EWI Options History — March 2020 In March 2020, EWI traded between $18.23 and $27.62. ATM implied volatility averaged 65.5%, placing in the 81.6% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 4.5% (HV 20d: 69.9%). Max pain ranged from $24.00 to $31.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 63.38.
Notable Days 2020-03-12 : Highest Volume — 33,224 contracts2020-03-09 : Largest IV spike — 54.9% change2020-03-09 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 26.4%Monthly Statistics Metric Avg Min Max Open Close Price $21.73 $18.23 $27.62 $27.05 $20.70 Max Pain $27.05 $24.00 $31.00 $30.00 $24.00 ATM IV 65.5% 31.6% 92.2% 39.1% 54.5% Expected Move 18.2% 9.1% 26.4% 11.2% 15.6% HV 20d 69.9% 25.4% 96.7% 25.7% 96.7% HV 60d 44.0% 18.8% 58.3% 19.0% 58.1% IV Rank 81.6% 53.7% 100.0% 80.5% 53.7% IV Percentile 98.0% 93.7% 100.0% 99.6% 93.7% Term Structure -12.2% -26.3% -1.7% -7.7% -4.6% VWIV 68.5% 37.6% 94.0% 42.7% 70.7% Skew 25d 24.4% 11.0% 40.0% 19.6% 16.5% Skew 10d 59.4% 24.5% 118.0% 39.6% 54.4% Call IV 25d 52.4% 19.3% 78.7% 27.4% 49.0% Put IV 25d 76.8% 39.6% 113.0% 47.0% 65.5% Bid-Ask Spread % 79.11 56.26 92.72 87.05 76.95 Gamma HHI 0.17 0.11 0.32 0.29 0.14 Net GEX -1.0M -2.0M -337.5K -1.8M -471.2K Net DEX 31.9M 11.7M 57.2M 25.5M 13.2M Net VEX -49.4K -75.0K -37.4K -42.8K -37.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 63.38 1.64 386.63 58.44 7.62 Total Volume 7,079.727 437 33,224 3,269 1,060 Total OI 35,001.091 20,825 58,515 20,825 29,878
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-03-02 $27.05 $30.00 39.1% 11.2% 25.7% 80.5% 42.7% 19.6% -7.7% -1.8M 25.5M -42.8K 58.44 87.05 N/A N/A 55 3,214 1,124 19,701 2020-03-03 $26.86 $30.00 40.8% 11.7% 25.4% 85.3% 41.3% 14.4% -9.0% -1.8M 27.0M -46.3K 90.81 84.60 N/A N/A 26 2,361 1,129 21,164 2020-03-04 $27.62 $30.00 31.6% 9.1% 26.8% 59.3% 37.6% 20.4% -6.0% -2.0M 21.5M -44.8K 78.52 69.53 N/A N/A 27 2,120 1,134 21,064 2020-03-05 $26.65 $31.00 41.1% 9.1% 28.4% 86.3% 47.9% 11.0% -1.7% -1.9M 28.7M -48.5K 386.63 56.26 N/A N/A 24 9,279 1,152 22,424 2020-03-06 $26.18 $31.00 45.9% 11.8% 28.2% 99.9% 45.0% 14.7% -4.9% -1.7M 31.4M -50.2K 112.73 76.06 N/A N/A 30 3,382 1,173 28,329 2020-03-09 $23.27 $31.00 71.1% 15.9% 48.4% 100.0% 60.9% 27.1% -12.4% -956.1K 40.8M -37.6K 55.15 79.49 N/A N/A 213 11,748 1,189 27,985 2020-03-10 $23.28 $31.00 73.3% 16.8% 48.4% 100.0% 67.0% 25.9% -15.1% -899.6K 40.4M -45.4K 102.84 81.93 N/A N/A 183 18,819 1,308 31,100 2020-03-11 $22.23 $31.00 59.1% 16.9% 49.4% 77.3% 61.9% 17.8% -8.7% -1.5M 50.5M -74.8K 88.56 81.57 N/A N/A 97 8,590 1,453 45,863 2020-03-12 $18.85 $31.00 84.6% 24.3% 71.9% 100.0% 86.8% 30.0% -20.9% -1.0M 50.8M -66.6K 100.91 92.72 N/A N/A 326 32,898 1,516 41,512 2020-03-13 $20.44 $31.00 90.1% 25.8% 80.8% 100.0% 80.3% 40.0% -26.3% -1.3M 47.5M -75.0K 1.71 89.12 N/A N/A 6,959 11,889 1,751 47,119 2020-03-16 $18.23 $24.00 84.1% 24.1% 87.2% 92.4% 82.3% 33.1% -16.1% -1.2M 57.2M -70.5K 110.50 76.80 N/A N/A 137 15,139 7,577 50,938 2020-03-17 $18.69 $24.00 86.2% 24.7% 88.1% 95.0% 93.9% 33.1% -22.3% -996.6K 45.9M -57.5K 55.70 68.45 N/A N/A 77 4,289 7,625 41,232 2020-03-18 $18.28 $24.00 92.2% 26.4% 87.5% 100.0% 92.7% 34.3% -21.9% -853.4K 47.0M -53.2K 26.54 70.57 N/A N/A 272 7,219 7,662 41,062 2020-03-19 $18.52 $24.00 84.0% 24.1% 88.4% 90.0% 94.0% 30.9% -20.3% -749.5K 42.4M -46.1K 24.71 85.03 N/A N/A 173 4,275 7,908 36,725 2020-03-20 $18.56 $24.00 70.1% 20.1% 88.8% 72.9% 85.5% 30.8% -11.6% -440.6K 43.1M -40.2K 54.89 80.67 N/A N/A 36 1,976 8,063 37,996 2020-03-23 $18.81 $24.00 69.0% 19.8% 89.0% 71.5% 80.9% 28.4% -10.9% -466.7K 19.6M -40.7K 5.33 73.92 N/A N/A 343 1,828 6,650 21,654 2020-03-24 $19.90 $24.00 65.5% 18.8% 93.0% 67.2% 66.8% 26.4% -12.3% -501.7K 17.0M -41.0K 1.64 75.27 N/A N/A 1,010 1,652 6,953 21,636 2020-03-25 $21.04 $24.00 65.9% 18.9% 96.0% 67.7% 67.6% 16.1% -10.2% -376.3K 12.7M -42.7K 6.51 80.37 N/A N/A 171 1,114 7,923 20,778 2020-03-26 $21.34 $24.00 64.9% 18.6% 96.6% 66.5% 63.2% 22.7% -9.7% -337.5K 11.7M -42.6K 3.25 81.32 N/A N/A 372 1,208 8,047 20,985 2020-03-27 $20.80 $24.00 63.7% 18.3% 96.6% 65.0% 69.3% 29.7% -8.1% -387.4K 13.5M -42.5K 18.11 85.06 N/A N/A 38 688 7,909 21,721 2020-03-30 $20.78 $24.00 63.3% 18.1% 96.6% 64.5% 68.4% 14.9% -8.5% -447.4K 13.7M -39.7K 3.37 87.78 N/A N/A 100 337 7,921 21,991 2020-03-31 $20.70 $24.00 54.5% 15.6% 96.7% 53.7% 70.7% 16.5% -4.6% -471.2K 13.2M -37.4K 7.62 76.95 N/A N/A 123 937 8,001 21,877
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