EWI Options History — November 2018

In November 2018, EWI traded between $24.55 and $26.15. ATM implied volatility averaged 26.1%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.8% (HV 20d: 23.3%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2018-11-08: Highest Volume — 9,694 contracts
  • 2018-11-21: Largest IV drop — 14.7% change
  • 2018-11-20: Highest IV Rank — 36.5%
  • 2018-11-20: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.33$24.55$26.15$25.51$25.36
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV26.1%22.1%30.9%26.2%24.9%
Expected Move7.7%6.6%8.9%7.8%8.1%
HV 20d23.3%17.7%27.5%26.9%19.9%
HV 60d23.0%22.3%24.0%24.0%23.1%
IV Rank28.5%21.7%36.5%28.6%26.3%
IV Percentile80.9%65.9%91.7%81.7%75.0%
Term Structure-0.3%-3.5%1.4%-0.4%-1.2%
VWIV31.0%21.8%62.9%28.1%25.8%
Skew 25d5.9%3.2%9.0%5.6%4.4%
Skew 10d15.2%7.8%21.8%19.0%9.0%
Call IV 25d23.2%19.8%26.2%24.0%23.3%
Put IV 25d29.1%24.7%34.5%29.6%27.7%
Bid-Ask Spread %90.1735.66115.28100.55106.90
Gamma HHI0.330.190.750.500.20
Net GEX81.0K-665.6K1.3M549.7K-148.2K
Net DEX740.0K-8.9M5.1M-3.3M2.1M
Net VEX-27.4K-39.2K-20.5K-39.2K-22.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.121.170.431.17
Total Volume5,932.3814,0759,6945,3597,124
Total OI15,046.90512,39119,14019,14014,809

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$25.51$25.0026.2%7.8%26.9%28.6%28.1%5.6%-0.4%549.7K-3.3M-39.2K0.43100.55N/AN/A3,7491,61011,8167,324
2018-11-02$25.75$25.0026.5%7.7%27.2%29.1%51.8%5.7%-1.4%932.1K-5.2M-37.8K0.4484.08N/AN/A3,7691,67611,7507,329
2018-11-05$25.64$25.0025.8%7.8%26.5%28.0%27.2%5.8%-0.8%874.8K-4.2M-36.9K0.4179.98N/AN/A3,7081,51711,6865,962
2018-11-06$25.73$25.0025.0%7.7%26.4%26.7%22.1%3.2%1.2%936.3K-4.5M-36.3K0.2880.85N/AN/A4,1481,16211,6806,285
2018-11-07$26.15$25.0022.1%6.6%26.2%21.7%21.8%5.0%1.4%1.3M-8.9M-34.2K0.1235.66N/AN/A8,6631,00612,1316,341
2018-11-08$25.67$25.0024.4%6.9%26.7%25.7%24.7%5.5%1.4%47.6K52.8K-28.5K0.1299.16N/AN/A8,6931,0017,4826,376
2018-11-09$25.44$25.0024.2%7.2%26.8%25.3%28.3%4.7%0.5%5.5K1.5M-28.4K0.2796.72N/AN/A3,6989987,5286,412
2018-11-12$24.99$25.0026.8%7.7%27.5%29.7%27.4%7.0%0.1%-64.0K2.7M-26.8K0.1995.41N/AN/A3,6836957,4956,382
2018-11-13$25.10$25.0026.8%7.0%25.8%29.6%25.4%5.7%-2.6%-50.7K2.6M-25.9K0.5490.92N/AN/A3,6621,9727,4856,373
2018-11-14$25.24$25.0026.8%7.7%25.1%29.7%28.1%5.4%0.4%-374.4K2.9M-26.6K0.2986.63N/AN/A3,6551,0757,4747,531
2018-11-15$25.20$25.0027.7%7.9%22.1%31.2%62.9%7.7%0.4%-665.6K3.5M-26.1K0.3098.59N/AN/A3,6541,1047,4587,556
2018-11-16$25.25$25.0026.7%7.8%21.0%29.5%28.1%4.5%1.0%-206.3K2.5M-24.8K0.3183.34N/AN/A3,6671,1407,4607,500
2018-11-19$25.09$25.0027.0%7.7%20.9%29.9%27.3%7.0%0.4%-204.6K2.7M-23.6K0.2288.97N/AN/A3,3287476,2966,101
2018-11-20$24.55$25.0030.9%8.9%22.2%36.5%36.5%8.2%-3.5%-215.5K4.8M-22.9K0.7095.48N/AN/A3,3242,3176,2766,115
2018-11-21$24.84$25.0026.4%7.6%18.8%28.9%33.0%9.0%-0.3%-299.6K4.2M-24.5K0.8890.34N/AN/A3,3162,9296,2587,522
2018-11-23$24.72$25.0027.0%7.8%17.7%29.9%35.3%8.7%-1.0%-216.8K5.1M-24.0K0.8887.73N/AN/A3,3162,9346,2637,872
2018-11-26$25.40$25.0025.4%7.6%20.2%27.4%37.7%5.4%-0.4%-137.5K1.9M-22.3K0.8485.21N/AN/A3,3252,7856,2437,495
2018-11-27$25.17$25.0025.9%7.9%20.5%28.1%26.3%5.6%-0.0%-153.3K2.4M-22.1K0.8489.24N/AN/A3,3432,7966,2647,719
2018-11-28$25.58$25.0025.6%7.7%20.7%27.6%26.4%5.3%-0.6%-122.8K1.3M-20.7K0.84102.55N/AN/A3,3542,8126,2547,724
2018-11-29$25.50$25.0026.7%8.0%20.7%29.4%27.8%4.6%-1.6%-123.0K1.5M-20.5K1.15115.28N/AN/A3,3073,8186,2107,748
2018-11-30$25.36$25.0024.9%8.1%19.9%26.3%25.8%4.4%-1.2%-148.2K2.1M-22.5K1.17106.90N/AN/A3,2883,8366,2008,609