EWI Options History — November 2017

In November 2017, EWI traded between $30.33 and $31.46. ATM implied volatility averaged 22.8%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 11.8% (HV 20d: 11.0%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 9.84.

Notable Days

  • 2017-11-02: Highest Volume — 1,467 contracts
  • 2017-11-08: Largest IV spike — 353.3% change
  • 2017-11-08: Highest IV Rank — 58.3%
  • 2017-11-01: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.84$30.33$31.46$31.17$31.03
Max Pain$28.14$28.00$31.00$31.00$28.00
ATM IV22.8%9.1%65.6%65.6%14.0%
Expected Move4.9%3.0%15.6%15.6%4.0%
HV 20d11.0%9.9%12.2%11.3%10.1%
HV 60d10.9%10.6%11.5%11.4%10.6%
IV Rank9.7%0.0%58.3%15.2%6.0%
IV Percentile34.5%0.0%98.4%98.4%17.1%
Term Structure-2.8%-47.2%45.6%-2.0%27.7%
VWIV17.6%12.6%42.3%38.1%15.3%
Skew 25d2.8%-49.5%11.8%4.2%11.8%
Skew 10d6.2%-18.2%23.6%23.6%-18.2%
Call IV 25d21.4%7.5%92.8%92.8%7.5%
Put IV 25d24.2%14.6%97.0%97.0%19.3%
Bid-Ask Spread %64.1617.11148.58148.5886.71
Gamma HHI0.180.120.400.150.36
Net GEX-28.9K-115.1K29.0K-2.7K-94.3K
Net DEX-1.2M-1.7M-758.7K-893.6K-1.2M
Net VEX-3.5K-7.1K-2.4K-7.1K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.843.2317.393.2317.39
Total Volume1,171.199741,4671,4061,140
Total OI2,823.8572,7452,8862,8672,811

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$31.17$31.0065.6%15.6%11.3%15.2%38.1%4.2%-2.0%-2.7K-893.6K-7.1K3.23148.58N/AN/A3321,0749261,941
2017-11-02$31.46$28.0055.0%4.3%11.7%12.1%14.8%8.0%-46.1%29.0K-1.7M-4.0K3.5053.84N/AN/A3261,1419211,944
2017-11-03$31.18$28.0013.4%4.1%12.2%0.3%14.1%0.5%0.9%4.6K-1.6M-4.1K3.5026.15N/AN/A3261,1419341,952
2017-11-06$31.24$28.0013.0%4.0%12.2%0.2%14.2%4.0%1.0%12.0K-1.5M-3.7K5.0744.69N/AN/A2251,1419091,952
2017-11-07$31.11$28.0012.7%3.9%11.8%0.1%14.5%3.6%0.8%3.6K-1.4M-3.7K5.1173.48N/AN/A2251,1499101,952
2017-11-08$30.95$28.0057.7%4.0%11.6%58.3%14.1%9.7%-39.9%-3.2K-1.3M-4.1K5.1141.15N/AN/A2251,1499101,960
2017-11-09$30.82$28.0045.7%5.3%11.1%42.9%22.0%1.4%-47.2%2.3K-1.2M-4.2K4.62112.35N/AN/A2291,0589101,960
2017-11-10$30.80$28.0014.4%4.4%11.1%2.8%15.5%4.5%1.2%-15.5K-1.1M-3.9K4.6249.18N/AN/A2291,0589141,959
2017-11-13$30.57$28.0018.5%4.4%11.4%8.0%15.4%3.2%-1.6%-23.0K-995.3K-3.7K9.9827.91N/AN/A999888961,956
2017-11-14$30.66$28.0015.2%4.3%11.0%3.7%15.0%6.6%0.6%-28.7K-979.1K-3.5K10.1817.62N/AN/A991,0088761,973
2017-11-15$30.44$28.0017.4%5.0%11.1%6.6%16.8%6.7%45.6%-28.3K-832.5K-3.6K12.3327.44N/AN/A819998761,963
2017-11-16$30.49$28.0019.1%4.6%11.1%8.7%16.4%5.7%-0.6%-38.4K-792.9K-3.4K12.3122.82N/AN/A819978781,963
2017-11-17$30.34$28.0014.7%4.6%11.2%3.2%14.8%5.1%-2.3%-39.8K-759.8K-3.1K11.3833.80N/AN/A819228771,965
2017-11-20$30.33$28.0011.1%4.0%11.1%0.0%14.1%5.6%1.5%-42.5K-758.7K-2.8K13.9851.76N/AN/A659098141,943
2017-11-21$30.58$28.0011.0%4.1%9.9%0.0%13.9%5.9%1.7%-47.6K-1.0M-2.7K13.5817.11N/AN/A679108181,927
2017-11-22$30.79$28.0011.7%3.0%10.0%0.9%15.1%8.3%-0.4%-32.5K-1.2M-2.6K13.60141.80N/AN/A679118171,928
2017-11-24$31.15$28.0013.1%3.6%10.9%2.6%15.3%0.7%-3.9%-54.7K-1.6M-2.4K12.33101.98N/AN/A759258171,929
2017-11-27$30.82$28.0036.9%8.7%10.7%32.7%42.3%-49.5%0.8%-5.3K-1.1M-3.1K14.85129.18N/AN/A659658061,944
2017-11-28$30.89$28.009.9%4.1%10.3%0.0%15.9%4.7%1.4%-86.9K-1.2M-2.5K15.15100.08N/AN/A661,0008061,961
2017-11-29$30.86$28.009.1%3.8%10.2%0.0%12.6%8.0%2.7%-115.1K-1.1M-2.4K14.8639.65N/AN/A669818071,996
2017-11-30$31.03$28.0014.0%4.0%10.1%6.0%15.3%11.8%27.7%-94.3K-1.2M-2.6K17.3986.71N/AN/A621,0788042,007