EWI Options History — August 2017

In August 2017, EWI traded between $29.56 and $30.46. ATM implied volatility averaged 15.7%, placing in the 0.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 6.2% (HV 20d: 9.5%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 16.54.

Notable Days

  • 2017-08-11: Highest Volume — 1,690 contracts
  • 2017-08-14: Largest IV drop — 13.8% change
  • 2017-08-29: Highest IV Rank — 1.7%
  • 2017-08-11: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.07$29.56$30.46$29.93$30.30
Max Pain$28.74$27.00$29.00$27.00$29.00
ATM IV15.7%13.5%18.4%14.3%15.7%
Expected Move4.4%3.8%4.9%3.9%3.8%
HV 20d9.5%5.8%11.8%6.6%11.7%
HV 60d13.9%13.1%14.8%14.8%13.2%
IV Rank0.9%0.3%1.7%0.5%0.9%
IV Percentile11.2%0.8%28.2%0.8%10.7%
Term Structure0.1%-1.5%2.4%-0.1%-1.5%
VWIV16.3%13.7%27.0%13.9%15.4%
Skew 25d4.7%2.4%7.9%3.8%5.3%
Skew 10d11.1%0.3%17.0%10.8%9.8%
Call IV 25d13.6%10.5%15.5%12.9%14.9%
Put IV 25d18.2%14.9%21.8%16.7%20.2%
Bid-Ask Spread %47.1313.72110.0156.43110.01
Gamma HHI0.290.190.520.260.20
Net GEX-42.0K-126.8K-16.8K-23.8K-40.4K
Net DEX-660.9K-925.3K-305.4K-850.6K-623.4K
Net VEX-4.3K-5.3K-3.6K-4.0K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.549.4330.879.4915.43
Total Volume1,451.2179301,6901,5001,446
Total OI3,169.6522,7293,3413,1223,316

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$29.93$27.0014.3%3.9%6.6%0.5%13.9%3.8%-0.1%-23.8K-850.6K-4.0K9.4956.43N/AN/A1431,3574582,664
2017-08-02$30.02$29.0014.9%4.0%5.8%0.7%13.7%4.0%-0.2%-19.0K-905.8K-3.9K9.4328.82N/AN/A1431,3494672,665
2017-08-03$30.29$28.0013.7%4.4%6.0%0.4%16.0%2.8%0.6%-16.8K-925.3K-3.6K10.5358.12N/AN/A1321,3904592,679
2017-08-04$30.25$28.0014.4%4.3%6.3%0.6%15.2%2.4%0.4%-23.9K-910.8K-3.6K10.7419.88N/AN/A1311,4074612,709
2017-08-07$30.35$29.0013.5%4.3%6.2%0.3%15.4%4.3%0.9%-28.4K-795.5K-3.7K30.8713.72N/AN/A461,4204252,728
2017-08-08$30.11$29.0013.8%4.1%7.3%0.4%14.5%2.9%0.5%-35.1K-748.2K-3.6K27.8034.76N/AN/A511,4184362,743
2017-08-09$30.14$29.0015.6%4.4%7.1%0.9%16.0%3.3%-0.4%-29.5K-713.9K-3.8K29.0220.64N/AN/A511,4804372,743
2017-08-10$29.73$29.0017.4%4.7%9.1%1.4%17.2%4.9%-1.2%-47.1K-471.0K-5.0K25.6840.80N/AN/A591,5154472,809
2017-08-11$29.56$29.0017.6%4.9%9.3%1.5%18.4%5.1%-1.2%-54.5K-305.4K-5.3K11.1625.30N/AN/A1391,5514472,835
2017-08-14$29.93$28.0015.2%4.4%10.0%0.8%16.0%4.5%1.4%-66.1K-557.8K-4.5K19.3029.96N/AN/A791,5254692,854
2017-08-15$29.96$28.0015.0%4.3%10.0%0.7%16.1%4.2%0.6%-73.9K-572.7K-4.5K22.2931.00N/AN/A681,5164712,854
2017-08-16$30.12$29.0014.4%4.1%10.0%0.6%14.4%4.3%0.3%-71.8K-708.0K-3.9K21.9752.01N/AN/A691,5164752,855
2017-08-17$29.72$29.0015.4%4.3%11.3%0.9%13.7%7.9%2.4%-56.1K-450.9K-4.8K15.6149.53N/AN/A941,4674862,855
2017-08-18$29.99$29.0016.7%4.8%11.4%1.2%17.5%4.5%0.4%-126.8K-584.6K-4.6K12.9437.13N/AN/A1101,4234862,855
2017-08-21$30.03$29.0017.1%4.7%11.2%1.3%17.8%4.8%0.5%-29.3K-641.3K-4.5K11.0855.79N/AN/A778534732,256
2017-08-22$29.93$29.0015.7%4.4%11.3%0.9%16.8%4.9%0.8%-27.2K-565.5K-5.0K11.0826.88N/AN/A778534832,259
2017-08-23$30.01$29.0016.4%4.4%11.0%1.1%27.0%4.8%-0.3%-23.5K-602.7K-4.8K16.2291.76N/AN/A761,2334832,259
2017-08-24$30.06$29.0016.3%4.2%11.0%1.1%16.1%4.1%0.0%-30.9K-650.6K-4.8K14.9157.83N/AN/A861,2824942,639
2017-08-25$30.37$29.0015.9%4.0%11.5%1.0%15.0%7.0%-0.3%-28.6K-720.6K-4.5K14.7078.29N/AN/A881,2944942,700
2017-08-28$30.46$29.0016.5%4.4%11.3%1.2%15.9%5.4%-0.2%-20.0K-793.9K-4.0K12.9549.78N/AN/A1041,3474952,695
2017-08-29$30.24$29.0018.4%4.7%11.6%1.7%16.0%6.3%-0.6%-44.0K-617.9K-4.4K13.1681.07N/AN/A1031,3565132,766
2017-08-30$30.05$29.0018.2%4.7%11.8%1.6%16.2%5.8%0.1%-50.0K-485.6K-4.7K14.1534.36N/AN/A961,3585142,791
2017-08-31$30.30$29.0015.7%3.8%11.7%0.9%15.4%5.3%-1.5%-40.4K-623.4K-4.4K15.43110.01N/AN/A881,3585172,799