EWI Options History — March 2017

In March 2017, EWI traded between $24.00 and $25.93. ATM implied volatility averaged 21.9%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.5% (HV 20d: 18.3%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 5.77.

Notable Days

  • 2017-03-24: Highest Volume — 5,160 contracts
  • 2017-03-28: Largest IV spike — 100.2% change
  • 2017-03-28: Highest IV Rank — 8.4%
  • 2017-03-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.01$24.00$25.93$24.08$25.78
Max Pain$24.61$23.00$25.00$24.00$25.00
ATM IV21.9%17.5%44.1%25.3%23.2%
Expected Move5.8%5.1%6.9%6.9%5.4%
HV 20d18.3%16.1%20.5%17.6%16.2%
HV 60d17.5%16.5%19.8%19.3%16.8%
IV Rank2.1%0.8%8.4%3.0%2.4%
IV Percentile22.1%2.4%95.2%46.8%38.5%
Term Structure0.1%-7.8%7.0%-7.8%-5.2%
VWIV20.2%12.6%25.7%18.9%17.5%
Skew 25d-5.2%-78.5%7.0%1.4%-78.5%
Skew 10d0.4%-70.5%39.8%35.2%7.3%
Call IV 25d29.6%16.7%98.8%21.5%98.8%
Put IV 25d24.4%20.2%34.3%22.8%20.3%
Bid-Ask Spread %109.2277.95133.61118.16108.46
Gamma HHI0.360.280.660.660.28
Net GEX-107.5K-400.0K22.9K-400.0K22.9K
Net DEX337.0K-1.4M2.7M2.7M-1.4M
Net VEX-20.6K-28.5K-16.0K-21.7K-26.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.771.0611.282.706.73
Total Volume2,318.3911,7875,1602,2251,794
Total OI13,263.3048,22716,38415,07611,641

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$24.08$24.0025.3%6.9%17.6%3.0%18.9%1.4%-7.8%-400.0K2.7M-21.7K2.70118.16N/AN/A6021,6231,12413,952
2017-03-02$24.00$24.0020.1%5.1%17.7%1.5%16.5%4.6%0.7%-360.9K2.3M-21.7K2.7687.47N/AN/A5881,6241,15914,308
2017-03-03$24.55$24.0019.1%5.5%19.2%1.3%12.6%-10.4%3.2%-72.2K758.1K-19.5K5.08124.41N/AN/A3201,6271,31514,308
2017-03-06$24.31$23.0018.8%6.2%19.0%1.2%20.5%1.2%-0.6%-243.4K1.3M-21.1K5.4081.00N/AN/A3181,7161,31514,293
2017-03-07$24.20$24.0020.8%6.2%16.1%1.7%19.2%1.7%-0.2%-302.1K1.8M-21.2K5.4188.97N/AN/A3181,7211,31714,356
2017-03-08$24.04$24.0019.8%6.3%16.1%1.5%20.1%1.8%0.2%-280.4K1.6M-20.7K5.7397.94N/AN/A3181,8211,31714,362
2017-03-09$24.44$24.0021.6%6.3%16.8%2.0%21.4%5.0%-0.2%-60.2K880.7K-19.2K5.73121.94N/AN/A3181,8211,31714,462
2017-03-10$24.69$24.0020.8%5.8%17.1%1.7%21.9%3.6%0.6%-45.7K550.5K-18.5K8.14109.91N/AN/A2271,8471,31714,462
2017-03-13$24.77$25.0019.0%5.4%16.9%1.2%20.4%2.1%2.0%-27.4K421.7K-17.6K8.1798.20N/AN/A2351,9201,31414,549
2017-03-14$24.41$25.0018.6%6.1%17.8%1.1%20.1%6.7%3.5%-77.1K1.1M-19.2K8.19102.16N/AN/A2351,9241,30414,652
2017-03-15$24.96$25.0028.2%5.8%19.3%3.9%21.9%-61.6%-4.6%-82.8K419.1K-18.1K7.82133.61N/AN/A2662,0811,30414,679
2017-03-16$25.53$25.0017.5%5.6%20.4%0.8%19.7%-1.4%2.1%-105.0K-504.7K-16.0K3.38101.58N/AN/A6262,1191,32914,874
2017-03-17$25.43$25.0019.4%5.5%20.5%1.4%19.3%0.8%-1.8%-66.5K-833.6K-16.6K4.70119.06N/AN/A4572,1461,50414,880
2017-03-20$25.25$25.0019.7%5.7%20.5%1.4%19.7%3.5%0.4%-82.0K240.6K-16.6K4.2177.95N/AN/A3841,6171,0727,155
2017-03-21$25.26$25.0021.1%6.1%20.4%1.8%25.7%4.7%-0.6%-81.8K491.3K-17.8K4.17120.82N/AN/A4041,6861,0737,159
2017-03-22$25.43$25.0020.4%5.8%19.8%1.6%24.2%3.1%2.8%-107.7K330.9K-16.9K4.3897.26N/AN/A3851,6871,0797,463
2017-03-23$25.47$25.0020.9%6.0%19.7%1.8%25.3%4.9%0.5%-83.8K217.8K-16.9K4.36122.16N/AN/A3871,6871,0797,445
2017-03-24$25.61$25.0020.0%5.2%19.0%1.5%20.8%7.0%7.0%-26.6K22.3K-16.6K1.06129.91N/AN/A2,5032,6571,0817,445
2017-03-27$25.77$25.0022.0%6.0%18.2%2.1%21.6%2.8%0.5%-10.3K-935.5K-28.5K11.28101.86N/AN/A2322,6182,9478,592
2017-03-28$25.93$25.0044.1%6.0%18.1%8.4%20.3%-0.8%-0.4%8.5K-1.4M-27.8K10.79127.12N/AN/A2432,6222,9538,599
2017-03-29$25.75$25.0020.7%5.8%17.6%1.7%18.7%-26.6%0.5%-1.6K-1.2M-27.0K5.89124.80N/AN/A2631,5492,9648,603
2017-03-30$25.63$25.0021.9%5.4%17.7%2.1%19.0%5.3%0.7%13.8K-1.0M-27.9K6.54117.29N/AN/A2371,5503,0098,624
2017-03-31$25.78$25.0023.2%5.4%16.2%2.4%17.5%-78.5%-5.2%22.9K-1.4M-26.8K6.73108.46N/AN/A2321,5623,0148,627