EWI Options History — October 2017

In October 2017, EWI traded between $30.59 and $31.31. ATM implied volatility averaged 16.0%, placing in the 1.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 5.1% (HV 20d: 10.8%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 4.75.

Notable Days

  • 2017-10-19: Highest Volume — 1,887 contracts
  • 2017-10-25: Largest IV spike — 365.9% change
  • 2017-10-25: Highest IV Rank — 14.8%
  • 2017-10-13: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.91$30.59$31.31$31.27$30.99
Max Pain$30.36$30.00$31.00$31.00$31.00
ATM IV16.0%12.7%64.5%12.7%13.2%
Expected Move4.0%3.2%4.3%3.3%3.9%
HV 20d10.8%9.7%12.3%10.6%12.3%
HV 60d10.7%9.9%11.5%9.9%11.5%
IV Rank1.1%0.1%14.8%0.1%0.3%
IV Percentile12.2%2.4%98.0%2.4%5.2%
Term Structure-1.6%-41.8%2.0%0.8%0.2%
VWIV14.2%10.1%15.4%12.1%13.0%
Skew 25d1.7%-55.9%7.8%3.9%3.7%
Skew 10d-0.9%-57.4%11.8%11.8%-17.5%
Call IV 25d15.6%9.7%71.4%11.6%10.9%
Put IV 25d17.2%14.5%38.0%15.5%14.6%
Bid-Ask Spread %81.0013.47134.3766.20131.69
Gamma HHI0.270.110.470.290.22
Net GEX-35.7K-121.9K78.0K-78.7K78.0K
Net DEX-1.2M-1.6M-840.9K-1.3M-1.5M
Net VEX-4.4K-5.4K-3.5K-4.0K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.752.788.298.293.31
Total Volume1,272.2277711,8877711,396
Total OI2,573.7732,2412,9762,2412,965

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$31.27$31.0012.7%3.3%10.6%0.1%12.1%3.9%0.8%-78.7K-1.3M-4.0K8.2966.20N/AN/A836887021,539
2017-10-03$31.25$31.0013.2%3.5%10.2%0.3%11.1%4.6%1.7%-83.2K-1.3M-3.9K8.0013.47N/AN/A866887131,539
2017-10-04$30.80$31.0013.3%3.2%10.7%0.3%10.1%2.9%0.4%-75.9K-1.1M-4.0K8.01108.57N/AN/A866897131,539
2017-10-05$30.86$31.0013.6%4.1%10.7%0.4%15.1%5.5%-0.1%-80.9K-1.1M-4.4K5.9777.67N/AN/A1187057121,542
2017-10-06$30.75$31.0013.9%4.1%10.8%0.5%15.0%2.1%0.5%-73.9K-974.3K-4.2K5.89110.26N/AN/A1207077491,558
2017-10-09$30.77$31.0013.4%4.0%9.7%0.3%15.2%5.9%1.0%-72.9K-1.1M-4.0K5.7950.44N/AN/A1227067511,550
2017-10-10$31.07$31.0014.7%4.2%10.4%0.7%15.1%7.8%-0.3%-66.9K-1.2M-3.9K3.8837.95N/AN/A1827067531,550
2017-10-11$31.31$30.0013.3%4.2%10.4%0.3%14.2%3.3%0.8%-116.6K-1.6M-3.5K2.7976.19N/AN/A2547098111,549
2017-10-12$30.98$30.0014.6%4.2%11.1%0.7%15.4%3.2%0.0%-39.9K-1.5M-3.7K2.7877.08N/AN/A2557098691,549
2017-10-13$30.97$30.0014.7%4.3%11.0%0.7%15.4%2.4%-0.1%-50.4K-1.5M-3.8K4.81116.78N/AN/A2761,3288631,549
2017-10-16$30.96$30.0014.4%4.1%10.6%0.6%15.2%3.5%0.1%-79.7K-1.3M-4.1K4.9559.68N/AN/A2661,3188501,659
2017-10-17$30.69$30.0014.1%4.0%10.7%0.5%14.5%2.5%0.7%-63.5K-1.1M-4.1K5.4387.20N/AN/A2451,3318501,659
2017-10-18$30.84$30.0013.7%3.9%10.8%0.4%14.8%5.8%-0.4%-121.9K-1.0M-4.2K4.0276.47N/AN/A3501,4078491,745
2017-10-19$30.76$30.0013.7%4.0%10.8%0.4%15.1%5.8%-1.4%-72.9K-1.1M-5.1K4.39110.92N/AN/A3501,5379891,755
2017-10-20$30.77$30.0013.3%3.9%10.6%0.3%14.5%5.8%-1.5%-16.7K-840.9K-5.4K4.2056.35N/AN/A3591,5099931,959
2017-10-23$30.61$30.0013.8%4.1%9.7%0.4%14.5%4.3%1.3%-23.4K-947.6K-5.4K6.6543.82N/AN/A2241,4898801,810
2017-10-24$31.10$30.0013.8%4.0%11.3%0.4%14.5%4.7%-0.2%-8.8K-1.3M-5.2K2.9170.14N/AN/A3439988911,841
2017-10-25$30.92$30.0064.5%4.1%11.3%14.8%15.3%7.3%-41.8%64.0K-1.4M-5.4K3.13134.37N/AN/A3431,0721,0251,951
2017-10-26$30.96$30.0012.7%4.0%11.3%0.1%13.8%3.6%2.0%72.3K-1.5M-5.0K3.13110.94N/AN/A3431,0721,0241,931
2017-10-27$30.59$30.0014.1%4.1%11.7%0.5%14.9%-55.9%0.3%52.4K-1.1M-4.9K3.13134.22N/AN/A3431,0721,0241,931
2017-10-30$30.85$30.0012.7%4.1%12.2%0.1%12.9%4.0%0.9%74.0K-1.3M-4.7K3.1031.60N/AN/A3431,0621,0241,918
2017-10-31$30.99$31.0013.2%3.9%12.3%0.3%13.0%3.7%0.2%78.0K-1.5M-4.6K3.31131.69N/AN/A3241,0721,0241,941