EWI Options History — May 2020

In May 2020, EWI traded between $19.88 and $22.46. ATM implied volatility averaged 34.0%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 0.3% (HV 20d: 34.3%). Max pain ranged from $21.00 to $26.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 12.70.

Notable Days

  • 2020-05-20: Highest Volume — 3,605 contracts
  • 2020-05-08: Largest IV drop — 37.6% change
  • 2020-05-01: Highest IV Rank — 38.4%
  • 2020-05-01: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.84$19.88$22.46$20.68$22.45
Max Pain$25.05$21.00$26.00$21.00$25.00
ATM IV34.0%24.7%42.0%42.0%34.7%
Expected Move9.8%8.6%12.0%12.0%10.0%
HV 20d34.3%26.5%43.2%43.2%34.0%
HV 60d63.5%62.8%64.7%62.9%64.4%
IV Rank28.6%17.1%38.4%38.4%29.4%
IV Percentile80.0%75.4%85.7%85.7%79.4%
Term Structure-2.8%-7.5%2.2%-6.8%-7.5%
VWIV37.2%28.0%46.2%39.9%32.8%
Skew 25d12.4%7.5%17.6%17.2%11.0%
Skew 10d26.3%15.0%38.4%35.9%15.4%
Call IV 25d28.9%20.6%34.6%27.7%26.2%
Put IV 25d41.3%35.0%49.4%44.9%37.2%
Bid-Ask Spread %74.1128.1892.9581.6384.39
Gamma HHI0.200.130.380.140.17
Net GEX-163.6K-299.4K-59.5K-147.1K-71.7K
Net DEX3.5M1.7M4.4M3.8M1.8M
Net VEX-9.8K-12.6K-7.6K-12.6K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.700.14109.673.130.21
Total Volume351.15403,6059540
Total OI9,231.56,90610,5649,12310,443

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$20.68$21.0042.0%12.0%43.2%38.4%39.9%17.2%-6.8%-147.1K3.8M-12.6K3.1381.63N/AN/A23722,2746,849
2020-05-04$20.52$26.0040.6%10.8%40.9%36.6%46.1%15.4%-2.1%-155.2K4.0M-12.1K2.4081.64N/AN/A601442,2736,854
2020-05-05$20.53$26.0038.7%10.7%34.2%34.3%46.2%15.1%-2.9%-156.6K3.9M-11.7K0.4177.47N/AN/A63262,2386,826
2020-05-06$20.23$26.0040.6%11.2%34.4%36.7%40.5%15.6%-4.1%-175.7K4.2M-10.7K0.3078.17N/AN/A116352,1776,820
2020-05-07$20.32$26.0039.6%10.3%34.4%35.4%35.3%12.4%-3.0%-181.5K4.2M-11.0K0.7383.77N/AN/A71522,3246,869
2020-05-08$20.74$26.0024.7%9.1%33.7%17.1%36.2%14.8%-1.3%-156.7K3.5M-10.3K0.1681.41N/AN/A254412,3806,847
2020-05-11$20.70$25.0032.9%9.3%33.0%27.2%44.5%8.9%-1.3%-168.1K3.4M-10.1K0.1487.39N/AN/A137192,4456,833
2020-05-12$20.69$25.0026.8%9.5%33.0%19.7%30.4%13.4%-2.0%-151.5K3.5M-9.9K2.5392.95N/AN/A17432,4226,849
2020-05-13$20.21$25.0033.9%9.7%27.9%28.5%36.4%14.1%-0.9%-169.1K4.1M-10.0K5.3781.45N/AN/A271452,4376,752
2020-05-14$19.99$25.0036.4%10.4%28.0%31.5%36.8%11.5%-0.7%-202.9K4.3M-9.4K8.7189.15N/AN/A141222,4186,777
2020-05-15$19.88$25.0035.6%10.2%26.5%30.5%38.9%10.1%-0.5%-223.6K4.4M-8.7K109.6790.05N/AN/A33292,4186,691
2020-05-18$21.10$25.0030.5%8.8%33.7%24.3%35.5%14.4%2.2%-122.7K3.1M-8.6K4.4480.81N/AN/A632801,6395,333
2020-05-19$20.44$25.0034.9%10.0%35.3%29.7%34.2%11.5%-2.9%-121.6K3.5M-8.7K2.6385.69N/AN/A751971,7005,206
2020-05-20$20.79$25.0032.1%9.2%35.7%26.2%44.8%17.6%-3.7%-135.0K3.2M-8.9K108.2481.03N/AN/A333,5721,7665,377
2020-05-21$20.70$25.0030.7%8.8%35.7%24.5%31.4%8.8%-1.9%-299.4K3.9M-11.6K0.2786.73N/AN/A100271,7858,779
2020-05-22$20.86$25.0031.4%9.0%35.3%25.4%37.0%10.2%-3.1%-298.0K3.7M-9.4K0.5628.18N/AN/A48271,7058,762
2020-05-26$21.59$25.0029.9%8.6%36.2%23.5%34.6%7.5%-1.4%-176.1K2.7M-7.7K3.2633.23N/AN/A722351,7458,778
2020-05-27$21.96$25.0031.3%9.0%36.6%25.3%28.0%9.2%-6.6%-100.0K2.3M-7.6K0.1429.71N/AN/A132191,7878,585
2020-05-28$22.46$25.0033.0%9.5%34.9%27.3%34.3%9.3%-5.2%-59.5K1.7M-8.3K0.6047.30N/AN/A1811091,8688,599
2020-05-29$22.45$25.0034.7%10.0%34.0%29.4%32.8%11.0%-7.5%-71.7K1.8M-8.6K0.2184.39N/AN/A3371,7838,660