EWI Options History — December 2017

In December 2017, EWI traded between $30.38 and $31.35. ATM implied volatility averaged 15.3%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 4.9% (HV 20d: 10.3%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.66.

Notable Days

  • 2017-12-12: Highest Volume — 1,434 contracts
  • 2017-12-13: Largest IV spike — 310.2% change
  • 2017-12-13: Highest IV Rank — 71.0%
  • 2017-12-08: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.80$30.38$31.35$30.87$30.43
Max Pain$30.80$28.00$31.00$28.00$31.00
ATM IV15.3%9.3%49.2%10.5%15.3%
Expected Move4.0%2.4%7.5%4.4%3.9%
HV 20d10.3%9.0%12.0%9.6%10.3%
HV 60d10.6%10.3%11.2%10.6%10.5%
IV Rank9.7%0.2%71.0%1.7%11.0%
IV Percentile18.2%0.4%97.6%0.8%34.5%
Term Structure-1.5%-40.5%3.9%2.5%-0.0%
VWIV14.1%8.2%29.6%15.7%12.9%
Skew 25d4.7%1.9%7.8%7.8%2.6%
Skew 10d10.6%-9.2%35.3%10.8%13.3%
Call IV 25d16.0%8.1%65.0%9.6%14.1%
Put IV 25d20.6%14.1%67.0%17.4%16.6%
Bid-Ask Spread %71.7814.15132.40127.4856.58
Gamma HHI0.250.190.340.300.28
Net GEX-31.5K-100.8K33.6K-68.0K-14.2K
Net DEX-516.0K-1.8M412.5K-819.3K412.5K
Net VEX-2.6K-3.0K-2.2K-2.5K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.660.476.256.250.75
Total Volume920.954651,4341,239488
Total OI1,980.47642,9322,932977

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$30.87$28.0010.5%4.4%9.6%1.7%15.7%7.8%2.5%-68.0K-819.3K-2.5K6.25127.48N/AN/A1711,0688152,117
2017-12-04$30.87$31.0011.1%3.9%9.1%2.5%15.1%4.3%-0.8%-50.6K-1.2M-2.6K5.5298.46N/AN/A1819998851,920
2017-12-05$30.88$31.0010.8%4.0%9.1%2.0%15.4%7.3%-0.0%-89.2K-1.2M-2.7K5.3471.93N/AN/A1879999011,994
2017-12-06$30.80$31.009.9%3.8%9.0%1.0%14.7%7.1%1.2%-85.9K-1.1M-2.7K5.4514.15N/AN/A1851,0099151,994
2017-12-07$30.97$30.0010.7%3.6%9.1%2.0%14.4%5.9%0.6%-100.8K-1.4M-2.5K5.4415.36N/AN/A1851,0079201,992
2017-12-08$31.35$31.0041.0%7.5%9.9%39.4%25.7%1.9%-2.9%17.7K-1.8M-2.2K5.2980.63N/AN/A2081,1009201,997
2017-12-11$31.32$31.009.3%3.8%9.9%0.2%13.5%6.0%3.9%33.6K-1.8M-2.7K2.9555.81N/AN/A3379949481,966
2017-12-12$31.17$31.0012.0%3.4%9.7%3.8%12.4%6.7%0.2%5.6K-1.6M-2.6K2.41106.93N/AN/A4201,0149171,966
2017-12-13$30.86$31.0049.2%4.8%10.4%71.0%29.6%2.0%-40.5%-18.4K-947.7K-3.0K3.64132.40N/AN/A3011,0978251,965
2017-12-14$30.51$31.0010.2%3.4%10.9%1.8%10.6%3.5%-0.3%-92.0K-440.2K-2.6K2.94106.91N/AN/A3048948252,058
2017-12-15$30.38$31.0011.2%4.0%11.0%3.7%11.2%6.9%3.2%-48.9K-424.1K-2.4K2.8259.93N/AN/A3168928242,040
2017-12-18$30.81$31.009.3%2.4%11.9%0.3%8.2%4.8%1.0%-42.8K288.7K-2.5K0.4745.97N/AN/A343162265499
2017-12-19$30.71$31.0013.1%3.8%12.0%7.1%11.1%4.3%0.5%-6.2K222.3K-2.8K0.5032.51N/AN/A343170362500
2017-12-20$30.55$31.0013.6%3.9%11.8%7.9%12.0%3.3%0.1%-14.3K295.3K-2.7K0.5046.88N/AN/A337170362512
2017-12-21$30.63$31.0013.4%3.8%11.6%7.6%11.5%3.8%0.3%-10.6K238.0K-2.8K0.5163.23N/AN/A336170364512
2017-12-22$30.72$31.0013.3%3.7%10.8%7.4%11.5%3.7%0.7%-8.1K223.3K-2.7K0.5192.47N/AN/A336170363512
2017-12-26$30.80$31.0013.2%3.5%10.2%7.2%11.5%4.6%0.1%1.4K153.9K-2.6K0.5154.56N/AN/A335170361514
2017-12-27$30.66$31.0013.8%4.0%10.2%8.2%12.0%4.7%0.8%-17.2K266.2K-2.4K0.66106.35N/AN/A335221361514
2017-12-28$30.67$31.0014.3%4.0%10.2%9.2%12.0%2.6%0.1%-20.5K269.5K-2.7K0.7667.00N/AN/A264201361565
2017-12-29$30.43$31.0015.3%3.9%10.3%11.0%12.9%2.6%-0.0%-14.2K412.5K-2.7K0.7556.58N/AN/A279209381596