EWI Options History — January 2020

In January 2020, EWI traded between $28.70 and $29.91. ATM implied volatility averaged 14.8%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.2% (HV 20d: 11.6%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 7.28.

Notable Days

  • 2020-01-31: Highest Volume — 156 contracts
  • 2020-01-03: Largest IV spike — 26.7% change
  • 2020-01-03: Highest IV Rank — 37.9%
  • 2020-01-03: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.52$28.70$29.91$29.84$28.70
Max Pain$29.00$29.00$29.00$29.00$29.00
ATM IV14.8%11.8%18.0%14.2%17.6%
Expected Move4.3%3.6%5.2%4.1%5.1%
HV 20d11.6%9.0%17.0%11.4%17.0%
HV 60d10.8%9.9%13.0%11.1%13.0%
IV Rank20.9%5.2%37.9%18.1%35.9%
IV Percentile16.7%0.4%57.9%5.6%51.6%
Term Structure0.5%-1.5%2.3%0.5%-0.2%
VWIV15.5%12.7%19.9%16.9%19.9%
Skew 25d3.5%0.6%5.5%5.0%2.2%
Skew 10d3.1%-29.9%11.9%6.7%-3.4%
Call IV 25d13.3%10.7%17.5%10.7%17.5%
Put IV 25d16.7%14.5%19.7%15.7%19.7%
Bid-Ask Spread %92.7249.03115.1670.89101.97
Gamma HHI0.350.320.380.340.34
Net GEX-70.7K-101.0K41.9K-63.8K-92.5K
Net DEX419.1K131.0K833.8K285.3K818.1K
Net VEX-5.2K-6.0K-4.5K-5.7K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.280.4725.0025.006.43
Total Volume28.667015626156
Total OI1,461.6671,3341,6021,4971,351

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$29.84$29.0014.2%4.1%11.4%18.1%16.9%5.0%0.5%-63.8K285.3K-5.7K25.0070.89N/AN/A1253391,158
2020-01-03$29.49$29.0018.0%5.2%11.6%37.9%15.6%2.5%-1.5%-81.5K532.5K-6.0K5.0079.59N/AN/A3153371,180
2020-01-06$29.57$29.0016.4%4.3%11.4%29.4%17.7%4.2%1.0%-77.9K475.0K-5.9K13.67107.76N/AN/A3413361,190
2020-01-07$29.52$29.0016.0%4.5%11.4%27.3%0.0%3.1%-0.5%-81.7K518.3K-5.7K3.25102.66N/AN/A4133391,170
2020-01-08$29.72$29.0014.1%4.3%10.6%17.2%0.0%3.8%0.6%-71.5K360.5K-5.5K0.00105.23N/AN/A013401,189
2020-01-09$29.77$29.0013.9%4.2%10.2%16.1%0.0%2.9%1.0%-65.8K318.0K-5.4K0.50114.00N/AN/A633401,190
2020-01-10$29.66$29.0013.3%3.9%10.2%13.0%13.8%3.1%2.1%-71.2K343.2K-5.3K1.4083.19N/AN/A573461,184
2020-01-13$29.66$29.0011.8%3.8%9.2%5.2%0.0%2.6%1.1%-64.9K319.5K-5.1K0.47109.55N/AN/A55263511,183
2020-01-14$29.63$29.0012.0%4.1%9.0%6.5%0.0%1.8%0.9%-61.7K314.1K-5.3K1.0097.18N/AN/A114061,184
2020-01-15$29.46$29.0014.9%4.3%9.3%21.9%13.0%5.5%0.9%-97.2K448.1K-5.3K0.00107.40N/AN/A0204071,185
2020-01-16$29.84$29.0013.2%3.8%10.0%12.9%0.0%2.5%0.7%1.5K159.0K-4.9K0.0099.31N/AN/A014071,195
2020-01-17$29.91$29.0012.5%3.6%10.0%8.9%12.7%2.5%1.5%41.9K131.0K-4.9K13.00102.73N/AN/A1133981,194
2020-01-21$29.54$29.0013.9%4.0%11.0%16.2%0.0%4.5%0.5%-85.9K397.3K-4.9K0.0076.77N/AN/A002961,040
2020-01-22$29.32$29.0013.4%3.8%11.1%13.5%14.0%0.6%2.3%-90.9K498.6K-4.9K0.6086.21N/AN/A532961,040
2020-01-23$29.41$29.0014.7%4.2%11.1%20.7%0.0%3.7%0.8%-90.9K462.8K-4.8K4.6749.33N/AN/A3142951,039
2020-01-24$29.32$29.0016.4%4.7%11.1%29.7%0.0%4.3%-0.2%-90.0K517.0K-4.9K8.0049.03N/AN/A2162991,046
2020-01-27$28.85$29.0016.4%4.7%12.3%29.7%17.0%4.4%0.4%-101.0K833.8K-5.0K1.7685.70N/AN/A25442981,060
2020-01-28$29.55$29.0014.7%4.2%15.3%20.8%17.4%5.1%0.3%-79.0K355.9K-4.7K4.0099.18N/AN/A3123141,036
2020-01-29$29.65$29.0014.8%4.2%15.0%21.1%14.0%3.0%0.1%-77.5K273.1K-4.5K14.50104.31N/AN/A2293131,042
2020-01-30$29.49$29.0018.0%5.2%15.2%37.9%14.1%5.5%-1.3%-83.1K440.0K-4.9K20.50115.16N/AN/A2413141,068
2020-01-31$28.70$29.0017.6%5.1%17.0%35.9%19.9%2.2%-0.2%-92.5K818.1K-4.8K6.43101.97N/AN/A211353141,037