EWI Options History — January 2019

In January 2019, EWI traded between $24.07 and $26.31. ATM implied volatility averaged 21.8%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.6% (HV 20d: 21.2%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 29.31.

Notable Days

  • 2019-01-11: Highest Volume — 1,532 contracts
  • 2019-01-04: Largest IV drop — 12.1% change
  • 2019-01-03: Highest IV Rank — 29.0%
  • 2019-01-02: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.48$24.07$26.31$24.09$26.15
Max Pain$25.95$25.00$27.00$25.00$27.00
ATM IV21.8%18.0%28.2%27.7%19.8%
Expected Move6.4%5.4%8.4%8.4%6.2%
HV 20d21.2%17.7%24.3%22.1%18.0%
HV 60d22.5%20.9%24.4%23.5%20.9%
IV Rank15.2%6.8%29.0%28.1%10.1%
IV Percentile44.7%15.9%84.5%83.3%28.6%
Term Structure0.0%-2.1%2.1%0.1%-0.1%
VWIV22.2%16.7%29.4%29.4%21.7%
Skew 25d5.8%3.1%9.9%5.1%5.7%
Skew 10d4.2%1.5%11.9%11.9%5.5%
Call IV 25d18.0%12.5%25.4%25.4%15.5%
Put IV 25d23.7%20.5%30.5%30.5%21.2%
Bid-Ask Spread %108.1191.02131.28101.64104.58
Gamma HHI0.210.140.490.160.16
Net GEX-132.1K-370.7K-50.9K-117.1K-100.5K
Net DEX1.0M53.3K1.8M1.7M1.0M
Net VEX-13.1K-19.4K-8.5K-19.2K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio29.310.51232.5045.253.18
Total Volume287.8181,53216238
Total OI4,691.1434,0315,6245,6164,119

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$24.09$25.0027.7%8.4%22.1%28.1%0.0%5.1%0.1%-117.1K1.7M-19.2K0.00101.64N/AN/A0162,0743,542
2019-01-03$24.07$25.0028.2%7.8%19.6%29.0%29.4%6.1%-1.0%-126.7K1.7M-19.4K0.0091.02N/AN/A0742,0743,544
2019-01-04$24.94$26.0024.8%7.0%23.8%23.0%25.9%4.5%0.2%-98.4K768.0K-18.4K45.25109.00N/AN/A41812,0743,550
2019-01-07$25.27$26.0024.0%7.2%24.3%21.7%0.0%5.0%1.1%-81.9K439.7K-18.0K2.2093.74N/AN/A5111,3203,550
2019-01-08$25.23$26.0023.7%6.9%24.2%21.1%0.0%4.1%0.3%-81.0K449.8K-17.7K2.8094.52N/AN/A5141,3233,560
2019-01-09$25.54$26.0022.6%5.9%24.3%19.1%0.0%4.9%-2.1%-50.9K53.3K-16.8K18.88119.02N/AN/A264911,3233,557
2019-01-10$25.72$26.0022.9%6.6%24.2%19.6%0.0%5.1%0.0%-132.3K264.6K-17.4K19.04106.09N/AN/A264951,3444,018
2019-01-11$25.45$26.0021.5%6.6%22.5%17.3%21.3%4.9%2.1%-162.0K400.4K-17.2K0.51114.60N/AN/A1,0175151,3464,024
2019-01-14$25.40$26.0022.8%6.6%22.5%16.3%25.7%9.9%-1.5%-245.7K1.6M-10.8K0.00106.69N/AN/A04233724,046
2019-01-15$25.28$26.0022.2%6.4%22.0%14.5%23.3%6.5%-1.6%-370.7K1.8M-11.9K0.00100.52N/AN/A04653724,469
2019-01-16$25.57$26.0019.8%5.7%21.6%10.2%23.7%8.4%0.4%-217.8K1.4M-11.7K232.50107.64N/AN/A24653724,462
2019-01-17$25.77$26.0019.6%5.6%21.7%9.7%17.4%7.2%0.4%-170.1K1.2M-10.3K58.38116.90N/AN/A84673774,463
2019-01-18$25.87$26.0018.8%5.5%21.7%8.3%23.8%8.9%-0.2%-95.1K1.0M-9.9K61.88107.05N/AN/A84953774,465
2019-01-22$25.45$26.0020.5%6.5%22.6%11.4%21.6%3.2%0.7%-107.7K1.3M-9.8K14.00123.35N/AN/A2283673,664
2019-01-23$25.55$26.0020.9%6.6%20.0%12.2%21.9%5.4%0.6%-112.1K1.3M-10.4K1.70102.40N/AN/A23393693,686
2019-01-24$25.56$26.0020.6%6.2%17.9%11.6%21.2%4.0%-1.0%-110.3K1.3M-9.7K0.69105.26N/AN/A45313683,687
2019-01-25$26.02$26.0018.8%5.6%17.7%8.2%20.0%3.8%0.1%-95.5K936.6K-8.5K1.00106.08N/AN/A83833653,684
2019-01-28$25.88$26.0019.9%6.1%18.0%10.3%21.9%8.5%0.2%-104.5K1.2M-10.3K1.67107.22N/AN/A354103,644
2019-01-29$26.04$26.0019.8%5.9%17.9%10.1%20.5%3.1%0.5%-97.4K1.0M-9.1K30.00121.76N/AN/A3904113,645
2019-01-30$26.31$26.0018.0%5.4%18.1%6.8%16.7%6.6%1.1%-97.2K928.1K-9.1K4.64131.28N/AN/A281304113,686
2019-01-31$26.15$27.0019.8%6.2%18.0%10.1%21.7%5.7%-0.1%-100.5K1.0M-9.4K3.18104.58N/AN/A571814083,711