EWI Options History — June 2018

In June 2018, EWI traded between $28.48 and $30.73. ATM implied volatility averaged 22.6%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 7.5% (HV 20d: 30.1%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 5.73.

Notable Days

  • 2018-06-22: Highest Volume — 12,330 contracts
  • 2018-06-13: Largest IV spike — 132.0% change
  • 2018-06-13: Highest IV Rank — 64.1%
  • 2018-06-13: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.70$28.48$30.73$30.33$28.84
Max Pain$31.05$31.00$32.00$32.00$31.00
ATM IV22.6%17.9%47.3%22.0%22.1%
Expected Move6.4%4.9%12.4%6.7%6.0%
HV 20d30.1%22.0%34.3%29.2%22.4%
HV 60d22.1%20.7%22.9%20.7%22.2%
IV Rank22.6%14.7%64.1%21.5%21.8%
IV Percentile78.3%66.3%96.4%80.2%79.4%
Term Structure-0.3%-5.1%1.4%-2.0%0.9%
VWIV24.7%17.2%78.3%18.4%19.6%
Skew 25d6.5%4.2%11.0%6.7%5.5%
Skew 10d14.6%5.0%21.6%10.1%19.4%
Call IV 25d20.5%16.0%59.2%19.7%19.1%
Put IV 25d27.0%20.9%70.2%26.4%24.6%
Bid-Ask Spread %54.6616.40110.4377.7791.23
Gamma HHI0.250.160.370.260.22
Net GEX-928.8K-1.5M-649.2K-865.7K-740.1K
Net DEX10.7M6.2M16.9M7.0M14.4M
Net VEX-47.0K-80.4K-27.8K-36.6K-71.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.731.3818.914.3612.28
Total Volume6,629.5242,18712,3306,7756,097
Total OI17,062.28610,48823,52317,61423,427

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$30.33$32.0022.0%6.7%29.2%21.5%18.4%6.7%-2.0%-865.7K7.0M-36.6K4.3677.77N/AN/A1,2655,5103,69113,923
2018-06-04$30.32$31.0020.2%6.0%28.9%18.6%21.3%5.4%0.2%-928.2K9.5M-33.8K5.5745.34N/AN/A8314,6312,99512,046
2018-06-05$30.01$31.0021.9%5.9%28.8%21.5%22.2%6.9%-0.4%-1.1M11.1M-32.0K6.0316.40N/AN/A8194,9373,00411,761
2018-06-06$30.37$31.0020.3%6.1%29.3%18.7%24.3%8.1%0.8%-992.4K9.6M-33.3K7.2735.78N/AN/A7415,3893,01112,293
2018-06-07$29.93$31.0022.4%6.1%29.4%22.2%25.5%7.6%-0.8%-1.5M13.4M-35.7K7.9227.69N/AN/A6535,1752,97713,350
2018-06-08$29.62$31.0021.8%5.8%29.4%21.2%25.5%7.3%-0.1%-855.6K16.9M-33.4K4.7223.11N/AN/A8093,8222,97813,576
2018-06-11$30.72$31.0020.7%5.5%32.9%19.4%18.0%7.3%-1.8%-932.5K6.8M-32.6K5.7617.98N/AN/A6503,7471,98211,452
2018-06-12$30.51$31.0020.4%5.5%32.8%18.9%20.5%6.0%-1.7%-949.7K7.6M-32.8K3.8159.39N/AN/A6472,4672,08311,672
2018-06-13$30.73$31.0047.3%12.4%33.1%64.1%78.3%11.0%-5.1%-649.2K6.2M-32.4K3.50110.43N/AN/A5832,0402,00311,710
2018-06-14$30.65$31.0017.9%4.9%32.4%14.7%20.5%5.3%0.9%-1.2M7.3M-29.5K3.4787.37N/AN/A5812,0142,01211,681
2018-06-15$30.34$31.0018.4%5.5%32.5%15.6%20.0%4.2%-0.5%-687.0K8.4M-27.8K3.4131.25N/AN/A5892,0082,00911,755
2018-06-18$30.16$31.0018.7%5.4%32.3%16.1%21.1%5.4%1.4%-724.0K7.4M-28.8K3.4386.42N/AN/A4941,6931,1829,306
2018-06-19$29.38$31.0020.2%5.8%33.3%18.6%25.9%5.5%0.6%-679.4K8.5M-31.3K1.3859.72N/AN/A3,4884,7961,1899,372
2018-06-20$29.35$31.0020.3%5.8%33.1%18.8%18.6%4.9%-0.1%-662.9K8.4M-57.5K9.8524.57N/AN/A4854,7794,19412,533
2018-06-21$28.71$31.0024.1%6.9%33.5%25.1%26.4%5.9%0.3%-651.7K11.6M-56.7K3.6486.99N/AN/A2,4959,0904,20412,429
2018-06-22$29.18$31.0022.2%6.4%34.3%21.9%29.2%6.1%-0.1%-752.4K9.2M-80.4K3.9576.25N/AN/A2,4939,8376,21616,400
2018-06-25$28.80$31.0023.2%6.6%33.4%23.6%23.4%8.3%-0.3%-1.1M13.9M-78.0K3.6276.21N/AN/A2,4578,8956,16617,357
2018-06-26$28.66$31.0023.5%6.8%26.8%24.1%22.0%6.6%-0.1%-1.2M14.6M-76.2K3.6464.02N/AN/A2,4729,0096,18117,330
2018-06-27$28.48$31.0023.4%6.8%22.3%23.9%20.7%6.0%0.0%-1.1M16.2M-73.6K3.6931.59N/AN/A2,4769,1356,19617,241
2018-06-28$28.55$31.0023.1%6.6%22.0%23.4%17.2%6.8%0.9%-1.2M15.9M-72.8K18.9118.39N/AN/A4588,6636,18017,241
2018-06-29$28.84$31.0022.1%6.0%22.4%21.8%19.6%5.5%0.9%-740.1K14.4M-71.2K12.2891.23N/AN/A4595,6386,18317,244