EWI Options History — April 2020

In April 2020, EWI traded between $19.52 and $21.59. ATM implied volatility averaged 47.2%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 15.0% (HV 20d: 62.2%). Max pain ranged from $20.00 to $24.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 11.42.

Notable Days

  • 2020-04-03: Highest Volume — 3,709 contracts
  • 2020-04-03: Largest IV drop — 18.8% change
  • 2020-04-01: Highest IV Rank — 59.5%
  • 2020-04-01: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.53$19.52$21.59$19.83$21.18
Max Pain$21.19$20.00$24.00$24.00$21.00
ATM IV47.2%32.4%59.2%59.2%37.1%
Expected Move13.3%9.3%17.0%17.0%10.6%
HV 20d62.2%42.6%97.0%96.0%42.7%
HV 60d61.5%58.6%63.0%58.6%62.9%
IV Rank44.8%26.5%59.5%59.5%32.3%
IV Percentile89.5%82.9%94.0%94.0%83.3%
Term Structure-2.6%-11.6%2.3%-8.4%0.5%
VWIV47.6%35.8%70.4%70.4%40.0%
Skew 25d15.2%5.6%25.6%10.0%8.7%
Skew 10d25.7%8.9%48.2%29.5%22.0%
Call IV 25d38.9%23.7%60.3%60.3%31.0%
Put IV 25d54.1%39.3%70.3%70.3%39.7%
Bid-Ask Spread %86.3265.65107.6987.7683.83
Gamma HHI0.160.110.430.160.12
Net GEX-320.6K-627.9K-122.1K-532.7K-132.4K
Net DEX8.3M3.0M15.8M15.3M3.3M
Net VEX-20.8K-35.0K-11.7K-35.0K-13.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.420.4271.8371.831.11
Total Volume585.238423,70987442
Total OI20,093.7148,89029,26029,0449,134

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$19.83$24.0059.2%17.0%96.0%59.5%70.4%10.0%-8.4%-532.7K15.3M-35.0K71.8387.76N/AN/A128628,10420,940
2020-04-02$20.27$22.0058.8%14.9%96.6%59.0%59.7%18.4%-4.9%-508.1K13.9M-32.7K8.1981.94N/AN/A544428,12420,964
2020-04-03$19.52$22.0047.7%13.9%97.0%45.4%46.7%19.0%-2.1%-627.9K15.8M-32.5K36.8584.59N/AN/A983,6118,16821,092
2020-04-06$20.78$21.0051.9%12.9%92.6%50.5%46.0%9.3%2.1%-497.7K12.1M-29.4K5.5180.09N/AN/A1236788,24220,484
2020-04-07$20.89$21.0055.5%14.3%92.6%54.9%49.3%23.5%0.1%-440.0K11.2M-28.0K3.9898.35N/AN/A1355378,29420,114
2020-04-08$20.99$21.0046.9%13.5%91.4%44.4%52.1%13.5%-4.7%-445.4K10.8M-26.7K1.2785.73N/AN/A1451848,32219,981
2020-04-09$21.58$21.0049.5%14.2%68.9%47.6%45.4%22.8%-11.6%-355.5K8.8M-25.3K0.97107.69N/AN/A3082988,43019,988
2020-04-13$21.16$21.0048.1%13.8%63.6%45.9%47.0%10.6%-4.2%-428.3K9.9M-20.4K18.9392.08N/AN/A142658,26019,767
2020-04-14$21.27$21.0046.1%13.2%46.5%43.4%48.0%10.5%-1.7%-358.6K9.0M-19.1K4.3699.53N/AN/A441928,26819,670
2020-04-15$20.15$21.0052.2%15.0%50.9%50.9%51.9%11.6%-6.3%-479.9K11.3M-18.7K8.5196.17N/AN/A413498,25719,623
2020-04-16$19.98$21.0047.7%13.7%50.2%45.4%44.4%11.5%-3.8%-543.3K10.4M-17.0K2.8577.55N/AN/A1905418,29618,941
2020-04-17$20.48$21.0045.6%13.1%50.6%42.8%46.5%10.6%-1.5%-139.6K8.1M-16.9K0.9779.40N/AN/A2742678,39418,369
2020-04-20$20.19$21.0047.5%13.6%51.1%45.2%48.1%11.5%-0.6%-142.0K4.4M-16.6K0.80103.29N/AN/A89712,0596,831
2020-04-21$19.87$21.0046.4%13.3%51.5%43.8%51.5%25.6%-0.4%-141.1K4.7M-16.9K9.1788.73N/AN/A706422,1176,854
2020-04-22$19.94$21.0050.4%14.4%47.4%48.7%39.1%19.6%-4.1%-173.1K4.9M-17.5K15.0093.88N/AN/A162402,1777,336
2020-04-23$19.82$21.0045.2%12.9%42.6%42.2%47.5%20.3%-0.2%-168.1K4.8M-15.3K32.1383.04N/AN/A82572,1937,119
2020-04-24$20.16$21.0044.0%12.6%42.8%40.9%42.6%17.6%-0.7%-182.2K4.7M-15.3K0.4280.72N/AN/A43182,2007,308
2020-04-27$20.68$21.0039.5%11.3%43.0%35.3%44.5%5.6%-1.7%-171.7K4.2M-14.2K4.9065.65N/AN/A1306372,1577,317
2020-04-28$20.77$20.0039.7%11.4%43.1%35.5%42.0%23.4%-3.0%-142.1K3.7M-13.6K0.6466.08N/AN/A102652,2666,820
2020-04-29$21.59$21.0032.4%9.3%45.2%26.5%35.8%15.7%2.3%-122.1K3.0M-11.7K1.1176.70N/AN/A931032,1876,801
2020-04-30$21.18$21.0037.1%10.6%42.7%32.3%40.0%8.7%0.5%-132.4K3.3M-13.4K0.0083.83N/AN/A0422,2746,860