EWI Options History — June 2020

In June 2020, EWI traded between $22.99 and $25.43. ATM implied volatility averaged 32.3%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 5.4% (HV 20d: 37.7%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 3.05.

Notable Days

  • 2020-06-04: Highest Volume — 2,768 contracts
  • 2020-06-11: Largest IV spike — 32.4% change
  • 2020-06-11: Highest IV Rank — 32.3%
  • 2020-06-11: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.18$22.99$25.43$22.99$24.05
Max Pain$23.95$23.00$25.00$25.00$23.00
ATM IV32.3%28.0%37.1%29.2%32.0%
Expected Move9.1%7.7%10.6%8.4%9.2%
HV 20d37.7%33.2%44.6%33.2%37.0%
HV 60d45.3%36.8%64.4%64.3%36.8%
IV Rank26.4%21.2%32.3%22.6%26.1%
IV Percentile75.3%67.5%81.0%73.4%71.8%
Term Structure-1.4%-8.9%2.0%-2.4%-0.7%
VWIV34.7%17.6%46.3%30.9%17.6%
Skew 25d11.1%7.3%21.2%21.2%10.5%
Skew 10d21.5%8.8%32.6%27.7%26.5%
Call IV 25d27.7%19.2%32.9%19.2%27.9%
Put IV 25d38.8%33.0%44.8%40.4%38.4%
Bid-Ask Spread %48.6919.8889.0489.0424.42
Gamma HHI0.260.170.460.190.30
Net GEX12.6K-136.3K206.8K-52.0K150.1K
Net DEX-485.6K-2.3M1.4M1.4M-1.1M
Net VEX-16.7K-21.8K-7.6K-7.6K-18.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.050.0016.690.040.00
Total Volume646.13672,7681,1117
Total OI10,708.1827,09213,03610,4537,419

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$22.99$25.0029.2%8.4%33.2%22.6%30.9%21.2%-2.4%-52.0K1.4M-7.6K0.0489.04N/AN/A1,069421,7958,658
2020-06-02$23.53$25.0029.8%8.5%33.4%23.4%35.1%10.1%0.3%2.7K272.0K-13.2K14.6535.75N/AN/A691,0112,7778,650
2020-06-03$24.67$25.0033.0%9.5%36.3%27.4%33.6%9.7%-8.9%-72.8K-200.5K-16.3K0.7555.43N/AN/A2531912,8119,569
2020-06-04$24.59$25.0029.5%7.7%35.5%23.1%27.8%8.6%-2.9%-70.9K-233.5K-16.2K0.7760.87N/AN/A1,5641,2042,8509,600
2020-06-05$25.05$24.0030.0%7.9%35.6%23.7%31.8%7.7%-2.1%-62.1K-915.7K-16.5K1.0362.15N/AN/A2582652,8729,643
2020-06-08$25.43$25.0033.7%8.6%35.4%28.2%30.5%7.3%-0.6%-58.0K-1.3M-14.7K0.4242.10N/AN/A64272,7969,548
2020-06-09$25.12$25.0031.5%8.8%36.1%25.5%33.5%10.0%-2.5%-68.8K-949.9K-14.9K16.6953.30N/AN/A132172,7789,575
2020-06-10$24.93$25.0028.0%8.0%36.4%21.2%28.4%9.5%0.0%-48.3K-685.7K-15.1K0.2981.27N/AN/A142412,7819,448
2020-06-11$23.26$25.0037.1%10.6%44.6%32.3%36.6%11.6%-3.8%-76.5K1.4M-14.6K12.9667.96N/AN/A709072,8039,448
2020-06-12$23.70$25.0034.9%10.0%44.3%29.6%38.4%15.1%-7.1%-34.1K727.9K-13.8K5.7551.60N/AN/A241382,9349,215
2020-06-15$23.85$25.0033.9%9.7%44.0%28.4%39.3%12.7%-1.6%-29.4K241.8K-15.1K2.1639.93N/AN/A3537632,9379,209
2020-06-16$24.16$23.0034.3%9.8%39.8%28.9%44.8%11.1%-2.3%-33.0K-441.8K-17.5K0.9077.68N/AN/A90813,2799,757
2020-06-17$24.10$23.0034.5%9.9%37.3%29.1%45.6%10.9%-2.2%-37.6K-350.0K-17.2K0.7655.93N/AN/A37283,2459,764
2020-06-18$23.93$23.0032.9%9.4%37.5%27.1%36.5%11.8%1.2%-53.9K-158.5K-16.8K0.5843.64N/AN/A33193,2289,765
2020-06-19$23.94$23.0032.5%9.3%37.4%26.7%30.6%10.3%0.6%-136.3K-116.2K-16.4K0.0357.72N/AN/A2,509783,1559,753
2020-06-22$24.30$23.0031.9%9.1%37.5%26.0%42.4%9.2%0.8%178.1K-1.7M-21.3K0.3623.56N/AN/A28104,4152,683
2020-06-23$24.63$23.0028.3%8.1%36.2%21.6%36.2%12.4%2.0%206.8K-2.3M-21.8K0.4027.51N/AN/A1,3725544,4032,689
2020-06-24$23.88$23.0032.7%9.4%38.3%26.9%36.3%11.7%0.3%140.5K-991.0K-19.8K3.6629.45N/AN/A1314794,4172,704
2020-06-25$24.06$23.0033.4%9.6%37.7%27.8%30.4%11.1%0.1%151.0K-1.2M-20.5K0.1919.88N/AN/A2654,5172,864
2020-06-26$23.73$23.0033.3%9.6%38.2%27.7%29.8%10.9%1.5%120.4K-719.5K-19.2K1.6042.26N/AN/A10164,5382,868
2020-06-29$24.13$23.0033.9%9.7%37.8%28.4%46.3%11.1%-1.5%161.8K-1.3M-19.6K0.0029.63N/AN/A0174,5482,872
2020-06-30$24.05$23.0032.0%9.2%37.0%26.1%17.6%10.5%-0.7%150.1K-1.1M-18.9K0.0024.42N/AN/A704,5482,871