EWI Options History — December 2019

In December 2019, EWI traded between $28.51 and $29.74. ATM implied volatility averaged 15.3%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.0% (HV 20d: 11.3%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 7.96.

Notable Days

  • 2019-12-11: Highest Volume — 277 contracts
  • 2019-12-30: Largest IV spike — 41.0% change
  • 2019-12-09: Highest IV Rank — 41.0%
  • 2019-12-02: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.22$28.51$29.74$28.51$29.41
Max Pain$28.86$28.00$29.00$28.00$29.00
ATM IV15.3%11.9%19.2%18.9%17.8%
Expected Move4.3%3.4%5.4%5.4%5.1%
HV 20d11.3%8.8%12.2%10.0%10.4%
HV 60d12.0%10.7%12.5%12.2%10.8%
IV Rank22.4%5.4%41.0%40.0%36.5%
IV Percentile17.5%0.4%57.5%54.4%46.4%
Term Structure0.9%-1.7%2.2%-1.7%-0.8%
VWIV15.7%13.1%20.7%19.7%17.6%
Skew 25d3.8%2.1%6.5%5.1%4.8%
Skew 10d7.5%1.7%24.6%22.6%7.3%
Call IV 25d13.1%9.5%16.6%16.6%14.5%
Put IV 25d17.0%13.5%22.0%21.7%19.2%
Bid-Ask Spread %91.4862.73120.2173.7367.53
Gamma HHI0.340.250.440.370.34
Net GEX-80.5K-158.2K-32.3K-158.2K-76.8K
Net DEX373.8K-8.2K569.6K507.8K569.6K
Net VEX-6.0K-7.0K-4.7K-6.5K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.960.1941.002.6522.00
Total Volume94.381527720132
Total OI2,785.6671,4473,5503,3001,464

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$28.51$28.0018.9%5.4%10.0%40.0%19.7%5.1%-1.7%-158.2K507.8K-6.5K2.6573.73N/AN/A551466482,652
2019-12-03$28.57$28.0018.1%5.2%8.8%35.8%20.7%6.5%-1.4%-103.8K254.5K-6.1K0.2678.32N/AN/A157416792,526
2019-12-04$28.95$28.0016.2%4.7%10.2%26.6%17.6%4.7%-1.2%-69.3K-8.2K-4.9K0.2873.88N/AN/A40115842,506
2019-12-05$28.80$29.0017.3%4.3%10.3%31.7%14.2%3.6%1.5%-99.2K97.0K-5.0K0.1996.37N/AN/A105205692,504
2019-12-06$28.88$29.0016.2%4.2%10.3%26.6%13.1%2.8%1.5%-32.3K90.5K-4.7K0.7499.22N/AN/A47355392,499
2019-12-09$28.55$29.0019.2%4.3%10.7%41.0%15.1%2.5%0.9%-134.9K409.8K-4.8K14.38103.69N/AN/A131875202,532
2019-12-10$28.82$29.0016.2%4.3%11.4%26.6%16.4%3.4%1.7%-73.5K423.7K-5.3K8.1798.03N/AN/A12985202,695
2019-12-11$29.02$29.0015.0%4.3%11.3%20.8%14.9%2.1%1.3%-69.1K387.3K-5.8K8.2398.43N/AN/A302475242,772
2019-12-12$29.39$29.0015.0%4.3%11.9%20.9%14.4%2.4%1.4%-53.4K412.3K-6.6K2.1897.55N/AN/A28614803,011
2019-12-13$29.24$29.0014.8%4.2%12.1%19.5%0.0%2.5%1.1%-78.4K525.1K-6.4K1.61113.59N/AN/A38614572,994
2019-12-16$29.27$29.0014.5%4.2%11.9%18.3%14.4%3.4%1.8%-81.8K529.3K-6.8K30.40108.73N/AN/A51524243,049
2019-12-17$29.48$29.0015.3%4.4%12.2%22.4%14.1%4.5%1.1%-81.0K480.8K-7.0K41.00107.44N/AN/A2824233,127
2019-12-18$29.47$29.0015.1%4.3%12.1%21.0%13.8%3.6%1.2%-76.5K416.2K-6.6K0.7492.38N/AN/A46344233,070
2019-12-19$29.55$29.0012.8%3.7%12.0%9.7%14.7%4.7%2.2%-88.8K415.9K-6.6K1.21100.31N/AN/A28344183,093
2019-12-20$29.74$29.0012.5%3.6%12.1%8.7%14.2%5.7%2.1%-55.4K223.6K-6.4K2.24120.21N/AN/A21474203,106
2019-12-23$29.70$29.0011.9%3.4%12.0%5.4%0.0%3.5%2.2%-68.7K366.7K-6.1K0.0073.35N/AN/A053261,133
2019-12-24$29.57$29.0012.3%3.5%12.1%7.7%0.0%3.3%1.8%-71.9K425.1K-6.1K0.0062.73N/AN/A073261,128
2019-12-26$29.65$29.0012.0%3.4%12.1%6.4%0.0%4.5%2.0%-68.5K378.2K-5.9K6.5091.22N/AN/A2133261,121
2019-12-27$29.60$29.0012.4%3.6%11.8%8.7%0.0%3.2%1.8%-71.8K411.9K-5.9K0.5568.77N/AN/A1163261,122
2019-12-30$29.37$29.0017.5%5.0%11.7%35.4%17.6%4.0%-0.7%-77.7K532.0K-6.0K22.0095.56N/AN/A1223371,126
2019-12-31$29.41$29.0017.8%5.1%10.4%36.5%0.0%4.8%-0.8%-76.8K569.6K-6.0K0.0067.53N/AN/A0323381,126