EWI Options History — July 2017

In July 2017, EWI traded between $27.90 and $29.80. ATM implied volatility averaged 16.6%, placing in the 1.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.1% (HV 20d: 14.6%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 7.79.

Notable Days

  • 2017-07-18: Highest Volume — 1,594 contracts
  • 2017-07-26: Largest IV spike — 69.4% change
  • 2017-07-03: Highest IV Rank — 4.4%
  • 2017-07-26: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.90$27.90$29.80$28.05$29.80
Max Pain$26.55$26.00$28.00$28.00$27.00
ATM IV16.6%12.4%27.9%27.9%14.6%
Expected Move4.9%3.8%11.0%5.6%3.8%
HV 20d14.6%6.8%18.6%18.3%6.9%
HV 60d18.9%15.3%21.5%21.5%15.3%
IV Rank1.2%0.0%4.4%4.4%0.6%
IV Percentile11.5%0.0%67.1%67.1%2.4%
Term Structure3.0%-4.3%44.6%44.6%-0.2%
VWIV16.9%12.9%33.8%12.9%14.9%
Skew 25d2.6%-15.2%15.5%9.4%4.5%
Skew 10d4.6%-38.0%34.4%5.5%12.6%
Call IV 25d19.5%10.1%76.6%17.0%12.5%
Put IV 25d22.1%15.0%63.8%26.4%17.1%
Bid-Ask Spread %91.9639.53149.65121.3165.50
Gamma HHI0.300.220.420.230.27
Net GEX-23.0K-47.3K13.3K-43.0K-25.9K
Net DEX-507.2K-798.8K-147.8K-147.8K-798.8K
Net VEX-5.4K-7.2K-3.7K-7.2K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.792.3513.902.359.51
Total Volume1,418.359991,5941,2061,493
Total OI2,954.82,5683,2322,5833,115

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$28.05$28.0027.9%5.6%18.3%4.4%12.9%9.4%44.6%-43.0K-147.8K-7.2K2.35121.31N/AN/A3608464622,121
2017-07-05$27.90$28.0022.0%5.1%18.4%2.7%33.8%15.5%-4.3%-42.0K-194.7K-6.4K2.38149.65N/AN/A3568464632,128
2017-07-06$28.09$26.0012.4%5.0%18.6%0.0%22.1%-1.7%-0.4%-25.9K-216.5K-6.8K2.40110.59N/AN/A3568544642,128
2017-07-07$28.17$26.0016.7%5.2%18.2%1.2%19.9%3.6%1.1%-28.1K-233.2K-6.7K2.4054.73N/AN/A3568534642,123
2017-07-10$28.36$26.0015.8%4.8%18.3%1.0%17.1%3.9%1.4%-19.3K-444.2K-5.1K2.3967.84N/AN/A3548474542,114
2017-07-11$28.53$26.0016.0%4.5%18.2%1.0%16.0%-0.8%0.9%-4.2K-452.9K-5.4K5.57108.90N/AN/A1528474662,128
2017-07-12$28.72$26.0015.8%4.3%18.0%1.0%22.2%3.6%-1.0%-5.0K-491.1K-5.9K9.1299.84N/AN/A1521,3864772,128
2017-07-13$28.82$26.0014.4%3.9%17.8%0.6%14.3%4.2%-0.3%-16.5K-515.7K-5.6K8.6691.64N/AN/A1611,3944772,676
2017-07-14$29.00$26.0014.8%4.4%17.4%0.7%15.2%-4.0%0.3%-16.4K-620.0K-5.6K9.16112.62N/AN/A1541,4104872,687
2017-07-17$28.91$26.0015.5%4.5%17.2%0.9%13.8%5.8%-0.4%-17.5K-534.8K-5.5K9.2360.88N/AN/A1511,3934872,682
2017-07-18$29.01$26.0015.2%4.3%17.2%0.8%14.4%4.0%0.2%-15.2K-553.5K-5.5K9.4939.53N/AN/A1521,4424832,690
2017-07-19$29.14$26.0014.9%4.3%12.1%0.7%14.8%2.5%0.7%-4.8K-568.6K-5.4K9.7459.88N/AN/A1471,4324842,740
2017-07-20$29.25$26.0014.5%4.1%11.8%0.6%13.8%3.6%0.7%-23.0K-631.0K-5.2K9.2893.90N/AN/A1491,3824842,740
2017-07-21$29.07$27.0016.0%4.7%11.8%1.0%15.2%4.8%-0.8%13.3K-582.6K-5.3K9.8079.05N/AN/A1421,3924872,745
2017-07-24$29.25$27.0015.4%4.4%11.8%0.8%14.3%3.0%0.2%-43.6K-523.8K-5.0K12.7288.36N/AN/A1061,3484002,683
2017-07-25$29.33$27.0014.5%4.2%11.7%0.6%14.3%2.8%-0.2%-47.3K-553.2K-4.8K13.9093.93N/AN/A971,3484012,676
2017-07-26$29.57$27.0024.6%11.0%11.7%3.5%18.8%-15.2%17.6%-39.6K-663.4K-3.7K9.17141.65N/AN/A1471,3484092,676
2017-07-27$29.56$27.0015.2%4.5%9.7%0.8%15.7%1.1%0.7%-28.8K-713.7K-4.7K9.24106.60N/AN/A1471,3584592,676
2017-07-28$29.57$27.0016.6%4.6%6.8%1.2%15.3%0.8%-0.3%-28.1K-705.6K-4.8K9.2792.76N/AN/A1471,3624592,673
2017-07-31$29.80$27.0014.6%3.8%6.9%0.6%14.9%4.5%-0.2%-25.9K-798.8K-4.2K9.5165.50N/AN/A1421,3514592,656