EWI Options History — February 2020

In February 2020, EWI traded between $27.07 and $30.39. ATM implied volatility averaged 21.0%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.1% (HV 20d: 21.0%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 19.96.

Notable Days

  • 2020-02-28: Highest Volume — 10,657 contracts
  • 2020-02-24: Largest IV spike — 67.1% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.30$27.07$30.39$28.95$27.07
Max Pain$29.21$29.00$30.00$29.00$30.00
ATM IV21.0%13.7%45.9%18.4%45.9%
Expected Move6.0%4.1%13.2%5.3%13.2%
HV 20d21.0%17.0%27.7%17.0%27.1%
HV 60d15.2%13.1%19.0%13.1%19.0%
IV Rank44.7%15.4%100.0%40.1%100.0%
IV Percentile44.2%6.7%100.0%63.5%100.0%
Term Structure-0.4%-10.4%2.6%-1.0%-10.4%
VWIV23.2%14.8%46.3%21.3%46.3%
Skew 25d7.0%-0.2%20.8%10.1%20.8%
Skew 10d12.7%-1.7%49.7%1.0%49.7%
Call IV 25d17.8%11.5%34.9%11.7%34.9%
Put IV 25d24.8%13.3%55.7%21.8%55.7%
Bid-Ask Spread %77.5519.1896.2296.2271.85
Gamma HHI0.350.170.460.360.19
Net GEX-202.1K-938.3K43.2K-106.9K-938.3K
Net DEX2.5M-1.0M16.0M757.9K16.0M
Net VEX-9.3K-37.3K-4.0K-4.9K-37.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio19.960.00122.502.5073.52
Total Volume1,704.789210,65712310,657
Total OI3,521.6321,45714,5691,45714,569

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$28.95$29.0018.4%5.3%17.0%40.1%21.3%10.1%-1.0%-106.9K757.9K-4.9K0.0096.22N/AN/A01233271,130
2020-02-04$29.45$29.0015.6%4.5%18.1%25.3%0.0%-0.2%0.5%-123.9K547.7K-5.0K0.0034.57N/AN/A0293201,255
2020-02-05$29.85$29.0014.3%4.1%18.8%18.5%17.3%5.3%0.7%-99.7K292.5K-4.7K2.5019.18N/AN/A10253201,236
2020-02-06$30.12$29.0013.7%4.2%18.9%15.4%16.4%4.5%1.9%-84.3K39.1K-4.1K2.7676.39N/AN/A17473201,231
2020-02-07$29.85$29.0014.7%4.3%19.2%20.7%15.0%4.7%1.7%-103.1K291.0K-4.6K1.0089.27N/AN/A113171,256
2020-02-10$29.88$29.0014.8%4.2%19.1%21.4%14.8%4.4%2.4%-102.2K236.3K-4.2K0.0485.02N/AN/A5623161,256
2020-02-11$30.01$29.0013.9%4.1%19.2%16.2%18.1%4.2%2.3%-93.3K80.9K-4.1K0.0877.37N/AN/A5043621,255
2020-02-12$30.19$29.0015.3%4.4%19.3%23.5%15.2%4.5%2.5%-78.9K-24.1K-4.2K0.0071.89N/AN/A2004121,254
2020-02-13$29.95$29.0015.3%4.4%19.4%23.6%15.6%4.8%1.3%-88.6K90.0K-4.5K0.0994.40N/AN/A1114161,254
2020-02-14$29.90$29.0015.5%4.4%18.9%24.8%19.0%3.5%2.2%-94.4K138.9K-4.4K0.0988.87N/AN/A2324101,253
2020-02-18$30.26$29.0016.5%4.7%19.3%30.2%16.4%5.4%1.7%-75.5K-81.5K-4.0K0.0687.57N/AN/A428254151,254
2020-02-19$30.39$29.0015.9%4.6%18.7%26.9%15.7%5.2%2.6%43.2K-1.0M-5.0K0.0074.24N/AN/A208411,254
2020-02-20$30.04$29.0016.3%4.7%19.0%28.8%16.8%3.5%2.3%15.5K-605.0K-5.4K0.6193.00N/AN/A54338351,254
2020-02-21$29.68$29.0017.6%5.0%19.6%35.6%19.6%6.2%0.7%-5.8K-170.9K-5.8K15.0693.66N/AN/A182718681,279
2020-02-24$28.15$29.0029.4%8.4%27.3%97.4%30.4%8.8%-1.1%-97.9K1.7M-6.2K28.9181.81N/AN/A1454,1928481,489
2020-02-25$27.55$30.0031.4%9.0%27.7%100.0%35.7%12.8%-3.7%-389.8K7.4M-15.3K122.5079.00N/AN/A263,1859075,029
2020-02-26$27.90$30.0035.3%10.1%26.5%100.0%38.8%11.1%-6.9%-526.6K8.2M-20.4K27.4274.31N/AN/A1734,7439076,790
2020-02-27$27.56$30.0038.6%11.1%26.6%100.0%44.9%12.8%-7.1%-889.1K12.8M-33.0K64.7184.84N/AN/A1227,8951,00411,468
2020-02-28$27.07$30.0045.9%13.2%27.1%100.0%46.3%20.8%-10.4%-938.3K16.0M-37.3K73.5271.85N/AN/A14310,5141,01313,556