EWI Options History — January 2017

In January 2017, EWI traded between $23.69 and $24.92. ATM implied volatility averaged 20.6%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.6% (HV 20d: 16.1%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 3.01.

Notable Days

  • 2017-01-05: Highest Volume — 3,172 contracts
  • 2017-01-12: Largest IV spike — 28.3% change
  • 2017-01-03: Highest IV Rank — 2.4%
  • 2017-01-12: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.52$23.69$24.92$24.50$23.77
Max Pain$24.43$20.00$25.00$20.00$24.50
ATM IV20.6%16.8%23.1%23.1%21.2%
Expected Move6.0%5.3%6.6%5.9%6.6%
HV 20d16.1%12.8%23.6%23.6%15.7%
HV 60d20.4%20.1%21.2%20.4%21.0%
IV Rank1.7%0.6%2.4%2.4%1.9%
IV Percentile9.5%1.2%21.8%16.3%14.3%
Term Structure1.3%-1.6%7.0%0.6%1.4%
VWIV22.8%15.7%27.7%20.3%18.6%
Skew 25d-2.1%-69.6%7.7%-69.6%5.6%
Skew 10d1.7%-65.5%37.7%-30.0%17.3%
Call IV 25d26.2%15.9%98.2%98.2%19.7%
Put IV 25d24.1%20.8%28.5%28.5%25.3%
Bid-Ask Spread %108.5252.38129.3498.77111.26
Gamma HHI0.310.260.390.260.30
Net GEX-119.3K-204.1K-77.0K-77.0K-204.1K
Net DEX-4.6M-7.5M736.1K-6.5M624.6K
Net VEX-8.0K-11.1K-5.7K-11.1K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.011.515.073.741.63
Total Volume2,192.651,0643,1723,0261,108
Total OI14,848.7510,70317,55817,41610,875

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$24.50$20.0023.1%5.9%23.6%2.4%20.3%-69.6%0.6%-77.0K-6.5M-11.1K3.7498.77N/AN/A6392,3873,60213,814
2017-01-04$24.65$20.0020.5%5.8%23.6%1.7%15.7%-5.1%2.9%-121.7K-7.1M-8.8K3.80129.34N/AN/A6592,5043,60213,824
2017-01-05$24.92$25.0020.4%6.2%19.6%1.6%24.3%7.7%2.3%-119.7K-7.4M-8.4K3.8195.86N/AN/A6592,5133,60813,948
2017-01-06$24.85$25.0020.0%6.2%17.5%1.5%24.4%4.4%2.1%-141.2K-7.3M-7.8K3.68112.18N/AN/A6752,4833,60813,950
2017-01-09$24.43$25.0023.0%6.4%18.6%2.4%23.6%4.7%-0.3%-143.4K-6.8M-9.0K2.5195.90N/AN/A6311,5813,62113,305
2017-01-10$24.50$25.0021.4%6.5%18.1%1.9%23.8%5.7%1.5%-111.3K-7.0M-9.0K2.39122.94N/AN/A6421,5333,69113,367
2017-01-11$24.60$25.0016.8%6.1%18.1%0.6%21.4%4.0%7.0%-106.1K-7.0M-9.1K2.09103.26N/AN/A6411,3413,71713,372
2017-01-12$24.46$25.0021.6%6.6%16.0%2.0%22.0%1.2%3.5%-119.3K-6.9M-9.3K1.99119.97N/AN/A6381,2703,71813,382
2017-01-13$24.56$25.0021.3%6.0%13.8%1.9%22.6%4.6%-0.6%-119.0K-7.0M-9.7K2.13117.02N/AN/A6381,3623,71913,447
2017-01-17$24.57$25.0021.2%6.0%13.6%1.9%25.7%4.2%1.8%-117.7K-7.2M-8.3K3.1998.75N/AN/A6542,0873,71412,938
2017-01-18$24.44$25.0022.5%6.4%13.8%2.2%23.5%3.7%-1.6%-124.7K-7.1M-7.6K3.40119.47N/AN/A6132,0853,69512,856
2017-01-19$24.54$25.0019.8%5.6%13.8%1.5%22.8%6.8%1.2%-126.7K-7.3M-7.3K3.40106.88N/AN/A6132,0863,69712,858
2017-01-20$24.66$25.0019.7%5.5%13.5%1.4%23.8%4.8%1.7%-112.6K-7.5M-6.9K3.50123.93N/AN/A6142,1513,67612,852
2017-01-23$24.65$25.0019.7%5.7%13.3%1.4%16.7%1.9%0.9%-90.6K-266.0K-5.8K4.48105.54N/AN/A3571,60065310,050
2017-01-24$24.89$25.0019.6%5.7%13.4%1.4%27.4%-41.6%-0.4%-82.4K-378.7K-5.7K5.07111.95N/AN/A3141,59165310,057
2017-01-25$24.90$25.0018.3%5.3%12.8%1.0%23.5%4.2%0.7%-81.9K-365.8K-6.0K4.6552.38N/AN/A3391,57666310,076
2017-01-26$24.47$25.0020.2%5.9%14.3%1.6%21.9%4.0%-0.7%-96.8K-143.1K-6.6K1.6398.64N/AN/A41868068410,078
2017-01-27$24.33$24.5020.0%5.9%12.9%1.5%27.7%3.1%1.3%-108.1K-58.6K-6.8K1.51125.14N/AN/A42464072310,095
2017-01-30$23.69$24.5022.8%6.5%15.8%2.3%25.8%3.8%-0.0%-182.4K736.1K-8.4K1.66121.15N/AN/A41669169210,095
2017-01-31$23.77$24.5021.2%6.6%15.7%1.9%18.6%5.6%1.4%-204.1K624.6K-7.4K1.63111.26N/AN/A42168771610,159