EWI Options History — June 2017

In June 2017, EWI traded between $27.34 and $28.36. ATM implied volatility averaged 19.0%, placing in the 1.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.4% (HV 20d: 16.7%). Max pain ranged from $24.00 to $28.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 6.10.

Notable Days

  • 2017-06-13: Highest Volume — 1,604 contracts
  • 2017-06-08: Largest IV spike — 119.4% change
  • 2017-06-08: Highest IV Rank — 6.7%
  • 2017-06-14: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.97$27.34$28.36$28.21$27.81
Max Pain$27.64$24.00$28.00$24.00$28.00
ATM IV19.0%12.5%38.1%25.5%14.4%
Expected Move4.7%3.8%5.9%5.3%4.3%
HV 20d16.7%13.2%19.9%19.9%18.7%
HV 60d20.5%19.5%21.4%20.6%21.4%
IV Rank1.5%0.0%6.7%3.1%0.6%
IV Percentile15.2%0.0%90.1%52.8%0.4%
Term Structure-0.6%-7.0%1.3%-3.1%-1.4%
VWIV14.9%10.8%18.6%17.7%14.7%
Skew 25d2.4%-54.5%18.3%-24.6%12.1%
Skew 10d7.7%-32.8%20.8%18.7%10.1%
Call IV 25d18.2%9.7%81.8%47.6%15.8%
Put IV 25d20.5%14.8%30.2%23.0%27.9%
Bid-Ask Spread %84.7632.06131.30109.26131.30
Gamma HHI0.260.170.360.260.21
Net GEX-35.4K-138.4K58.1K-96-37.5K
Net DEX-731.3K-2.1M895.0K-2.1M-51.1K
Net VEX-7.8K-9.0K-6.3K-8.2K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.102.008.545.462.01
Total Volume1,305.7279511,6041,4541,313
Total OI6,274.7732,4459,5409,3672,748

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$28.21$24.0025.5%5.3%19.9%3.1%17.7%-24.6%-3.1%-96-2.1M-8.2K5.46109.26N/AN/A2251,2291,2448,123
2017-06-02$28.35$24.0017.3%4.5%17.4%0.8%18.3%11.0%-0.7%15.4K-2.1M-8.8K5.65105.94N/AN/A2201,2431,2408,125
2017-06-05$27.95$28.0018.1%5.0%16.6%1.0%15.5%4.7%-0.6%11.4K-1.8M-8.3K5.8964.09N/AN/A2201,2951,1768,131
2017-06-06$28.04$28.0017.2%4.9%15.9%0.7%15.4%7.1%-0.7%-6.1K-1.8M-8.2K8.54102.34N/AN/A1521,2981,1758,227
2017-06-07$28.01$28.0017.4%4.9%15.8%0.8%16.1%5.1%0.1%1.2K-1.6M-8.9K8.0691.48N/AN/A1611,2981,1528,230
2017-06-08$28.32$28.0038.1%4.8%16.1%6.7%15.5%8.4%-0.1%14.5K-1.9M-8.5K8.0652.67N/AN/A1611,2981,1528,230
2017-06-09$28.23$28.0016.7%4.8%16.2%0.6%15.1%8.8%-0.1%18.9K-1.9M-7.9K8.07112.43N/AN/A1611,2991,1528,230
2017-06-12$28.05$28.0017.0%5.0%16.2%0.7%16.5%6.9%0.9%25.1K-1.7M-8.5K8.0284.44N/AN/A1631,3081,1528,230
2017-06-13$28.36$28.0034.7%4.6%16.3%5.7%15.6%11.5%-4.0%55.3K-2.0M-7.2K7.1871.37N/AN/A1961,4081,1498,241
2017-06-14$28.21$28.0029.9%5.9%15.6%4.4%18.6%-54.5%-7.0%-33.2K-1.4M-9.0K6.78129.09N/AN/A1961,3281,1758,341
2017-06-15$27.91$28.0016.0%4.6%13.9%0.4%13.0%18.3%0.1%25.9K-1.5M-8.0K6.7732.06N/AN/A1961,3271,1658,361
2017-06-16$28.19$28.0015.8%4.4%14.2%0.3%12.2%4.0%-0.1%58.1K-1.9M-7.2K6.8473.09N/AN/A1941,3271,1668,374
2017-06-19$28.21$28.0012.5%3.8%13.2%0.0%10.8%1.8%0.1%-52.0K211.0K-6.3K6.6773.10N/AN/A1248273112,180
2017-06-20$27.34$28.0015.9%4.6%16.7%1.0%15.6%3.8%0.6%-112.5K895.0K-8.2K6.8655.91N/AN/A1258572472,228
2017-06-21$27.64$28.0016.6%4.7%17.4%1.2%12.1%3.2%1.2%-105.3K728.4K-7.9K7.0263.98N/AN/A1228572482,235
2017-06-22$27.48$28.0015.9%4.5%17.4%1.0%12.6%3.7%0.9%-109.3K792.1K-7.9K7.0583.61N/AN/A1238672482,235
2017-06-23$27.50$28.0016.0%4.6%17.4%1.0%14.0%4.1%0.0%-116.6K775.9K-7.6K4.5696.35N/AN/A1908672472,241
2017-06-26$27.72$28.0015.8%4.5%17.7%1.0%13.3%3.8%0.6%-108.6K626.5K-7.0K4.6163.50N/AN/A1898722202,225
2017-06-27$27.67$28.0016.1%4.4%16.7%1.0%13.8%3.7%0.4%-138.4K671.3K-6.9K4.33102.99N/AN/A2008662202,246
2017-06-28$28.26$28.0015.5%4.0%18.3%0.9%14.9%3.8%-0.6%-69.1K346.6K-6.4K3.7256.77N/AN/A2368792312,247
2017-06-29$27.80$28.0016.4%4.7%18.8%1.1%16.2%5.2%1.3%-115.8K577.5K-7.1K2.00108.87N/AN/A4368732672,280
2017-06-30$27.81$28.0014.4%4.3%18.7%0.6%14.7%12.1%-1.4%-37.5K-51.1K-7.5K2.01131.30N/AN/A4368774692,279