EWI Options History — November 2019

In November 2019, EWI traded between $28.89 and $29.64. ATM implied volatility averaged 15.3%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 6.2% (HV 20d: 9.2%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 2.86.

Notable Days

  • 2019-11-22: Highest Volume — 357 contracts
  • 2019-11-13: Largest IV spike — 52.8% change
  • 2019-11-20: Highest IV Rank — 32.6%
  • 2019-11-20: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.31$28.89$29.64$29.15$28.89
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV15.3%10.8%17.4%14.0%16.0%
Expected Move4.7%4.0%5.0%4.0%4.6%
HV 20d9.2%7.4%11.4%11.0%10.0%
HV 60d13.5%11.8%16.2%16.2%11.9%
IV Rank19.8%0.0%32.6%6.0%25.6%
IV Percentile11.8%0.0%31.3%0.8%12.7%
Term Structure-0.2%-1.5%2.0%2.0%-0.7%
VWIV17.0%15.0%19.9%17.9%16.8%
Skew 25d3.8%1.1%6.2%1.1%4.7%
Skew 10d11.8%-0.4%31.2%-0.4%11.0%
Call IV 25d13.6%10.0%15.8%12.0%11.8%
Put IV 25d17.4%13.0%19.3%13.0%16.5%
Bid-Ask Spread %98.6676.94119.30105.2877.26
Gamma HHI0.360.270.410.390.32
Net GEX-95.0K-138.3K-22.6K-112.7K-113.5K
Net DEX-168.0K-455.9K136.0K-115.5K94.2K
Net VEX-5.6K-6.6K-4.8K-6.3K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.860.1916.001.390.65
Total Volume51.9523574333
Total OI3,157.953,0023,3453,1563,316

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$29.15$28.0014.0%4.0%11.0%6.0%0.0%1.1%2.0%-112.7K-115.5K-6.3K1.39105.28N/AN/A18254492,707
2019-11-04$29.51$28.0012.3%4.4%11.4%0.0%17.9%2.1%0.9%-97.1K-391.0K-5.2K2.10100.40N/AN/A20424542,732
2019-11-05$29.38$28.0015.5%4.9%10.4%16.7%19.9%3.3%-0.1%-101.5K-212.2K-5.9K5.4099.83N/AN/A10544452,727
2019-11-06$29.30$28.0014.8%4.8%10.5%13.3%18.9%3.9%0.1%-101.8K-246.4K-5.6K0.00102.65N/AN/A0114552,677
2019-11-07$29.31$28.0013.7%4.9%10.2%7.1%15.9%4.7%-0.0%-92.1K-232.7K-5.8K1.09107.62N/AN/A11124552,668
2019-11-08$29.49$28.0016.4%4.9%8.4%21.5%16.6%2.1%-0.4%-98.6K-395.9K-5.1K1.67101.95N/AN/A354652,677
2019-11-11$29.43$28.0012.3%4.8%8.2%0.1%16.7%4.8%0.0%-94.1K-352.3K-5.2K8.00105.52N/AN/A184682,678
2019-11-12$29.64$28.0010.8%4.4%7.4%0.0%15.6%3.6%1.4%-78.2K-455.9K-5.0K2.00109.03N/AN/A14284682,685
2019-11-13$29.38$28.0016.5%4.7%8.5%27.8%16.1%4.9%0.4%-103.6K-148.8K-5.3K3.87110.19N/AN/A15584312,730
2019-11-14$29.31$28.0016.8%4.8%8.6%29.5%18.4%4.9%-0.5%-114.1K-44.2K-5.7K0.00109.37N/AN/A0474252,769
2019-11-15$29.44$28.0016.1%4.6%8.6%25.9%16.6%4.5%-0.2%-105.9K-111.4K-5.5K0.00119.30N/AN/A0114252,807
2019-11-18$29.44$28.0016.0%4.6%8.5%25.8%16.3%4.3%-0.7%-69.9K-163.0K-4.8K3.20108.37N/AN/A5163922,615
2019-11-19$29.29$28.0017.4%5.0%8.4%32.5%15.0%3.3%-1.5%-117.9K48.6K-5.5K1.0084.66N/AN/A113932,609
2019-11-20$29.16$28.0017.4%5.0%8.7%32.6%19.5%3.9%-1.1%-129.4K136.0K-5.6K1.2391.52N/AN/A13163922,610
2019-11-21$29.23$28.0017.3%4.9%8.7%31.7%16.6%4.6%-1.0%-130.0K69.2K-5.5K16.0082.31N/AN/A1164052,614
2019-11-22$29.12$28.0016.1%4.6%8.8%26.1%17.4%2.6%-0.7%-138.3K90.1K-5.5K0.19105.27N/AN/A299584052,630
2019-11-25$29.26$28.0015.2%4.4%8.9%21.8%15.6%3.5%-0.5%-33.3K-310.6K-6.0K0.2187.31N/AN/A61136552,674
2019-11-26$29.36$28.0015.7%4.5%8.9%23.9%15.3%3.6%-0.2%-22.6K-414.3K-5.9K0.2088.41N/AN/A70146732,672
2019-11-27$29.15$28.0016.5%4.7%9.4%27.9%17.2%6.2%-1.0%-45.0K-204.5K-6.0K0.3876.94N/AN/A2186512,656
2019-11-29$28.89$28.0016.0%4.6%10.0%25.6%16.8%4.7%-0.7%-113.5K94.2K-6.6K0.6577.26N/AN/A20136672,649