EWI Options History — August 2019

In August 2019, EWI traded between $25.29 and $27.02. ATM implied volatility averaged 21.9%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.0% (HV 20d: 17.9%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 325.99.

Notable Days

  • 2019-08-08: Highest Volume — 9,536 contracts
  • 2019-08-05: Largest IV spike — 20.9% change
  • 2019-08-14: Highest IV Rank — 56.3%
  • 2019-08-26: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.26$25.29$27.02$26.96$26.87
Max Pain$28.32$27.00$30.00$27.00$28.00
ATM IV21.9%18.6%24.8%18.6%20.4%
Expected Move6.2%5.5%7.0%5.9%5.8%
HV 20d17.9%14.5%21.5%15.6%21.5%
HV 60d18.6%17.5%19.5%17.9%19.1%
IV Rank40.7%23.3%56.3%23.3%32.8%
IV Percentile60.0%34.9%77.4%34.9%49.2%
Term Structure-0.2%-2.2%1.4%0.4%-0.1%
VWIV21.7%15.8%24.1%20.7%22.2%
Skew 25d5.4%4.3%7.1%4.4%4.4%
Skew 10d13.6%4.4%20.0%16.5%12.7%
Call IV 25d19.6%17.5%22.2%17.5%18.8%
Put IV 25d25.0%21.9%28.8%21.9%23.2%
Bid-Ask Spread %109.1092.23125.57125.57122.35
Gamma HHI0.370.320.420.370.33
Net GEX-558.9K-630.6K-456.1K-512.5K-599.1K
Net DEX7.2M4.3M28.1M5.1M4.6M
Net VEX-17.6K-20.0K-15.0K-19.9K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio325.990.384767.0012.403.00
Total Volume544.59149,536674
Total OI6,060.4095,32614,0275,4175,946

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$26.96$27.0018.6%5.9%15.6%23.3%20.7%4.4%0.4%-512.5K5.1M-19.9K12.40125.57N/AN/A5622985,119
2019-08-02$26.84$27.0019.8%6.1%15.6%29.6%0.0%4.6%0.8%-490.5K5.3M-20.0K0.00123.48N/AN/A0732995,081
2019-08-05$26.51$30.0024.0%6.4%16.0%51.9%23.1%5.7%-0.5%-456.1K6.0M-19.8K2.00102.69N/AN/A26523075,079
2019-08-06$26.54$29.0021.4%5.7%16.1%38.0%22.0%4.8%-0.1%-498.8K5.7M-18.9K0.00101.42N/AN/A0223294,998
2019-08-07$26.49$29.0021.5%6.3%14.8%38.4%22.1%6.1%0.0%-491.3K5.9M-18.5K89.00104.80N/AN/A1893294,997
2019-08-08$26.37$29.0020.0%6.1%14.5%30.6%21.4%4.3%-0.6%-506.1K5.9M-18.6K4767.00107.82N/AN/A29,5343305,048
2019-08-09$26.01$29.0022.2%6.3%14.8%42.3%21.0%4.9%-0.5%-601.1K28.1M-19.3K36.36104.10N/AN/A1450933013,697
2019-08-12$25.89$29.0023.7%6.6%14.8%50.2%23.1%6.8%-0.6%-571.5K7.4M-19.0K0.00108.54N/AN/A01513345,590
2019-08-13$26.21$29.0021.6%6.3%16.0%38.8%21.8%5.1%-0.0%-583.9K6.7M-19.2K55.00111.03N/AN/A1553345,617
2019-08-14$25.31$29.0024.8%6.7%19.4%56.3%21.9%6.5%-1.5%-554.1K8.4M-17.9K9.32108.41N/AN/A403733355,633
2019-08-15$25.29$28.0023.2%6.8%18.8%47.5%15.8%7.1%0.8%-522.8K8.2M-16.9K0.00112.16N/AN/A01543615,438
2019-08-16$25.64$28.0022.1%5.9%17.9%42.0%20.7%5.5%-2.2%-545.3K7.5M-16.9K5.50111.27N/AN/A6333615,393
2019-08-19$26.05$28.0021.3%6.1%18.9%37.7%21.2%4.7%-0.4%-576.9K6.4M-16.8K0.7093.51N/AN/A37262945,195
2019-08-20$25.89$28.0021.7%6.2%18.3%39.7%22.9%7.1%1.0%-564.8K6.7M-16.5K198.00104.56N/AN/A11983315,204
2019-08-21$26.30$28.0019.3%5.5%19.5%26.7%20.8%4.3%1.4%-630.6K6.0M-16.7K31.40117.09N/AN/A51573315,366
2019-08-22$26.30$28.0021.7%6.2%19.3%39.5%23.0%5.8%-0.8%-608.8K6.0M-16.9K1.45111.90N/AN/A20293345,433
2019-08-23$25.87$28.0023.4%6.6%19.9%48.7%23.0%6.5%0.7%-589.3K6.9M-16.7K2.67112.22N/AN/A27723545,440
2019-08-26$26.21$28.0024.1%7.0%20.7%52.2%24.1%5.2%-0.7%-603.7K6.2M-16.5K0.0092.23N/AN/A0493505,439
2019-08-27$26.57$28.0023.4%6.6%20.4%48.6%21.2%4.7%-0.7%-612.1K5.5M-16.3K0.38100.73N/AN/A85323505,473
2019-08-28$26.53$28.0023.5%6.5%20.4%49.2%22.0%5.8%-1.0%-602.5K5.5M-16.2K1.60113.09N/AN/A10164355,480
2019-08-29$27.02$28.0020.3%5.8%21.5%31.8%0.0%4.8%0.7%-573.1K4.3M-15.3K0.00111.20N/AN/A0114455,492
2019-08-30$26.87$28.0020.4%5.8%21.5%32.8%22.2%4.4%-0.1%-599.1K4.6M-15.0K3.00122.35N/AN/A134455,501