EWI Options History — February 2017

In February 2017, EWI traded between $23.20 and $24.30. ATM implied volatility averaged 24.6%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 7.3% (HV 20d: 17.3%). Max pain ranged from $24.00 to $24.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 4.14.

Notable Days

  • 2017-02-02: Highest Volume — 5,098 contracts
  • 2017-02-24: Largest IV spike — 179.7% change
  • 2017-02-24: Highest IV Rank — 12.4%
  • 2017-02-07: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.73$23.20$24.30$23.78$23.61
Max Pain$24.03$24.00$24.50$24.50$24.00
ATM IV24.6%18.1%58.0%18.9%43.1%
Expected Move6.1%5.7%6.8%6.3%6.2%
HV 20d17.3%15.0%18.7%15.0%16.2%
HV 60d20.4%19.0%21.3%20.9%19.0%
IV Rank2.8%1.0%12.4%1.2%8.1%
IV Percentile25.8%3.6%97.2%4.4%93.7%
Term Structure-0.6%-8.5%5.3%5.3%0.2%
VWIV20.9%17.9%24.1%20.1%19.8%
Skew 25d-3.5%-94.4%27.2%2.9%1.3%
Skew 10d-5.9%-95.6%34.7%-49.9%8.7%
Call IV 25d29.1%18.0%115.2%20.8%23.8%
Put IV 25d25.6%20.8%53.4%23.7%25.1%
Bid-Ask Spread %85.6236.18135.10135.10123.14
Gamma HHI0.690.310.840.310.69
Net GEX-520.0K-677.9K-205.3K-205.3K-450.5K
Net DEX3.6M711.5K4.7M711.5K3.5M
Net VEX-20.7K-24.5K-8.0K-8.0K-22.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.142.2211.116.392.22
Total Volume1,916.3681,0245,0983,1131,864
Total OI14,567.94710,93714,99410,93714,880

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$23.78$24.5018.9%6.3%15.0%1.2%20.1%2.9%5.3%-205.3K711.5K-8.0K6.39135.10N/AN/A4212,69272510,212
2017-02-02$23.97$24.0021.7%6.4%15.2%2.0%24.1%4.4%0.5%-356.1K1.8M-13.3K11.1191.87N/AN/A4214,67772512,210
2017-02-03$24.30$24.0018.1%6.3%15.5%1.0%23.4%27.2%-4.4%-486.5K2.9M-21.7K6.4894.71N/AN/A4222,73372514,210
2017-02-06$23.64$24.0034.5%6.5%18.1%5.7%23.5%7.4%-4.7%-543.1K4.1M-24.0K6.6570.51N/AN/A4072,70672414,173
2017-02-07$23.48$24.0023.7%6.8%17.4%2.6%23.1%2.3%0.8%-612.7K4.7M-24.5K6.7295.93N/AN/A4062,73072314,201
2017-02-08$23.67$24.0021.3%6.0%17.6%1.9%24.0%5.8%1.1%-677.9K4.3M-22.4K2.4884.93N/AN/A29573272214,223
2017-02-09$23.80$24.0020.4%6.1%17.7%1.6%19.6%3.1%1.0%-603.1K3.8M-21.8K2.4873.53N/AN/A29573372114,223
2017-02-10$23.68$24.0021.0%6.1%17.7%1.8%20.1%4.5%0.2%-649.0K4.1M-22.2K2.4754.46N/AN/A29572972214,231
2017-02-13$23.83$24.0022.1%6.0%17.8%2.1%19.7%4.5%-0.3%-569.6K3.7M-22.0K2.5185.15N/AN/A29574072114,232
2017-02-14$23.95$24.0020.4%5.8%17.9%1.6%18.4%3.0%-0.6%-630.7K3.2M-19.5K2.5436.18N/AN/A29574872114,244
2017-02-15$23.83$24.0019.7%5.7%17.9%1.4%18.2%6.1%1.4%-639.7K3.5M-20.0K2.5287.33N/AN/A29774872314,256
2017-02-16$23.97$24.0021.1%6.1%18.0%1.8%19.3%2.5%-0.6%-533.7K3.1M-19.1K2.5346.12N/AN/A30176372314,256
2017-02-17$23.78$24.0020.2%5.9%18.0%1.6%21.6%1.5%-1.6%-448.6K3.6M-19.4K4.2153.56N/AN/A3011,26672314,271
2017-02-21$23.72$24.0022.0%6.1%18.0%2.1%17.9%3.3%-0.6%-467.0K3.7M-22.4K4.6276.82N/AN/A2631,21468413,858
2017-02-22$23.48$24.0019.1%5.7%17.7%1.2%23.3%4.9%-0.8%-565.0K4.3M-22.3K3.08114.31N/AN/A3931,21070813,873
2017-02-23$23.45$24.0020.8%6.2%17.7%1.7%19.3%4.1%0.3%-484.2K3.9M-22.8K3.0185.07N/AN/A3931,18391213,875
2017-02-24$23.20$24.0058.0%6.1%17.1%12.4%22.0%-94.4%-8.5%-478.8K4.7M-24.3K3.44112.31N/AN/A3931,35391213,898
2017-02-27$23.65$24.0021.1%6.5%18.7%1.8%20.2%-60.2%-0.1%-478.2K3.8M-21.5K3.12105.67N/AN/A4121,28590613,945
2017-02-28$23.61$24.0043.1%6.2%16.2%8.1%19.8%1.3%0.2%-450.5K3.5M-22.1K2.22123.14N/AN/A5781,28693513,945