EWI Options History — March 2018

In March 2018, EWI traded between $31.41 and $32.60. ATM implied volatility averaged 22.7%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.4% (HV 20d: 18.3%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.81.

Notable Days

  • 2018-03-05: Highest Volume — 3,837 contracts
  • 2018-03-09: Largest IV spike — 87.8% change
  • 2018-03-09: Highest IV Rank — 48.3%
  • 2018-03-02: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.11$31.41$32.60$31.61$32.19
Max Pain$32.88$32.00$34.00$32.00$32.50
ATM IV22.7%17.2%37.9%27.2%20.3%
Expected Move6.3%4.9%11.5%9.4%5.5%
HV 20d18.3%12.9%29.8%29.8%16.1%
HV 60d20.8%20.4%21.5%20.4%21.5%
IV Rank22.8%13.6%48.3%30.3%18.7%
IV Percentile73.9%56.3%93.7%86.1%70.6%
Term Structure-0.2%-3.3%2.9%1.0%0.3%
VWIV23.2%18.1%37.3%37.3%19.9%
Skew 25d4.6%-12.9%14.8%10.9%4.7%
Skew 10d14.0%-24.3%36.4%26.6%20.9%
Call IV 25d23.0%14.4%50.7%22.6%20.0%
Put IV 25d27.6%19.8%58.2%33.5%24.8%
Bid-Ask Spread %86.8646.68119.51119.3490.77
Gamma HHI0.330.230.540.440.24
Net GEX-796.5K-1.6M-464.0K-675.7K-537.5K
Net DEX6.6M4.8M10.0M7.7M5.8M
Net VEX-27.0K-33.8K-21.2K-21.2K-23.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.811.205.192.761.60
Total Volume2,751.1431,5233,8372,3702,193
Total OI9,436.818,12011,0948,4458,677

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$31.61$32.0027.2%9.4%29.8%30.3%37.3%10.9%1.0%-675.7K7.7M-21.2K2.76119.34N/AN/A6301,7401,2807,165
2018-03-02$31.51$32.0029.5%11.5%29.3%34.2%37.2%-12.6%-1.8%-694.6K8.6M-28.2K4.30119.51N/AN/A6312,7151,2867,648
2018-03-05$31.41$34.0022.1%6.4%27.9%21.7%22.9%5.7%0.1%-1.0M10.0M-27.3K5.1988.69N/AN/A6203,2171,2528,662
2018-03-06$32.04$33.0021.8%6.2%24.1%21.3%23.4%5.9%-0.5%-1.1M7.5M-30.3K4.0185.09N/AN/A6572,6371,2698,994
2018-03-07$32.37$33.0020.8%6.3%20.7%19.6%22.8%-12.9%0.5%-1.1M6.6M-30.5K3.00104.75N/AN/A8312,4901,3079,141
2018-03-08$32.43$33.0020.2%6.1%20.2%18.6%22.3%7.1%-0.1%-1.1M6.5M-31.0K3.3268.68N/AN/A8462,8051,5039,265
2018-03-09$32.53$33.0037.9%5.5%17.3%48.3%26.4%10.7%-2.9%-788.4K7.6M-33.8K3.3160.28N/AN/A8452,8001,6489,396
2018-03-12$32.56$33.0020.4%5.5%17.2%18.9%22.8%5.8%-0.6%-1.2M5.9M-28.9K4.3264.95N/AN/A6262,7071,6099,165
2018-03-13$32.45$33.0019.9%6.0%17.2%18.1%23.0%7.9%1.3%-1.3M6.4M-29.5K4.1873.50N/AN/A6382,6641,6109,449
2018-03-14$32.24$33.0019.8%5.8%17.2%18.0%22.5%5.8%0.7%-1.6M7.3M-29.0K4.4946.68N/AN/A6783,0451,6179,477
2018-03-15$32.46$33.0018.7%5.7%14.5%16.1%21.4%5.0%1.4%-1.2M5.6M-27.9K2.9654.28N/AN/A8772,6001,6619,045
2018-03-16$32.60$33.0017.2%4.9%14.5%13.6%20.5%5.3%-0.3%-493.2K4.8M-26.3K3.1175.40N/AN/A8392,6081,6088,923
2018-03-19$32.39$33.0018.7%5.4%14.5%16.1%22.2%4.9%0.6%-494.8K5.5M-25.7K2.8587.32N/AN/A6641,8911,2466,874
2018-03-20$32.33$33.0017.5%5.0%13.1%14.0%18.1%5.6%0.3%-515.5K5.5M-24.9K1.3455.84N/AN/A6548771,2766,871
2018-03-21$32.42$33.0017.4%5.0%12.9%13.9%19.7%14.8%2.9%-522.0K5.1M-24.9K1.36104.25N/AN/A6448791,2666,877
2018-03-22$31.63$33.0021.4%6.1%15.7%20.5%20.4%6.3%0.8%-515.3K6.9M-25.4K1.4597.72N/AN/A6399281,2676,882
2018-03-23$31.64$33.0023.8%6.9%14.6%24.6%20.9%5.3%-2.6%-489.1K6.7M-25.9K1.27106.00N/AN/A7739831,2576,877
2018-03-26$31.98$33.0021.4%6.0%15.2%20.6%20.7%6.0%-0.3%-484.7K6.2M-25.0K1.36104.11N/AN/A7501,0171,3656,859
2018-03-27$31.48$33.0023.5%6.7%15.2%24.1%23.4%7.1%-0.8%-486.9K7.1M-23.6K1.20108.80N/AN/A8601,0301,3656,874
2018-03-28$31.97$32.0037.1%6.0%16.0%47.0%20.4%-3.0%-3.3%-464.0K5.8M-24.6K1.61108.14N/AN/A8601,3861,4886,872
2018-03-29$32.19$32.5020.3%5.5%16.1%18.7%19.9%4.7%0.3%-537.5K5.8M-23.9K1.6090.77N/AN/A8421,3511,4887,189