EWI Options History — July 2018

In July 2018, EWI traded between $28.65 and $29.87. ATM implied volatility averaged 19.0%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.3% (HV 20d: 17.6%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 6.63.

Notable Days

  • 2018-07-02: Highest Volume — 6,254 contracts
  • 2018-07-11: Largest IV spike — 14.2% change
  • 2018-07-02: Highest IV Rank — 25.5%
  • 2018-07-02: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.31$28.65$29.87$28.65$29.87
Max Pain$29.19$29.00$31.00$31.00$29.00
ATM IV19.0%14.5%24.3%24.3%15.9%
Expected Move5.4%4.1%6.9%6.9%4.4%
HV 20d17.6%13.1%23.0%22.5%13.1%
HV 60d22.5%22.2%22.7%22.3%22.7%
IV Rank16.5%9.1%25.5%25.5%11.4%
IV Percentile61.7%30.6%85.3%85.3%44.8%
Term Structure-0.1%-1.4%1.2%-0.2%-0.1%
VWIV20.0%16.0%27.2%18.2%20.3%
Skew 25d5.4%2.7%8.4%6.4%4.3%
Skew 10d12.3%2.5%19.9%18.6%8.4%
Call IV 25d15.9%12.1%20.7%20.7%13.9%
Put IV 25d21.4%17.4%27.2%27.2%18.2%
Bid-Ask Spread %70.3021.26135.3832.98113.68
Gamma HHI0.280.220.430.220.43
Net GEX-492.4K-795.8K423.0K-755.2K423.0K
Net DEX5.9M-5.0M12.7M12.7M-5.0M
Net VEX-52.0K-70.2K-32.5K-70.2K-32.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.635.1313.8613.866.17
Total Volume3,149.5242,1266,2546,2542,224
Total OI21,239.38118,39922,92522,32218,399

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$28.65$31.0024.3%6.9%22.5%25.5%18.2%6.4%-0.2%-755.2K12.7M-70.2K13.8632.98N/AN/A4215,8336,10416,218
2018-07-03$28.97$31.0022.6%6.6%22.8%22.6%21.9%6.7%-0.6%-781.6K10.3M-69.3K5.3388.70N/AN/A5532,9476,10416,452
2018-07-05$29.39$29.0021.4%6.3%23.0%20.7%26.7%5.7%0.7%-746.6K7.3M-65.8K5.1683.48N/AN/A5883,0326,12816,403
2018-07-06$29.52$29.0020.0%5.6%22.6%18.2%27.2%6.2%0.6%-795.8K6.0M-64.3K6.5529.25N/AN/A4623,0276,17216,542
2018-07-09$29.70$29.0019.8%5.4%22.4%18.0%20.4%5.0%-1.0%-717.5K4.5M-59.8K6.3121.26N/AN/A4542,8666,11116,433
2018-07-10$29.69$29.0018.4%5.4%17.8%15.6%21.4%3.9%0.7%-763.9K4.8M-57.9K6.5471.03N/AN/A4552,9766,10916,437
2018-07-11$29.02$29.0021.1%5.9%19.3%20.0%19.4%4.2%-0.3%-704.7K10.3M-58.8K6.8853.59N/AN/A4322,9726,10916,405
2018-07-12$29.17$29.0019.8%5.8%19.2%17.9%19.3%5.0%0.3%-654.9K9.2M-56.3K6.8684.21N/AN/A4322,9636,10916,401
2018-07-13$29.30$29.0019.2%5.8%19.3%16.9%20.3%4.5%1.2%-603.4K8.3M-55.4K7.4094.10N/AN/A4323,1966,10916,400
2018-07-16$29.32$29.0019.5%5.6%19.1%17.4%19.9%7.6%-0.9%-683.6K8.3M-52.4K6.5077.47N/AN/A4172,7126,08116,319
2018-07-17$29.45$29.0019.6%5.7%19.2%17.6%20.3%8.4%-1.4%-628.9K6.7M-50.5K7.3244.98N/AN/A4103,0026,06816,367
2018-07-18$29.25$29.0019.6%5.6%16.9%17.5%20.2%7.1%-0.9%-707.0K9.0M-49.6K7.6340.16N/AN/A4103,1286,07016,658
2018-07-19$29.08$29.0019.4%5.6%17.0%17.2%20.0%5.7%-0.1%-686.2K10.8M-50.1K7.4750.38N/AN/A4183,1226,07016,855
2018-07-20$29.26$29.0018.9%5.5%15.1%16.4%19.9%5.5%-0.8%-324.1K8.9M-48.8K6.3581.67N/AN/A4172,6506,08416,839
2018-07-23$29.06$29.0019.2%5.4%14.2%16.9%18.5%5.9%-0.1%-414.6K4.6M-46.8K5.2124.24N/AN/A3481,8125,58012,932
2018-07-24$29.23$29.0017.8%5.2%13.5%14.5%18.0%4.1%0.1%-373.9K2.7M-44.3K5.1946.24N/AN/A3481,8055,58113,054
2018-07-25$29.40$29.0015.9%4.6%13.5%11.4%16.4%2.7%-0.2%-218.9K1.9M-42.6K5.19106.04N/AN/A3481,8065,58113,056
2018-07-26$29.27$29.0014.5%4.1%13.3%9.1%16.0%5.8%0.4%-251.9K1.6M-40.5K5.13100.41N/AN/A3471,7795,58113,059
2018-07-27$29.38$29.0015.2%4.2%13.4%10.2%18.4%5.4%-0.1%-49.9K1.1M-38.8K6.05135.38N/AN/A3382,0455,58313,061
2018-07-30$29.55$29.0016.5%4.9%13.1%12.4%17.5%3.8%0.6%99.4K-856.8K-37.8K6.1696.95N/AN/A3091,9045,56312,840
2018-07-31$29.87$29.0015.9%4.4%13.1%11.4%20.3%4.3%-0.1%423.0K-5.0M-32.5K6.17113.68N/AN/A3101,9145,56312,836