EWI Options History — January 2018

In January 2018, EWI traded between $30.61 and $34.41. ATM implied volatility averaged 17.4%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.9% (HV 20d: 13.5%). Max pain ranged from $30.00 to $33.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2018-01-26: Highest Volume — 1,084 contracts
  • 2018-01-31: Largest IV spike — 195.0% change
  • 2018-01-31: Highest IV Rank — 91.3%
  • 2018-01-31: Largest Expected Move — 24.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.95$30.61$34.41$30.61$33.80
Max Pain$30.67$30.00$33.50$31.00$33.50
ATM IV17.4%11.7%60.7%15.1%60.7%
Expected Move5.3%3.5%24.2%3.9%24.2%
HV 20d13.5%10.5%15.1%10.5%14.2%
HV 60d11.9%10.5%12.4%10.5%12.2%
IV Rank14.7%4.5%91.3%10.5%91.3%
IV Percentile39.3%5.2%99.2%32.9%99.2%
Term Structure-0.0%-8.4%13.6%-0.1%-8.4%
VWIV22.5%11.9%66.3%13.1%66.3%
Skew 25d0.4%-35.4%6.5%2.5%1.4%
Skew 10d8.6%-19.5%37.4%-19.5%9.9%
Call IV 25d22.8%10.6%86.1%14.6%86.1%
Put IV 25d23.2%14.1%87.5%17.0%87.5%
Bid-Ask Spread %105.3740.29148.0989.63148.09
Gamma HHI0.180.130.290.290.15
Net GEX6.4K-31.9K79.5K-9.3K-4.1K
Net DEX-1.3M-2.2M345.2K345.2K-1.3M
Net VEX-3.2K-6.7K-2.3K-2.7K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.351.040.690.35
Total Volume727.5243661,084482891
Total OI1,201.0489251,5709731,570

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$30.61$31.0015.1%3.9%10.5%10.5%13.1%2.5%-0.1%-9.3K345.2K-2.7K0.6989.63N/AN/A285197382591
2018-01-03$30.66$31.0014.9%3.5%10.5%10.2%12.9%2.4%-5.1%-10.5K170.2K-2.8K0.69132.81N/AN/A285198405596
2018-01-04$31.53$30.0013.4%3.7%14.6%7.5%16.1%3.0%0.1%79.5K-387.9K-2.6K0.67101.14N/AN/A296199405601
2018-01-05$31.89$30.0012.4%3.8%14.9%5.8%15.3%2.5%-0.6%47.0K-647.1K-2.3K0.77102.29N/AN/A286220415606
2018-01-08$31.79$30.0014.0%3.9%15.0%8.7%16.5%2.2%-0.4%28.7K-462.5K-2.4K1.04102.65N/AN/A186193349577
2018-01-09$31.94$30.0014.3%3.8%14.5%9.1%16.0%4.4%-1.0%35.4K-492.8K-2.3K1.03111.73N/AN/A180186350575
2018-01-10$32.09$30.0014.3%4.2%14.5%9.1%36.2%-8.3%-0.7%16.6K-585.8K-2.3K0.43127.45N/AN/A432186361575
2018-01-11$32.56$30.0011.7%3.9%15.1%4.5%13.3%1.6%3.9%36.3K-1.5M-2.8K0.4298.78N/AN/A498208636575
2018-01-12$33.08$30.0013.9%3.9%15.1%8.4%11.9%-4.9%-3.0%15.3K-1.7M-3.2K0.43109.04N/AN/A479208706600
2018-01-16$33.21$30.0016.5%4.8%14.0%13.1%28.2%3.1%-1.5%15.5K-1.5M-2.7K0.4485.39N/AN/A464205596582
2018-01-17$33.39$30.0015.3%4.4%13.6%10.9%16.1%5.6%-0.6%3.4K-1.6M-2.6K0.4440.29N/AN/A464204601597
2018-01-18$33.48$30.0015.6%4.5%13.2%11.4%29.7%3.4%-0.6%3.5K-1.6M-2.7K0.4368.49N/AN/A475204602598
2018-01-19$33.70$30.0017.2%5.1%12.9%14.3%40.7%-35.4%0.6%-3.2K-1.6M-2.8K0.47128.02N/AN/A483226613598
2018-01-22$34.02$30.0015.1%4.2%12.5%10.6%18.5%3.2%-0.7%-2.5K-1.5M-2.4K0.4052.30N/AN/A483195551442
2018-01-23$33.96$31.0015.0%4.0%12.7%10.5%21.7%3.7%-0.4%-5.9K-2.2M-3.3K0.61124.75N/AN/A653398801461
2018-01-24$33.93$31.0016.4%4.7%12.9%12.9%22.2%5.7%-1.6%-31.9K-2.1M-3.9K0.62133.44N/AN/A645398801664
2018-01-25$34.09$31.0015.7%4.7%12.8%11.6%20.3%1.9%0.7%-29.8K-2.1M-3.9K0.61119.35N/AN/A656398802664
2018-01-26$34.41$31.0016.5%4.4%12.4%13.1%16.0%0.3%13.6%-19.7K-2.2M-3.6K0.58110.49N/AN/A686398815664
2018-01-29$34.09$31.0017.9%5.0%13.4%15.5%20.3%2.8%3.1%-9.4K-1.9M-4.0K0.63116.06N/AN/A652408783644
2018-01-30$33.65$33.5020.6%5.5%14.2%20.2%22.1%6.5%1.7%-21.4K-1.8M-4.6K0.47110.56N/AN/A661309803665
2018-01-31$33.80$33.5060.7%24.2%14.2%91.3%66.3%1.4%-8.4%-4.1K-1.3M-6.7K0.35148.09N/AN/A662229813757