EWI Options History — May 2017

In May 2017, EWI traded between $26.59 and $28.72. ATM implied volatility averaged 21.4%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 3.3% (HV 20d: 24.7%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 8.42.

Notable Days

  • 2017-05-05: Highest Volume — 3,006 contracts
  • 2017-05-04: Largest IV spike — 185.8% change
  • 2017-05-04: Highest IV Rank — 11.1%
  • 2017-05-04: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.89$26.59$28.72$26.59$27.91
Max Pain$24.09$23.00$25.00$25.00$24.00
ATM IV21.4%14.6%53.6%21.0%18.0%
Expected Move5.7%4.1%12.7%6.4%5.3%
HV 20d24.7%18.1%28.8%26.1%19.7%
HV 60d20.7%19.5%21.4%20.6%20.6%
IV Rank1.9%0.0%11.1%1.8%1.0%
IV Percentile16.9%0.0%97.6%19.8%4.0%
Term Structure0.1%-7.4%6.6%0.7%0.4%
VWIV20.9%17.9%38.2%25.5%18.9%
Skew 25d1.5%-41.0%17.6%3.4%-21.2%
Skew 10d-2.9%-68.7%16.9%-34.9%-24.6%
Call IV 25d23.2%11.2%71.3%20.5%43.4%
Put IV 25d24.6%18.7%88.9%23.9%22.2%
Bid-Ask Spread %87.5742.02139.50129.9494.88
Gamma HHI0.280.140.450.370.27
Net GEX43.0K-21.9K169.9K148.0K10.4K
Net DEX-4.2M-7.9M-1.8M-3.5M-1.8M
Net VEX-11.8K-19.7K-8.6K-19.7K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.424.6014.156.695.18
Total Volume2,013.0911,4293,0062,1851,472
Total OI11,524.0919,22413,34912,6269,366

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$26.59$25.0021.0%6.4%26.1%1.8%25.5%3.4%0.7%148.0K-3.5M-19.7K6.69129.94N/AN/A2841,9013,0839,543
2017-05-02$26.70$25.0020.5%6.3%25.6%1.7%23.4%6.8%0.0%169.9K-4.0M-18.3K7.0176.71N/AN/A2741,9223,0969,593
2017-05-03$26.68$25.0018.8%6.8%25.6%1.2%28.4%-41.0%3.7%154.4K-4.2M-16.8K7.01139.50N/AN/A2741,9223,0979,651
2017-05-04$27.46$23.0053.6%12.7%27.1%11.1%38.2%17.6%-5.1%-21.9K-3.9M-17.7K10.0791.19N/AN/A2442,4583,0879,651
2017-05-05$28.05$24.0019.4%5.6%27.8%1.3%20.7%4.6%-0.4%105.2K-6.2M-14.4K8.9942.02N/AN/A3012,7053,09610,165
2017-05-08$27.68$24.0019.5%5.2%28.4%1.4%20.7%2.2%-1.0%106.7K-6.9M-11.7K8.6686.02N/AN/A2902,5103,11610,196
2017-05-09$27.52$24.0017.8%5.2%28.3%0.9%19.9%4.3%-0.1%87.8K-6.6M-13.4K13.7779.45N/AN/A1892,6023,15310,196
2017-05-10$27.64$24.0018.1%5.2%28.3%1.0%18.4%2.9%-0.6%114.1K-7.0M-11.2K14.0483.03N/AN/A1862,6113,15010,131
2017-05-11$27.67$24.0018.4%5.2%28.1%1.0%18.7%3.4%-0.8%107.4K-7.1M-10.5K14.1588.30N/AN/A1862,6323,14910,144
2017-05-12$27.87$24.0016.8%5.1%27.2%0.6%17.9%6.1%1.3%-21.9K-7.4M-10.4K11.7677.56N/AN/A2242,6343,14910,187
2017-05-15$28.15$24.0017.5%5.1%27.3%0.8%19.1%5.2%2.8%-15.6K-7.5M-10.2K10.7970.22N/AN/A1391,5003,1609,464
2017-05-16$28.54$24.0014.6%4.1%26.8%0.0%18.6%7.5%6.6%-1.1K-7.9M-9.2K11.1175.95N/AN/A1181,3113,1759,473
2017-05-17$27.91$24.0018.7%5.4%28.8%1.2%18.9%4.5%1.5%-22-1.9M-10.5K7.4493.65N/AN/A1781,3251,2249,473
2017-05-18$28.07$24.0020.8%5.9%28.7%1.8%21.0%5.4%1.5%-7.5K-2.0M-10.4K7.6279.36N/AN/A1781,3571,2769,525
2017-05-19$28.48$24.0019.9%5.6%28.5%1.5%20.2%3.0%0.1%4.2K-2.4M-9.2K7.4672.12N/AN/A1821,3581,2769,516
2017-05-22$28.72$24.0020.2%5.1%18.5%1.6%19.0%5.6%0.4%-16.9K-2.1M-8.6K4.6080.44N/AN/A2691,2381,1098,115
2017-05-23$28.63$24.0019.5%4.9%18.5%1.4%18.2%5.3%0.5%1.2K-2.2M-9.3K5.9384.47N/AN/A2091,2401,2218,117
2017-05-24$28.63$24.0020.3%4.6%18.3%1.6%18.0%3.3%-1.8%6.8K-2.2M-9.1K5.77111.01N/AN/A2161,2461,2268,119
2017-05-25$28.51$24.0019.0%4.7%18.1%1.2%18.3%2.8%0.4%6.7K-2.2M-9.4K5.7785.01N/AN/A2161,2461,2338,126
2017-05-26$28.31$24.0038.4%4.8%18.4%6.8%18.4%-4.5%-7.4%9.3K-2.1M-9.6K5.81102.05N/AN/A2161,2541,2338,126
2017-05-30$27.84$24.0020.0%5.6%19.7%1.5%20.3%5.0%-0.8%-173-1.8M-9.3K5.6083.66N/AN/A2231,2481,2338,111
2017-05-31$27.91$24.0018.0%5.3%19.7%1.0%18.9%-21.2%0.4%10.4K-1.8M-10.1K5.1894.88N/AN/A2381,2341,2448,122