EWI Options History — December 2018

In December 2018, EWI traded between $23.39 and $25.98. ATM implied volatility averaged 27.4%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.8% (HV 20d: 23.6%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 11.23.

Notable Days

  • 2018-12-20: Highest Volume — 2,940 contracts
  • 2018-12-06: Largest IV spike — 14.3% change
  • 2018-12-07: Highest IV Rank — 36.9%
  • 2018-12-24: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.67$23.39$25.98$25.98$24.24
Max Pain$26.10$25.00$27.00$25.00$25.00
ATM IV27.4%23.2%31.2%23.2%28.4%
Expected Move8.0%7.2%9.3%7.4%8.3%
HV 20d23.6%21.4%24.8%21.4%24.2%
HV 60d23.5%23.0%23.9%23.5%23.5%
IV Rank29.3%23.3%36.9%23.3%29.4%
IV Percentile82.4%64.3%92.5%64.3%86.5%
Term Structure0.6%-2.7%11.9%-0.6%-1.0%
VWIV29.8%22.2%33.8%28.4%31.3%
Skew 25d6.8%3.5%15.5%4.7%6.3%
Skew 10d11.8%-2.1%25.0%3.2%16.3%
Call IV 25d24.8%20.6%28.8%20.6%24.8%
Put IV 25d31.5%25.3%38.9%25.3%31.2%
Bid-Ask Spread %103.0282.57120.01109.9892.42
Gamma HHI0.210.150.410.210.15
Net GEX-174.1K-742.1K171.5K-58.5K-60.1K
Net DEX3.4M-130.0K6.1M-130.0K1.5M
Net VEX-18.8K-22.2K-15.1K-19.0K-19.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.230.2053.762.5645.73
Total Volume997.8532,9404813
Total OI12,329.255,33015,27014,4835,619

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$25.98$25.0023.2%7.4%21.4%23.3%28.4%4.7%-0.6%-58.5K-130.0K-19.0K2.56109.98N/AN/A1353466,1578,326
2018-12-04$25.19$25.0024.8%8.7%24.1%26.0%30.9%7.0%2.7%-224.6K3.3M-22.2K4.26101.72N/AN/A1426056,0338,653
2018-12-05$25.14$25.0024.8%9.0%24.1%26.1%32.7%7.2%2.6%-229.0K3.3M-21.4K4.26102.75N/AN/A1426056,0338,653
2018-12-06$25.08$27.0028.4%7.9%23.2%32.1%28.0%7.8%-0.2%-265.2K3.9M-20.1K2.45107.35N/AN/A491205,9608,617
2018-12-07$25.02$27.0031.2%7.9%22.4%36.9%22.2%15.5%11.9%-241.6K3.6M-19.4K53.76120.01N/AN/A211,1295,9148,581
2018-12-10$24.77$27.0028.6%7.7%22.4%32.5%33.8%8.4%-1.0%-341.9K5.6M-20.0K1.67100.42N/AN/A46775,8858,622
2018-12-11$24.68$27.0028.1%7.8%21.6%31.6%30.9%7.1%-1.6%-353.4K5.9M-18.6K2.8896.49N/AN/A521505,8468,619
2018-12-12$25.39$27.0026.4%7.3%23.9%28.7%29.7%6.4%-1.0%-317.4K2.6M-17.1K8.88102.86N/AN/A575065,8178,622
2018-12-13$25.32$27.0025.0%7.5%23.8%26.4%29.2%5.5%1.5%-417.5K3.1M-16.1K12.44105.19N/AN/A526475,7938,914
2018-12-14$24.98$27.0026.1%7.2%24.3%28.3%30.4%4.2%-1.5%-742.1K5.5M-17.7K23.10103.90N/AN/A731,6865,7669,308
2018-12-17$24.63$27.0026.0%7.2%24.8%28.1%0.0%8.0%1.9%-219.2K6.1M-17.0K3.32107.68N/AN/A22735,7208,996
2018-12-18$24.66$27.0026.2%7.5%24.7%28.5%28.9%6.8%1.9%-62.5K5.4M-15.9K1.1882.57N/AN/A9001,0665,6778,936
2018-12-19$24.64$27.0026.9%7.7%23.4%26.6%29.1%7.3%0.2%171.5K2.7M-16.0K1.16114.75N/AN/A1,0101,1756,3507,951
2018-12-20$24.51$26.0026.3%7.5%23.1%25.6%28.6%4.2%1.4%56.3K4.3M-15.1K0.35106.67N/AN/A2,1807606,2758,048
2018-12-21$23.88$26.0028.2%8.1%24.8%29.0%29.7%4.7%-0.4%-17.6K5.6M-20.7K0.50102.19N/AN/A1,8539317,1598,111
2018-12-24$23.39$25.0031.2%9.3%23.2%34.3%31.9%5.9%-0.4%-48.2K1.8M-20.2K0.2095.35N/AN/A1,8563642,0773,253
2018-12-26$23.85$25.0029.2%8.6%24.5%30.7%30.0%3.5%-0.2%-47.0K1.7M-19.9K26.1892.60N/AN/A112882,0883,305
2018-12-27$24.07$25.0029.5%9.0%23.9%31.3%31.6%8.2%-2.7%-29.7K1.6M-20.2K18.4498.35N/AN/A162952,0883,365
2018-12-28$24.07$25.0029.0%8.6%24.0%30.3%31.3%6.6%-0.9%-35.1K1.4M-20.1K45.73117.15N/AN/A115032,0833,365
2018-12-31$24.24$25.0028.4%8.3%24.2%29.4%0.0%6.3%-1.0%-60.1K1.5M-19.7K0.0092.42N/AN/A032,0743,545