EWI Options History — April 2017

In April 2017, EWI traded between $24.65 and $26.82. ATM implied volatility averaged 28.1%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 11.6% (HV 20d: 16.5%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 4.29.

Notable Days

  • 2017-04-21: Highest Volume — 3,037 contracts
  • 2017-04-20: Largest IV spike — 44.1% change
  • 2017-04-20: Highest IV Rank — 8.8%
  • 2017-04-21: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.51$24.65$26.82$25.50$26.45
Max Pain$25.58$25.00$26.00$25.00$25.00
ATM IV28.1%20.9%45.4%21.1%21.1%
Expected Move7.5%5.3%9.6%5.4%6.1%
HV 20d16.5%9.7%26.1%16.3%26.1%
HV 60d17.8%16.5%21.3%16.9%20.6%
IV Rank3.8%1.8%8.8%1.8%1.8%
IV Percentile57.1%20.2%96.0%23.4%21.4%
Term Structure3.7%-5.9%52.3%11.0%0.1%
VWIV26.2%15.1%37.1%22.0%24.7%
Skew 25d4.2%-35.2%17.9%3.4%6.3%
Skew 10d-1.0%-62.1%50.5%-20.0%-37.0%
Call IV 25d26.9%17.7%58.7%23.9%18.8%
Put IV 25d31.1%23.2%39.7%27.2%25.1%
Bid-Ask Spread %110.9383.05140.43131.00131.92
Gamma HHI0.290.220.380.290.38
Net GEX-2.3K-135.1K121.8K13.2K121.8K
Net DEX-589.4K-4.0M1.8M-850.1K-3.4M
Net VEX-24.6K-27.8K-19.7K-26.1K-21.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.293.076.266.214.55
Total Volume1,981.1581,2423,0371,8092,440
Total OI12,22111,34213,37911,63713,379

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$25.50$25.0021.1%5.4%16.3%1.8%22.0%3.4%11.0%13.2K-850.1K-26.1K6.21131.00N/AN/A2511,5583,0008,637
2017-04-04$25.48$25.0021.6%5.6%16.1%2.0%15.1%2.8%3.9%-5.8K-200.5K-27.8K5.0483.05N/AN/A3041,5313,0318,637
2017-04-05$25.35$25.0023.9%5.3%16.0%2.6%15.4%1.9%3.1%-10.7K-677.9K-26.3K3.24140.43N/AN/A3111,0073,0048,651
2017-04-06$25.41$26.0025.0%7.1%15.2%2.9%24.7%4.7%4.1%14.8K-653.5K-26.3K3.2998.54N/AN/A3111,0232,9948,668
2017-04-07$25.36$26.0028.2%7.4%14.9%3.9%25.5%2.1%7.4%8.6K-492.2K-26.0K3.2897.50N/AN/A3091,0142,9868,668
2017-04-10$25.16$26.0029.0%8.4%15.2%4.1%28.6%5.3%0.5%-16.1K151.4K-26.1K3.2095.00N/AN/A2969463,0018,341
2017-04-11$25.20$26.0032.8%9.0%14.1%5.2%29.1%17.9%0.2%-18.7K329.8K-26.5K3.07118.31N/AN/A3261,0023,0138,457
2017-04-12$25.07$26.0034.4%8.9%12.0%5.7%29.6%7.6%-2.7%-39.2K587.0K-26.0K3.34100.05N/AN/A3481,1633,0478,529
2017-04-13$24.73$26.0034.9%8.7%9.7%5.8%29.5%9.2%-5.9%-67.3K1.4M-26.3K3.38117.88N/AN/A3491,1813,0718,770
2017-04-17$24.88$26.0032.6%9.1%10.0%5.1%31.1%5.3%-1.1%-95.8K1.4M-25.4K3.5498.74N/AN/A3341,1813,0588,790
2017-04-18$24.65$26.0032.6%9.3%10.2%5.1%31.0%8.6%-1.9%-99.6K1.8M-24.8K3.2792.05N/AN/A3701,2113,0708,795
2017-04-19$24.86$26.0031.5%9.0%10.8%4.8%30.1%7.0%-3.6%-64.8K1.2M-25.4K4.35105.34N/AN/A4331,8833,0708,847
2017-04-20$25.10$26.0045.4%9.2%11.1%8.8%31.5%9.1%52.3%-71.2K856.1K-25.5K3.96111.82N/AN/A4551,8013,1439,423
2017-04-21$24.92$26.0034.4%9.6%11.3%5.6%37.1%8.1%4.6%-135.1K1.8M-26.2K5.03106.38N/AN/A5042,5333,2289,490
2017-04-24$26.59$25.0021.6%6.4%26.0%2.0%24.2%4.6%0.7%101.5K-3.3M-20.1K4.81110.45N/AN/A4402,1153,12010,244
2017-04-25$26.82$25.0020.9%6.0%26.1%1.8%23.4%4.8%-0.4%101.8K-3.7M-19.7K6.26121.37N/AN/A3962,4783,14010,201
2017-04-26$26.69$25.0022.1%6.1%26.1%2.1%21.3%-35.2%-0.8%117.7K-4.0M-20.2K6.03117.16N/AN/A4112,4783,15110,203
2017-04-27$26.49$25.0021.5%6.4%26.1%2.0%22.8%6.8%-1.4%102.2K-3.4M-20.8K5.70130.64N/AN/A4402,5093,14010,202
2017-04-28$26.45$25.0021.1%6.1%26.1%1.8%24.7%6.3%0.1%121.8K-3.4M-21.5K4.55131.92N/AN/A4402,0003,18010,199