.2%12.9K-5.6M-13.1K5.91121.47N/AN/A5513,2573,50513,221
2016-12-29$24.09$20.0021.0%6.7%23.6%1.8%20.3%4.7%2.6%-55.7K-5.7M-12.7K5.90118.55N/AN/A5413,1933,50513,927
2016-12-30$24.22$20.0022.5%6.3%23.6%2.2%21.9%-45.7%1.9%-72.9K-6.0M-11.8K4.13127.63N/AN/A6532,6943,50613,948