EWI Options History — May 2018

In May 2018, EWI traded between $28.86 and $34.01. ATM implied volatility averaged 23.6%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 9.8% (HV 20d: 13.7%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.84.

Notable Days

  • 2018-05-31: Highest Volume — 8,734 contracts
  • 2018-05-03: Largest IV drop — 70.8% change
  • 2018-05-02: Highest IV Rank — 76.8%
  • 2018-05-02: Largest Expected Move — 20.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.43$28.86$34.01$33.35$30.28
Max Pain$34.41$32.00$35.00$32.00$32.00
ATM IV23.6%14.5%54.9%32.4%25.4%
Expected Move6.5%3.9%20.2%3.9%7.8%
HV 20d13.7%9.7%29.3%10.9%29.2%
HV 60d16.2%14.5%21.2%20.2%20.9%
IV Rank24.3%9.0%76.8%39.0%27.3%
IV Percentile70.2%31.7%97.2%92.1%86.1%
Term Structure-0.4%-14.5%31.4%-10.7%-1.7%
VWIV23.0%15.0%70.7%15.1%27.1%
Skew 25d5.5%-0.0%17.4%3.6%6.7%
Skew 10d11.0%-17.6%24.5%0.5%15.7%
Call IV 25d22.7%12.3%72.7%22.2%22.7%
Put IV 25d28.2%16.0%74.3%25.8%29.4%
Bid-Ask Spread %78.2449.40136.0950.6682.09
Gamma HHI0.320.180.590.440.18
Net GEX-486.5K-902.0K-207.2K-343.5K-902.0K
Net DEX4.3M499.0K9.4M1.4M7.8M
Net VEX-14.7K-33.9K-10.2K-14.9K-33.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.840.989.291.113.01
Total Volume2,430.6821,2078,7341,4628,734
Total OI7,794.5916,76114,2717,21614,271

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$33.35$32.0032.4%3.9%10.9%39.0%15.1%3.6%-10.7%-343.5K1.4M-14.9K1.1150.66N/AN/A6937691,7455,471
2018-05-02$33.70$32.0054.9%20.2%11.3%76.8%70.7%1.5%-7.0%-248.0K1.0M-21.3K0.98136.09N/AN/A7147021,7575,491
2018-05-03$33.74$35.0016.1%4.4%10.8%11.6%17.1%4.1%-0.1%-440.0K668.0K-15.0K1.0774.52N/AN/A7147651,7235,485
2018-05-04$33.98$35.0014.5%4.4%10.8%9.0%17.1%3.7%0.9%-492.0K499.0K-15.0K1.1195.10N/AN/A7157951,7235,556
2018-05-07$34.01$35.0015.2%4.4%9.9%10.1%17.6%5.2%0.0%-546.4K1.0M-14.5K1.3387.14N/AN/A5387141,5345,571
2018-05-08$33.49$35.0016.1%4.9%11.1%11.8%19.5%5.3%1.7%-508.3K2.4M-14.0K1.6083.76N/AN/A5378571,5365,787
2018-05-09$33.51$35.0016.0%4.3%10.6%11.5%15.7%5.0%-1.4%-544.9K2.4M-14.1K1.6286.84N/AN/A5408771,5345,784
2018-05-10$33.37$35.0016.3%5.2%10.2%12.0%16.9%6.0%2.4%-522.0K2.7M-12.9K1.5693.25N/AN/A5408441,5435,805
2018-05-11$33.56$35.0015.2%4.4%10.4%10.2%16.5%-0.0%-0.6%-622.3K2.2M-12.8K1.5591.30N/AN/A5408391,5305,814
2018-05-14$33.59$35.0015.1%4.2%10.2%10.0%19.4%6.0%2.1%-625.0K2.9M-11.3K1.4787.81N/AN/A4887191,3255,814
2018-05-15$33.35$35.0016.7%4.8%9.7%12.7%15.0%3.8%-0.9%-687.7K3.4M-11.1K1.3064.37N/AN/A5657361,3295,942
2018-05-16$32.63$35.0016.5%4.7%11.9%12.4%17.9%1.2%2.3%-397.4K4.9M-10.3K1.5160.14N/AN/A5828771,3165,927
2018-05-17$32.37$35.0019.7%5.6%12.1%17.7%20.5%5.9%0.8%-272.2K4.8M-10.2K3.3449.40N/AN/A4661,5551,3345,684
2018-05-18$31.96$35.0021.4%6.1%12.6%20.7%22.3%5.3%0.6%-295.8K6.1M-11.9K3.3075.35N/AN/A4631,5281,3406,277
2018-05-21$31.95$35.0022.6%6.1%12.4%22.6%26.2%8.6%-0.9%-484.4K6.0M-11.6K3.6569.94N/AN/A4081,4881,0166,065
2018-05-22$32.13$35.0023.4%6.2%12.8%23.9%21.9%6.3%-2.3%-563.9K5.7M-12.6K3.2057.15N/AN/A4211,3481,0356,201
2018-05-23$31.65$35.0035.6%8.7%13.5%44.4%25.7%12.1%-8.8%-416.2K6.4M-13.2K3.9282.89N/AN/A4171,6349846,215
2018-05-24$31.37$35.0026.5%7.0%13.3%29.2%23.3%6.8%-0.8%-591.4K8.1M-13.6K4.1749.92N/AN/A4231,7649866,841
2018-05-25$30.54$35.0031.7%7.2%15.6%37.8%23.1%0.4%-14.5%-365.7K9.4M-12.1K4.4282.70N/AN/A4642,0519926,915
2018-05-29$28.86$33.0041.2%10.0%24.1%53.8%31.9%17.4%31.4%-207.2K8.0M-11.4K9.2987.83N/AN/A6075,6409875,774
2018-05-30$30.02$33.0026.6%8.1%29.3%29.3%25.0%6.6%-1.0%-627.0K5.9M-25.5K7.9573.02N/AN/A8276,5771,8429,680
2018-05-31$30.28$32.0025.4%7.8%29.2%27.3%27.1%6.7%-1.7%-902.0K7.8M-33.9K3.0182.09N/AN/A2,1806,5542,17812,093