EWI Options History — September 2018

In September 2018, EWI traded between $27.12 and $29.33. ATM implied volatility averaged 21.3%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.3% (HV 20d: 21.1%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.99.

Notable Days

  • 2018-09-11: Highest Volume — 4,905 contracts
  • 2018-09-28: Largest IV spike — 17.1% change
  • 2018-09-07: Highest IV Rank — 24.8%
  • 2018-09-06: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.25$27.12$29.33$27.47$27.66
Max Pain$28.32$28.00$31.00$31.00$28.00
ATM IV21.3%18.8%23.9%23.2%23.5%
Expected Move6.3%5.4%7.3%6.8%6.8%
HV 20d21.1%18.9%23.8%23.8%23.6%
HV 60d19.4%18.7%20.5%20.4%20.5%
IV Rank20.5%16.3%24.8%23.6%24.1%
IV Percentile69.2%49.2%84.1%81.7%82.5%
Term Structure0.2%-1.5%1.9%0.5%-0.3%
VWIV23.1%15.9%28.3%24.6%28.3%
Skew 25d5.0%3.7%5.8%4.8%5.8%
Skew 10d12.3%-0.9%20.2%15.0%8.6%
Call IV 25d19.2%16.7%21.8%20.9%21.8%
Put IV 25d24.2%21.3%27.6%25.8%27.6%
Bid-Ask Spread %50.639.99104.24101.0376.22
Gamma HHI0.210.170.260.240.23
Net GEX-155.1K-375.5K74.8K-317.7K-274.4K
Net DEX2.1M-1.7M5.4M4.5M4.0M
Net VEX-28.4K-33.2K-25.0K-25.6K-28.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.303.182.230.39
Total Volume3,749.3161,1724,9051,1724,514
Total OI11,404.2119,35213,3319,35211,077

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$27.47$31.0023.2%6.8%23.8%23.6%24.6%4.8%0.5%-317.7K4.5M-25.6K2.23101.03N/AN/A3638091,6437,709
2018-09-05$27.61$31.0023.7%7.1%23.1%24.5%23.6%5.5%0.3%-311.7K4.3M-25.6K2.6456.11N/AN/A3689701,6467,775
2018-09-06$27.48$28.0023.4%7.3%23.1%23.9%24.4%5.2%-0.1%-337.0K4.7M-26.4K2.5658.83N/AN/A3759601,6527,977
2018-09-07$27.12$28.0023.9%7.2%23.1%24.8%24.3%5.2%-0.6%-375.5K5.4M-26.4K3.0515.58N/AN/A3751,1441,6607,979
2018-09-10$27.97$28.0021.9%6.6%22.6%21.5%27.0%5.8%1.0%-277.7K3.4M-25.0K3.1829.26N/AN/A4271,3581,6597,925
2018-09-11$27.91$28.0021.2%6.4%22.4%20.2%26.7%5.5%1.9%-297.9K3.5M-25.2K0.4597.62N/AN/A3,3771,5281,7358,170
2018-09-12$28.04$28.0021.0%6.6%22.4%19.9%27.0%4.9%1.9%-182.5K2.7M-33.2K0.3758.18N/AN/A3,4021,2544,7588,489
2018-09-13$28.03$28.0021.4%6.3%19.8%20.7%25.7%5.1%0.5%-205.9K2.8M-31.9K0.3791.58N/AN/A3,4101,2564,7808,551
2018-09-14$27.87$28.0020.6%6.1%19.9%19.2%25.1%5.0%0.7%-208.7K3.3M-31.7K0.3835.77N/AN/A3,4101,2794,8058,522
2018-09-17$28.28$28.0021.9%6.4%20.4%21.5%25.7%4.7%-1.4%-100.1K1.8M-30.8K0.3015.35N/AN/A3,4291,0304,7808,185
2018-09-18$28.47$28.0021.9%6.4%20.3%21.5%26.7%5.2%-1.5%-55.9K1.3M-30.1K0.3313.04N/AN/A3,4361,1294,8198,221
2018-09-19$28.58$28.0019.9%5.7%19.2%18.1%25.0%4.8%0.3%-29.9K1.2M-28.5K0.3212.19N/AN/A3,4361,1134,8278,240
2018-09-20$29.04$28.0019.5%5.6%19.8%17.4%15.9%5.6%-0.6%74.8K-358.4K-29.7K0.3712.32N/AN/A3,4361,2694,8268,238
2018-09-21$29.04$28.0019.9%5.7%19.2%18.1%16.1%5.6%0.3%15.0K55.9K-28.6K0.399.99N/AN/A3,4361,3334,7848,469
2018-09-24$28.90$28.0020.5%6.0%18.9%19.2%17.1%4.0%-0.2%-57.0K-416.1K-29.4K0.3824.37N/AN/A3,1911,2264,3936,254
2018-09-25$29.33$28.0018.9%5.4%19.3%16.4%18.4%4.3%0.5%41.8K-1.6M-28.6K0.3774.76N/AN/A3,1891,1884,3936,287
2018-09-26$29.30$28.0018.8%5.4%18.9%16.3%19.5%3.7%-0.8%65.3K-1.7M-27.5K0.38104.24N/AN/A3,1771,1944,4046,294
2018-09-27$28.68$28.0020.0%6.0%20.6%18.3%17.0%4.8%1.0%-111.8K52.7K-27.4K0.3975.53N/AN/A3,2011,2454,4066,348
2018-09-28$27.66$28.0023.5%6.8%23.6%24.1%28.3%5.8%-0.3%-274.4K4.0M-28.1K0.3976.22N/AN/A3,2411,2734,3776,700