EWI Options History — February 2018

In February 2018, EWI traded between $31.55 and $34.17. ATM implied volatility averaged 30.7%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 3.6% (HV 20d: 27.1%). Max pain ranged from $32.00 to $32.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.52.

Notable Days

  • 2018-02-13: Highest Volume — 4,014 contracts
  • 2018-02-02: Largest IV spike — 93.8% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-08: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.34$31.55$34.17$34.17$31.74
Max Pain$32.00$32.00$32.00$32.00$32.00
ATM IV30.7%19.2%68.7%19.2%25.9%
Expected Move7.4%6.2%9.0%6.2%7.9%
HV 20d27.1%14.3%30.1%14.3%29.9%
HV 60d18.7%12.1%20.4%12.1%20.4%
IV Rank36.3%17.8%100.0%17.8%28.2%
IV Percentile85.8%67.5%100.0%67.5%85.7%
Term Structure-4.7%-35.5%7.9%2.8%-1.3%
VWIV28.4%24.0%45.6%25.1%29.3%
Skew 25d1.6%-38.7%13.0%3.6%8.1%
Skew 10d15.2%-24.0%28.5%14.9%21.5%
Call IV 25d34.7%17.2%87.2%17.2%22.3%
Put IV 25d36.3%20.8%89.0%20.8%30.4%
Bid-Ask Spread %98.6431.32132.59108.56104.17
Gamma HHI0.370.100.600.190.43
Net GEX-240.2K-687.0K32.2K-17.8K-687.0K
Net DEX468.5K-1.9M6.6M-1.9M6.6M
Net VEX-12.9K-24.9K-4.6K-4.6K-24.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.354.680.422.35
Total Volume2,063.1589404,0149402,056
Total OI4,222.5791,5898,1211,5898,121

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$34.17$32.0019.2%6.2%14.3%17.8%25.1%3.6%2.8%-17.8K-1.9M-4.6K0.42108.56N/AN/A662278812777
2018-02-02$33.22$32.0037.1%7.1%16.3%49.6%25.3%-38.7%7.9%-29.0K-1.5M-5.8K0.65111.73N/AN/A707461811824
2018-02-05$31.75$32.0068.7%7.0%23.2%100.0%45.6%-22.9%-28.1%-6.8K-855.8K-7.9K0.45132.59N/AN/A954426912907
2018-02-06$32.88$32.0061.5%7.4%26.3%87.8%28.4%13.0%-31.1%9.2K-1.4M-7.7K0.46117.13N/AN/A9514421,127947
2018-02-07$32.45$32.0028.2%8.2%26.8%32.1%24.7%11.1%0.9%28.7K-1.2M-7.7K0.35107.53N/AN/A9513311,140935
2018-02-08$31.55$32.0031.6%9.0%28.6%37.7%29.3%-35.3%-8.0%11.9K-882.2K-7.5K0.54111.75N/AN/A9925311,140931
2018-02-09$31.77$32.0043.0%8.5%28.2%56.9%34.8%-2.7%-35.5%-7.9K-563.9K-7.7K0.79115.44N/AN/A1,0648411,1811,154
2018-02-12$31.92$32.0028.3%8.3%27.6%32.1%31.8%10.1%-0.6%32.2K-1.3M-7.2K2.5099.82N/AN/A9212,3031,187973
2018-02-13$31.72$32.0027.6%7.8%27.5%31.0%28.7%11.8%1.4%-6.4K-768.8K-12.7K3.3097.06N/AN/A9333,0811,1842,626
2018-02-14$32.58$32.0025.3%7.2%29.3%27.1%24.0%10.0%3.9%-175.8K-337.4K-12.9K2.95103.27N/AN/A9482,7931,1963,612
2018-02-15$32.66$32.0022.8%6.4%29.3%23.0%27.9%10.4%3.0%-269.8K456.1K-17.4K2.5067.16N/AN/A9522,3771,2114,353
2018-02-16$32.84$32.0023.2%6.6%29.3%23.6%26.3%5.5%-0.2%-357.2K450.7K-17.7K0.91112.14N/AN/A9528671,2134,582
2018-02-20$32.27$32.0024.1%6.9%29.5%25.1%25.1%8.2%-1.1%-466.7K1.9M-17.5K0.6595.00N/AN/A7835079844,570
2018-02-21$32.03$32.0024.8%7.5%29.6%26.3%29.3%7.7%-0.8%-490.1K2.2M-18.2K1.1495.18N/AN/A8459631,0124,671
2018-02-22$31.95$32.0024.4%7.2%29.6%25.7%26.6%8.2%-1.0%-512.6K2.6M-18.0K1.1497.78N/AN/A8339481,0765,065
2018-02-23$32.42$32.0021.5%6.3%30.1%20.8%25.3%6.7%0.1%-506.3K1.5M-17.2K1.5731.32N/AN/A6049481,1415,180
2018-02-26$32.50$32.0021.3%6.5%29.8%20.5%25.3%7.5%-0.4%-543.8K1.3M-15.6K1.6061.62N/AN/A5829301,1275,146
2018-02-27$32.00$32.0024.2%7.5%30.1%25.3%26.7%8.3%-0.3%-569.1K2.5M-17.5K4.68104.93N/AN/A6132,8701,1775,224
2018-02-28$31.74$32.0025.9%7.9%29.9%28.2%29.3%8.1%-1.3%-687.0K6.6M-24.9K2.35104.17N/AN/A6131,4431,2506,871