EWI Options History — October 2019

In October 2019, EWI traded between $26.68 and $28.80. ATM implied volatility averaged 17.9%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.5% (HV 20d: 14.4%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 7.41.

Notable Days

  • 2019-10-02: Highest Volume — 302 contracts
  • 2019-10-03: Largest IV drop — 44.6% change
  • 2019-10-02: Highest IV Rank — 83.5%
  • 2019-10-02: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.91$26.68$28.80$27.34$28.80
Max Pain$27.91$27.00$28.00$27.00$28.00
ATM IV17.9%12.9%29.9%21.7%14.5%
Expected Move5.1%3.7%6.7%6.3%4.2%
HV 20d14.4%10.6%16.0%12.2%10.6%
HV 60d17.0%16.1%18.1%16.8%16.1%
IV Rank20.1%0.0%83.5%39.4%8.6%
IV Percentile27.1%0.0%96.8%61.1%1.6%
Term Structure0.7%-1.4%2.8%-0.8%1.7%
VWIV18.2%14.4%23.1%23.1%16.9%
Skew 25d4.7%1.5%7.0%7.0%4.3%
Skew 10d7.2%0.3%15.6%7.7%3.7%
Call IV 25d15.3%12.5%22.3%17.4%14.0%
Put IV 25d20.0%14.3%27.6%24.4%18.2%
Bid-Ask Spread %109.9094.38122.64105.32117.78
Gamma HHI0.360.310.400.340.36
Net GEX-162.2K-177.8K-138.4K-155.0K-144.5K
Net DEX1.1M181.7K2.3M1.8M181.7K
Net VEX-8.3K-10.0K-6.7K-9.6K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.410.0059.403.420.00
Total Volume59.82613025398
Total OI2,880.3482,7323,0742,7323,074

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$27.34$27.0021.7%6.3%12.2%39.4%23.1%7.0%-0.8%-155.0K1.8M-9.6K3.42105.32N/AN/A12412412,491
2019-10-02$26.68$27.0029.9%6.7%13.9%83.5%14.5%5.3%-1.4%-165.9K2.3M-10.0K59.40103.43N/AN/A52972532,535
2019-10-03$26.78$28.0016.6%6.2%13.7%12.0%20.8%6.2%0.5%-161.8K2.2M-9.9K11.13106.17N/AN/A8892582,527
2019-10-04$26.94$28.0019.5%5.7%14.0%27.8%18.6%5.9%-0.0%-155.3K2.1M-9.1K22.00110.79N/AN/A1222522,509
2019-10-07$27.07$28.0021.2%5.8%14.1%36.8%18.5%4.2%0.3%-162.2K1.9M-8.9K1.10110.88N/AN/A10112462,492
2019-10-08$26.77$28.0022.0%6.0%14.5%41.1%0.0%4.4%0.2%-167.4K2.1M-8.8K0.00110.88N/AN/A0142462,491
2019-10-09$27.03$28.0020.4%5.8%15.0%32.6%0.0%6.2%0.4%-164.1K2.0M-8.8K0.00107.28N/AN/A052462,491
2019-10-10$27.34$28.0019.8%5.7%14.2%29.4%0.0%4.5%0.9%-163.6K1.7M-8.6K0.10113.57N/AN/A9392462,490
2019-10-11$27.88$28.0017.7%5.1%16.0%18.0%18.4%4.3%0.3%-159.6K1.0M-8.6K0.57111.20N/AN/A42243422,494
2019-10-14$27.76$28.0017.2%4.9%15.0%15.6%18.4%4.8%0.4%-166.3K1.1M-8.6K3.75120.77N/AN/A12453532,494
2019-10-15$28.12$28.0016.0%4.6%15.6%8.9%18.9%4.7%1.1%-157.8K823.3K-8.4K22.20119.55N/AN/A51113642,533
2019-10-16$28.23$28.0016.8%4.8%15.5%13.1%17.3%3.6%0.6%-177.6K833.3K-8.5K2.14121.71N/AN/A14303582,638
2019-10-17$28.30$28.0017.3%5.0%15.5%15.8%0.0%4.9%0.5%-177.7K762.9K-8.5K0.00118.32N/AN/A013702,653
2019-10-18$28.39$28.0018.5%5.3%15.3%22.6%18.5%6.1%-0.2%-156.1K705.6K-8.4K0.87118.45N/AN/A31273702,653
2019-10-21$28.55$28.0016.0%4.6%15.3%9.0%18.2%6.2%0.5%-154.0K674.7K-8.0K1.73103.87N/AN/A26453402,587
2019-10-22$28.38$28.0018.1%5.2%15.3%20.5%0.0%5.1%0.7%-170.6K760.1K-7.9K2.2598.74N/AN/A493322,578
2019-10-23$28.38$28.0016.4%4.7%15.2%11.2%0.0%3.9%1.3%-175.2K776.6K-7.8K0.0098.07N/AN/A0113282,587
2019-10-24$28.45$28.0016.1%4.6%15.2%9.7%0.0%4.2%1.6%-177.8K664.1K-7.3K0.0798.96N/AN/A2923282,592
2019-10-25$28.55$28.0013.9%4.0%15.1%0.0%14.4%1.5%2.1%-173.6K588.3K-7.2K0.3594.38N/AN/A2693302,593
2019-10-28$28.66$28.0014.2%4.1%15.0%1.8%0.0%3.3%1.6%-160.1K424.5K-6.7K2.1496.72N/AN/A7153462,601
2019-10-29$28.70$28.0014.9%4.3%14.6%5.6%16.9%4.2%1.8%-145.1K439.2K-6.9K0.22118.21N/AN/A83183462,611
2019-10-30$28.77$28.0012.9%3.7%10.6%0.0%0.0%3.0%2.8%-138.4K259.7K-7.2K0.00122.64N/AN/A3504142,625
2019-10-31$28.80$28.0014.5%4.2%10.6%8.6%0.0%4.3%1.7%-144.5K181.7K-7.1K0.00117.78N/AN/A0984492,625