EWI Options History — September 2017

In September 2017, EWI traded between $30.22 and $31.54. ATM implied volatility averaged 14.1%, placing in the 0.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.0% (HV 20d: 11.1%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 7.66.

Notable Days

  • 2017-09-12: Highest Volume — 1,766 contracts
  • 2017-09-05: Largest IV spike — 12.1% change
  • 2017-09-05: Highest IV Rank — 1.7%
  • 2017-09-05: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.03$30.22$31.54$30.43$31.35
Max Pain$30.15$29.00$31.00$29.00$31.00
ATM IV14.1%12.3%18.5%16.5%12.4%
Expected Move3.9%3.0%5.3%3.7%3.0%
HV 20d11.1%10.0%12.6%11.8%10.5%
HV 60d11.5%9.9%13.3%13.1%9.9%
IV Rank0.5%0.0%1.7%1.2%0.1%
IV Percentile6.5%0.0%29.8%17.9%1.2%
Term Structure0.6%-0.3%2.4%0.8%1.3%
VWIV15.0%11.0%20.8%14.1%11.0%
Skew 25d2.5%-49.4%7.7%7.0%2.9%
Skew 10d7.5%-16.5%18.5%5.9%11.0%
Call IV 25d14.3%8.8%66.9%12.3%11.6%
Put IV 25d16.8%13.7%21.1%19.3%14.5%
Bid-Ask Spread %56.4113.85137.8855.90111.53
Gamma HHI0.240.170.300.230.28
Net GEX-40.4K-80.5K21.1K-28.8K-78.1K
Net DEX-1.5M-2.0M-668.0K-725.1K-1.4M
Net VEX-4.7K-5.8K-4.0K-4.1K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.662.9116.4916.499.22
Total Volume1,216.857721,7661,399797
Total OI2,9912,2663,9203,3172,277

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$30.43$29.0016.5%3.7%11.8%1.2%14.1%7.0%0.8%-28.8K-725.1K-4.1K16.4955.90N/AN/A801,3195182,799
2017-09-05$30.22$29.0018.5%5.3%12.0%1.7%20.6%7.7%0.4%-33.8K-668.0K-4.2K3.7267.48N/AN/A3491,2995322,780
2017-09-06$30.63$29.0016.8%4.5%12.6%1.2%20.8%6.5%-0.3%-145-1.5M-5.3K3.1163.65N/AN/A4031,2548122,780
2017-09-07$30.67$29.0016.0%4.4%12.6%1.0%20.4%4.3%1.3%18.4K-1.7M-5.6K2.9133.27N/AN/A4331,2628832,795
2017-09-08$30.66$29.0016.1%4.6%11.4%1.1%18.7%5.2%-0.3%12.2K-1.8M-5.8K3.3327.55N/AN/A3791,2629392,813
2017-09-11$31.05$29.0014.6%4.2%11.7%0.6%15.4%4.4%0.5%21.1K-2.0M-5.0K3.6656.80N/AN/A3781,3839362,802
2017-09-12$31.10$30.0013.8%4.3%11.1%0.4%15.4%5.4%1.1%-13.1K-2.0M-5.3K3.7319.90N/AN/A3731,3939572,918
2017-09-13$30.88$30.0013.7%4.1%11.5%0.4%14.5%3.9%1.0%-13.5K-1.9M-5.2K6.7223.50N/AN/A2101,4129542,927
2017-09-14$30.97$30.0013.4%4.0%11.5%0.3%15.0%5.8%-0.1%-32.6K-1.9M-5.2K6.2421.12N/AN/A2111,3179552,956
2017-09-15$31.07$30.0013.1%4.0%10.1%0.2%15.0%6.7%1.3%-49.7K-2.0M-5.0K6.0248.63N/AN/A2201,3249542,966
2017-09-18$31.32$30.0012.7%3.7%10.0%0.1%15.4%5.1%0.3%-51.5K-1.5M-4.6K3.74109.70N/AN/A1917157331,542
2017-09-19$31.50$31.0012.6%3.6%10.0%0.0%14.0%5.7%0.8%-60.6K-1.5M-4.3K9.5534.89N/AN/A757167331,575
2017-09-20$31.36$31.0012.7%3.7%10.1%0.1%15.9%-49.4%2.4%-64.0K-1.4M-4.2K11.74137.88N/AN/A617167141,576
2017-09-21$31.42$31.0012.3%3.5%10.1%0.0%12.1%4.4%0.2%-62.4K-1.5M-4.0K10.3481.96N/AN/A737556971,576
2017-09-22$31.54$31.0012.3%3.4%10.1%0.0%12.0%4.7%1.1%-57.6K-1.4M-4.4K12.9016.53N/AN/A607747071,616
2017-09-25$31.11$31.0013.4%3.7%11.2%0.3%12.8%4.5%0.2%-75.5K-1.2M-4.5K10.3533.94N/AN/A687047051,561
2017-09-26$31.00$31.0013.7%3.6%11.3%0.4%13.1%4.0%0.5%-80.5K-1.1M-4.8K9.74102.19N/AN/A737117141,565
2017-09-27$31.18$31.0013.2%3.6%11.0%0.3%12.6%4.4%0.4%-79.3K-1.3M-4.4K9.8967.87N/AN/A737227061,572
2017-09-28$31.15$31.0013.5%3.6%10.7%0.4%11.4%7.0%0.1%-79.4K-1.2M-4.3K9.8513.85N/AN/A737197061,569
2017-09-29$31.35$31.0012.4%3.0%10.5%0.1%11.0%2.9%1.3%-78.1K-1.4M-4.1K9.22111.53N/AN/A787197071,570