EWI Options History — August 2020

In August 2020, EWI traded between $25.14 and $26.53. ATM implied volatility averaged 25.3%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.7% (HV 20d: 21.7%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.81.

Notable Days

  • 2020-08-12: Highest Volume — 554 contracts
  • 2020-08-12: Largest IV drop — 16.5% change
  • 2020-08-11: Highest IV Rank — 21.6%
  • 2020-08-14: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.85$25.14$26.53$25.14$25.81
Max Pain$26.81$26.00$27.00$26.00$27.00
ATM IV25.3%21.7%28.3%28.0%28.1%
Expected Move7.2%6.2%8.1%8.0%8.1%
HV 20d21.7%17.4%24.2%23.9%17.4%
HV 60d28.7%25.2%31.7%31.7%25.2%
IV Rank17.9%13.4%21.6%21.2%21.3%
IV Percentile54.7%47.6%61.1%61.1%60.3%
Term Structure1.7%-1.1%6.0%-1.1%-0.7%
VWIV28.8%23.8%37.5%37.5%29.0%
Skew 25d7.6%5.0%10.1%8.2%5.0%
Skew 10d17.4%7.2%23.4%13.9%21.0%
Call IV 25d22.6%20.7%26.8%25.6%26.8%
Put IV 25d30.2%28.2%33.8%33.8%31.7%
Bid-Ask Spread %30.5912.5081.0812.5066.48
Gamma HHI0.350.290.420.330.32
Net GEX74.2K-88.1K265.8K53.3K-72.1K
Net DEX-1.2M-3.3M-23.5K-210.7K-694.3K
Net VEX-22.3K-25.5K-19.5K-23.6K-19.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.009.576.600.56
Total Volume79.61935543828
Total OI7,854.0486,8478,5528,0327,008

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$25.14$26.0028.0%8.0%23.9%21.2%37.5%8.2%-1.1%53.3K-210.7K-23.6K6.6012.50N/AN/A5334,2523,780
2020-08-04$25.45$26.0025.1%7.2%24.1%17.6%27.8%5.5%1.8%89.3K-834.3K-23.7K9.5719.35N/AN/A232204,2523,813
2020-08-05$25.74$26.0023.7%6.8%24.2%15.9%25.8%7.3%0.6%120.6K-1.5M-25.5K5.0019.54N/AN/A211054,2534,002
2020-08-06$25.59$26.0023.3%6.9%22.0%15.4%34.0%9.1%4.3%100.3K-961.7K-24.9K0.7977.85N/AN/A24194,2724,080
2020-08-07$25.38$27.0027.0%7.6%21.3%20.0%33.1%7.1%2.7%63.8K-262.7K-24.1K1.6081.08N/AN/A15244,2764,073
2020-08-10$25.55$27.0024.5%6.7%21.1%16.9%0.0%8.3%4.9%102.5K-756.7K-23.5K0.0013.32N/AN/A084,2854,093
2020-08-11$25.89$27.0028.3%7.3%20.9%21.6%23.8%8.2%2.6%153.8K-1.9M-25.0K1.7323.75N/AN/A45784,2854,094
2020-08-12$26.53$27.0023.6%6.8%21.8%15.8%26.9%7.8%2.3%178.8K-3.3M-24.8K0.0212.69N/AN/A544104,2634,143
2020-08-13$26.24$27.0027.4%7.8%22.3%20.4%30.0%9.3%1.4%265.8K-2.9M-24.7K3.2515.15N/AN/A4134,4184,134
2020-08-14$26.01$27.0028.3%8.1%22.4%21.5%30.8%9.3%-0.2%102.6K-1.5M-23.3K0.0023.41N/AN/A303,9314,137
2020-08-17$25.99$27.0024.4%7.0%22.2%16.7%28.1%10.1%3.7%169.9K-1.5M-22.4K0.1518.48N/AN/A2033,9314,136
2020-08-18$26.02$27.0023.1%6.6%22.1%15.1%26.3%6.9%6.0%147.4K-1.7M-21.9K0.0014.59N/AN/A0263,9504,137
2020-08-19$26.06$27.0024.7%7.1%22.0%17.2%25.6%7.1%2.8%226.2K-1.9M-21.3K0.0825.53N/AN/A3733,9504,159
2020-08-20$25.87$27.0025.1%7.2%21.4%17.6%24.9%7.3%4.4%253.7K-1.1M-20.7K0.5021.53N/AN/A633,9784,155
2020-08-21$25.59$27.0021.7%6.2%21.5%13.4%27.4%6.2%0.8%-88.1K-23.5K-19.7K1.2319.69N/AN/A13163,9824,153
2020-08-24$26.09$27.0024.8%7.1%22.3%17.2%30.9%7.2%-0.2%-53.5K-1.0M-20.3K0.0015.70N/AN/A5603,2333,614
2020-08-25$26.04$27.0024.4%7.0%22.1%16.7%28.2%7.5%-0.7%-61.5K-959.8K-20.2K0.5917.18N/AN/A41243,2793,615
2020-08-26$26.13$27.0024.3%7.0%21.8%16.7%0.0%7.3%-0.6%-55.5K-1.2M-19.9K0.0013.07N/AN/A0103,3203,603
2020-08-27$25.74$27.0025.2%7.2%19.8%17.7%28.0%6.9%0.6%-77.3K-517.6K-19.5K0.7772.91N/AN/A26203,3153,613
2020-08-28$25.98$27.0026.6%7.6%18.1%19.4%29.5%8.7%0.4%-62.8K-854.7K-19.9K0.1658.62N/AN/A126203,3383,630
2020-08-31$25.81$27.0028.1%8.1%17.4%21.3%29.0%5.0%-0.7%-72.1K-694.3K-19.6K0.5666.48N/AN/A18103,3783,630