EWI Options History — October 2018

In October 2018, EWI traded between $24.52 and $27.53. ATM implied volatility averaged 27.9%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.4% (HV 20d: 23.5%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.55.

Notable Days

  • 2018-10-26: Highest Volume — 12,979 contracts
  • 2018-10-18: Largest IV spike — 14.8% change
  • 2018-10-24: Highest IV Rank — 40.0%
  • 2018-10-29: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.96$24.52$27.53$27.48$25.08
Max Pain$26.91$25.00$28.00$28.00$25.00
ATM IV27.9%23.3%33.0%23.3%27.7%
Expected Move8.2%6.9%10.2%6.9%8.7%
HV 20d23.5%20.2%27.6%23.0%25.9%
HV 60d21.9%20.1%23.9%20.5%23.7%
IV Rank31.6%23.8%40.0%23.8%31.2%
IV Percentile88.4%80.6%92.5%80.6%84.9%
Term Structure-0.9%-3.0%0.8%-0.5%0.8%
VWIV26.8%21.6%32.9%22.3%25.7%
Skew 25d6.5%4.4%9.2%4.4%7.1%
Skew 10d16.1%8.3%23.3%12.5%18.6%
Call IV 25d24.7%20.5%28.3%20.5%24.3%
Put IV 25d31.2%24.9%36.7%24.9%31.4%
Bid-Ask Spread %77.2440.8698.4795.5383.03
Gamma HHI0.270.170.390.230.38
Net GEX-273.8K-721.9K226.7K-283.2K226.7K
Net DEX4.4M-931.5K10.8M3.8M-692.8K
Net VEX-36.6K-43.6K-27.4K-27.4K-39.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.190.970.300.19
Total Volume8,326.3485,70712,9798,42910,424
Total OI16,823.78310,72520,53810,72519,096

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$27.48$28.0023.3%6.9%23.0%23.8%22.3%4.4%-0.5%-283.2K3.8M-27.4K0.3095.53N/AN/A6,4721,9574,4166,309
2018-10-02$27.36$28.0024.2%7.3%22.5%25.3%28.5%5.5%-0.6%-174.6K2.8M-36.7K0.5179.26N/AN/A4,9462,5417,4397,429
2018-10-03$27.53$28.0024.4%7.1%22.6%25.7%24.8%6.1%-1.4%-129.1K697.5K-38.4K0.5187.35N/AN/A4,5662,3118,0327,615
2018-10-04$27.32$28.0024.6%7.0%22.7%26.1%27.4%6.2%0.1%-141.9K1.1M-39.5K0.5163.68N/AN/A4,5992,3258,3027,642
2018-10-05$27.02$28.0026.0%7.0%22.5%28.3%26.3%6.0%-0.5%-164.9K2.3M-39.1K0.4985.62N/AN/A4,5572,2488,3837,660
2018-10-08$26.53$27.0026.5%7.1%20.2%29.2%27.2%6.3%-1.3%-273.9K4.0M-36.7K0.4272.36N/AN/A4,4881,8718,3657,477
2018-10-09$26.73$28.0026.8%7.2%20.5%29.7%26.1%5.1%-1.6%-270.3K3.3M-36.7K0.5776.39N/AN/A4,5182,5908,4667,628
2018-10-10$26.19$28.0028.1%8.1%21.3%31.9%24.8%5.6%0.2%-271.3K4.5M-35.3K0.6184.18N/AN/A4,3832,6598,6037,381
2018-10-11$25.89$28.0029.0%8.2%21.5%33.4%24.2%7.7%-0.8%-335.1K7.0M-35.9K0.7398.47N/AN/A4,6243,3848,5748,040
2018-10-12$25.77$28.0028.8%8.0%21.5%33.0%24.7%6.6%-1.1%-382.9K8.5M-36.4K0.8393.80N/AN/A4,5213,7668,7038,789
2018-10-15$25.84$28.0028.0%8.1%20.5%31.6%23.0%5.5%-1.2%-592.9K8.0M-35.6K0.8169.93N/AN/A4,3853,5498,6859,298
2018-10-16$26.48$28.0026.2%7.5%22.6%28.7%21.6%5.7%-2.4%-674.0K5.1M-34.8K0.9388.72N/AN/A4,4534,1268,7279,248
2018-10-17$25.96$28.0026.0%7.5%23.2%28.3%23.3%6.0%-1.1%-649.1K7.3M-34.9K0.9266.98N/AN/A4,4514,1108,7849,396
2018-10-18$25.10$28.0029.8%8.6%24.0%34.8%27.2%7.8%-1.0%-446.9K10.8M-34.4K0.9776.05N/AN/A4,8604,7298,7759,407
2018-10-19$25.56$25.0028.6%8.1%25.5%32.8%28.2%7.3%0.3%-721.9K9.7M-35.0K0.6681.53N/AN/A5,5703,6619,18410,530
2018-10-22$25.35$28.0029.4%8.8%25.5%34.1%27.8%6.9%-1.9%-384.2K4.1M-35.7K0.5540.86N/AN/A3,8512,1017,4957,659
2018-10-23$25.40$25.0029.2%8.5%24.5%33.6%27.4%5.2%-0.7%-395.3K3.4M-35.4K0.4552.92N/AN/A3,9371,7707,6557,699
2018-10-24$24.52$25.0033.0%9.6%26.3%40.0%32.9%9.2%-3.0%-340.3K7.3M-33.9K0.6166.78N/AN/A4,0002,4527,7317,848
2018-10-25$24.98$25.0030.0%8.9%27.6%35.1%29.0%8.4%-1.1%-493.0K5.3M-33.5K0.2675.54N/AN/A8,8672,3277,8287,453
2018-10-26$24.92$25.0031.4%9.7%25.3%37.4%30.4%8.4%-0.3%205.5K2.5M-43.6K0.4675.49N/AN/A8,9084,07112,8637,675
2018-10-29$24.89$25.0031.4%10.2%25.3%37.3%32.6%8.0%-1.9%173.0K329.3K-42.1K0.2679.07N/AN/A8,8242,31211,8947,456
2018-10-30$25.22$25.0029.9%9.2%26.1%34.9%30.7%5.3%-0.1%222.0K-931.5K-41.5K0.1982.99N/AN/A8,7951,64711,8587,450
2018-10-31$25.08$25.0027.7%8.7%25.9%31.2%25.7%7.1%0.8%226.7K-692.8K-39.1K0.1983.03N/AN/A8,7951,62911,8167,280