EWI Options History — July 2020

In July 2020, EWI traded between $24.12 and $26.29. ATM implied volatility averaged 29.1%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.9% (HV 20d: 25.2%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.42.

Notable Days

  • 2020-07-06: Highest Volume — 1,733 contracts
  • 2020-07-15: Largest IV drop — 42.7% change
  • 2020-07-14: Highest IV Rank — 45.3%
  • 2020-07-30: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.31$24.12$26.29$24.12$24.69
Max Pain$25.50$23.00$26.00$23.00$26.00
ATM IV29.1%24.9%47.6%27.2%30.9%
Expected Move8.0%7.1%9.3%7.8%8.9%
HV 20d25.2%19.7%34.0%32.8%23.4%
HV 60d32.7%30.7%34.9%34.7%31.6%
IV Rank22.5%17.3%45.3%20.2%24.7%
IV Percentile65.5%58.3%89.3%64.7%67.5%
Term Structure0.3%-2.3%6.3%3.8%-0.6%
VWIV28.6%12.9%40.4%40.4%29.7%
Skew 25d9.7%5.9%12.4%7.8%9.5%
Skew 10d19.2%10.0%26.8%10.0%11.6%
Call IV 25d24.7%18.4%27.9%27.9%27.9%
Put IV 25d34.3%30.0%39.2%35.7%37.4%
Bid-Ask Spread %34.7716.4977.9327.5916.49
Gamma HHI0.450.240.590.240.33
Net GEX267.7K13.0K700.4K101.8K13.0K
Net DEX-2.8M-5.2M726.3K-863.8K726.3K
Net VEX-19.4K-21.7K-16.9K-16.9K-21.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.006.145.000.01
Total Volume328.95521,7336334
Total OI7,280.55,8108,5977,4207,759

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$24.12$23.0027.2%7.8%32.8%20.2%40.4%7.8%3.8%101.8K-863.8K-16.9K5.0027.59N/AN/A154,5492,871
2020-07-02$24.60$23.0024.9%7.1%33.6%17.3%25.4%11.4%3.0%230.4K-2.1M-19.1K0.0227.27N/AN/A518114,5492,874
2020-07-06$24.91$25.0027.3%8.0%33.2%20.3%25.2%10.2%0.0%316.3K-2.9M-20.0K0.5277.93N/AN/A1,1425915,0462,892
2020-07-07$24.78$25.0029.8%8.1%32.7%23.4%30.7%11.5%-0.7%300.5K-2.8M-19.8K1.2042.62N/AN/A25305,0462,903
2020-07-08$25.05$25.0030.2%8.4%32.7%23.9%30.9%11.3%1.0%337.4K-3.4M-20.6K2.5028.66N/AN/A6155,0532,918
2020-07-09$24.39$25.0033.3%8.9%34.0%27.6%28.0%9.7%0.6%225.1K-1.9M-18.6K0.1044.93N/AN/A515545,0552,916
2020-07-10$24.88$26.0030.4%8.7%23.3%24.2%0.0%12.4%-0.5%372.0K-3.3M-21.2K0.3034.32N/AN/A1035,5702,966
2020-07-13$24.70$26.0034.3%8.7%22.8%28.9%29.2%9.6%1.0%361.7K-3.0M-19.8K0.3535.85N/AN/A1765,5702,969
2020-07-14$25.11$26.0047.6%7.8%23.4%45.3%27.8%12.1%6.3%423.8K-3.6M-19.2K0.1539.32N/AN/A4875,5782,968
2020-07-15$25.51$26.0027.3%7.8%23.6%20.3%28.8%7.3%-0.3%619.0K-5.0M-20.1K1.0044.68N/AN/A6416445,6172,971
2020-07-16$25.61$26.0028.3%8.1%23.5%21.6%25.1%8.4%-0.8%700.4K-5.2M-20.0K0.0048.93N/AN/A1,00325,6302,967
2020-07-17$25.80$26.0025.8%7.4%23.2%18.5%25.4%10.6%0.3%196.7K-5.1M-18.9K0.2636.67N/AN/A3185,0812,968
2020-07-20$26.05$26.0026.4%7.6%23.3%19.2%29.8%10.6%0.8%206.7K-3.1M-19.1K1.0034.50N/AN/A443,6502,194
2020-07-21$26.14$26.0026.7%7.7%22.9%19.6%27.5%5.9%-0.0%202.1K-3.2M-18.5K0.8431.90N/AN/A57483,6512,194
2020-07-22$26.29$26.0026.9%7.7%22.7%19.8%12.9%11.8%-2.3%217.2K-3.4M-18.7K0.0030.38N/AN/A203,6262,184
2020-07-23$25.87$26.0025.6%7.3%20.2%18.3%0.0%8.1%0.6%203.5K-2.9M-18.7K0.0035.91N/AN/A023,6262,184
2020-07-24$25.63$26.0025.3%7.2%20.7%17.8%29.8%9.1%-0.6%194.1K-2.4M-17.4K4.4822.89N/AN/A612733,6262,186
2020-07-27$25.90$26.0025.3%7.3%19.8%17.9%30.0%8.6%-0.1%200.1K-2.9M-19.9K0.1025.93N/AN/A138143,6822,458
2020-07-28$25.69$25.0026.0%7.5%19.7%18.7%24.8%7.4%-1.1%180.0K-2.3M-18.6K1.1916.94N/AN/A32383,7992,466
2020-07-29$25.97$26.0028.8%8.2%19.7%22.1%39.5%10.9%-2.1%186.7K-2.9M-19.8K4.7040.87N/AN/A271273,8572,472
2020-07-30$25.23$26.0032.3%9.3%22.9%26.5%31.1%8.5%-0.8%100.2K-969.6K-20.8K6.1420.34N/AN/A1046393,8813,149
2020-07-31$24.69$26.0030.9%8.9%23.4%24.7%29.7%9.5%-0.6%13.0K726.3K-21.7K0.0116.49N/AN/A33043,9813,778