EWI Options History — September 2019

In September 2019, EWI traded between $27.04 and $28.02. ATM implied volatility averaged 18.6%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.7% (HV 20d: 16.9%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 41.68.

Notable Days

  • 2019-09-05: Highest Volume — 385 contracts
  • 2019-09-24: Largest IV spike — 22.2% change
  • 2019-09-03: Highest IV Rank — 38.6%
  • 2019-09-03: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.58$27.04$28.02$27.04$27.56
Max Pain$27.10$27.00$28.00$28.00$27.00
ATM IV18.6%16.2%21.5%21.5%18.2%
Expected Move5.4%4.6%6.3%6.3%5.0%
HV 20d16.9%11.9%21.7%21.1%11.9%
HV 60d17.9%16.7%19.2%19.0%16.7%
IV Rank22.9%10.0%38.6%38.6%20.9%
IV Percentile32.4%7.5%56.7%56.7%31.3%
Term Structure0.8%-0.5%2.7%0.3%0.5%
VWIV18.5%16.2%23.8%23.8%16.2%
Skew 25d5.0%2.6%7.4%7.3%6.4%
Skew 10d10.0%3.7%17.3%16.2%11.1%
Call IV 25d16.3%13.7%18.5%18.0%14.9%
Put IV 25d21.3%18.9%25.3%25.3%21.3%
Bid-Ask Spread %108.8399.26123.19106.18115.15
Gamma HHI0.340.300.470.360.37
Net GEX-377.5K-580.0K-132.7K-560.0K-149.3K
Net DEX2.4M1.5M4.4M4.4M1.6M
Net VEX-10.7K-13.8K-8.6K-13.8K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio41.680.71345.000.888.25
Total Volume128.7153851517
Total OI4,786.252,5636,1265,9112,728

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$27.04$28.0021.5%6.3%21.1%38.6%23.8%7.3%0.3%-560.0K4.4M-13.8K0.88106.18N/AN/A874325,479
2019-09-04$27.45$28.0019.1%5.8%21.7%25.5%22.7%5.9%2.7%-523.2K3.3M-12.9K1.84105.13N/AN/A25464285,482
2019-09-05$27.63$27.0018.8%5.3%21.7%24.0%0.0%5.0%-0.4%-513.6K2.9M-12.0K2.44104.42N/AN/A1122734515,507
2019-09-06$27.61$27.0017.5%5.0%21.6%17.2%17.5%3.3%0.3%-526.4K2.9M-12.8K0.71103.97N/AN/A17124295,697
2019-09-09$27.66$27.0018.0%5.0%20.7%19.7%18.2%3.0%-0.5%-535.4K2.9M-11.9K66.67107.39N/AN/A32004205,225
2019-09-10$27.63$27.0019.8%5.5%20.6%29.6%0.0%4.2%-0.1%-515.4K2.9M-12.2K0.00101.81N/AN/A0534205,318
2019-09-11$27.48$27.0020.0%6.0%20.5%30.4%0.0%2.6%1.9%-580.0K3.5M-12.4K0.0099.26N/AN/A01704205,343
2019-09-12$27.95$27.0017.8%5.1%15.7%18.6%17.8%4.6%1.0%-455.8K2.1M-10.5K3.77111.22N/AN/A22834215,176
2019-09-13$28.02$27.0017.3%5.0%15.6%16.1%0.0%3.5%1.8%-454.0K1.9M-10.0K3.14102.74N/AN/A7224425,169
2019-09-16$27.59$27.0018.8%5.4%16.9%24.3%0.0%4.4%1.1%-538.3K2.9M-10.3K0.00106.04N/AN/A0164285,152
2019-09-17$27.51$27.0017.6%5.1%16.4%17.9%0.0%5.2%0.7%-508.1K3.1M-9.9K345.00101.27N/AN/A13454285,154
2019-09-18$27.72$27.0018.0%5.2%16.1%19.9%0.0%4.3%1.1%-417.2K2.3M-9.2K68.67120.83N/AN/A32064285,029
2019-09-19$27.81$27.0017.4%5.0%15.4%16.4%17.3%2.8%0.5%-311.4K1.7M-8.6K4.42119.99N/AN/A572524314,835
2019-09-20$27.68$27.0016.2%4.6%15.6%10.0%17.1%4.0%2.0%-220.4K1.7M-9.1K3.25122.20N/AN/A611984444,731
2019-09-23$27.57$27.0017.1%4.9%14.2%15.0%16.7%7.1%1.2%-132.7K1.5M-8.9K12.00100.85N/AN/A7842042,359
2019-09-24$27.41$27.0020.9%6.0%14.0%35.3%0.0%6.9%-0.4%-156.0K1.8M-10.3K24.20116.76N/AN/A51212572,547
2019-09-25$27.35$27.0020.5%5.9%13.4%33.1%18.4%7.4%0.8%-152.6K1.9M-10.1K80.00103.20N/AN/A1802572,556
2019-09-26$27.48$27.0019.2%5.9%13.4%26.2%17.5%7.1%0.4%-150.7K1.7M-9.7K0.00105.05N/AN/A0232562,498
2019-09-27$27.39$27.0017.9%5.8%12.0%19.0%16.2%5.8%0.4%-150.1K1.7M-9.9K8.25123.19N/AN/A4332562,488
2019-09-30$27.56$27.0018.2%5.0%11.9%20.9%0.0%6.4%0.5%-149.3K1.6M-9.4K0.00115.15N/AN/A0172412,487