EWI Options History — September 2020

In September 2020, EWI traded between $24.10 and $25.99. ATM implied volatility averaged 27.8%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 7.8% (HV 20d: 20.1%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 6.96.

Notable Days

  • 2020-09-10: Highest Volume — 271 contracts
  • 2020-09-08: Largest IV spike — 27.2% change
  • 2020-09-08: Highest IV Rank — 29.9%
  • 2020-09-03: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.13$24.10$25.99$25.62$24.43
Max Pain$26.10$25.00$28.00$27.00$25.00
ATM IV27.8%23.3%35.1%28.2%28.6%
Expected Move7.9%6.7%9.1%8.1%8.2%
HV 20d20.1%17.2%22.3%17.2%21.8%
HV 60d21.8%20.3%25.6%25.1%21.0%
IV Rank21.0%15.4%29.9%21.4%21.9%
IV Percentile57.5%43.3%79.0%60.3%58.7%
Term Structure3.4%-3.2%15.6%-0.7%6.0%
VWIV29.9%18.7%40.3%28.5%28.8%
Skew 25d8.3%4.5%14.1%7.8%4.5%
Skew 10d18.7%9.5%29.2%10.2%9.5%
Call IV 25d24.5%19.7%28.2%27.5%27.7%
Put IV 25d32.8%27.9%39.7%35.3%32.3%
Bid-Ask Spread %47.7117.8087.7986.4687.79
Gamma HHI0.370.160.770.340.16
Net GEX-103.4K-559.8K46.0K-89.8K33.8K
Net DEX-245.1K-935.1K696.1K-514.1K-460.8K
Net VEX-12.5K-20.2K-8.2K-20.2K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.960.0062.000.764.00
Total Volume73.7140271440
Total OI5,313.2863,0127,0027,0023,070

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$25.62$27.0028.2%8.1%17.2%21.4%28.5%7.8%-0.7%-89.8K-514.1K-20.2K0.7686.46N/AN/A25193,3713,631
2020-09-02$25.99$27.0027.5%7.9%17.4%20.5%26.2%12.0%-2.2%-87.8K-935.1K-18.9K1.1477.19N/AN/A783,3463,625
2020-09-03$25.36$26.0033.0%9.1%19.5%27.4%36.4%8.3%0.1%-103.0K56.3K-18.6K0.6573.41N/AN/A48313,3413,617
2020-09-04$25.57$26.0027.6%8.1%19.5%20.7%31.4%14.1%2.9%-116.4K-309.4K-18.7K0.0685.09N/AN/A206133,3373,633
2020-09-08$25.19$26.0035.1%8.4%20.1%29.9%40.3%10.3%2.6%-159.5K696.1K-15.4K0.0031.58N/AN/A0413,1683,630
2020-09-09$25.78$26.0026.2%7.5%21.3%18.9%0.0%11.0%5.4%-125.6K-342.4K-15.6K0.0051.05N/AN/A16103,1663,666
2020-09-10$25.55$26.0027.7%7.9%19.3%20.8%34.8%4.9%-3.2%-154.8K-60.6K-15.0K0.0451.57N/AN/A260113,0283,666
2020-09-11$25.70$26.0024.2%6.9%19.2%16.5%0.0%10.0%3.9%-197.2K100.5K-13.0K0.0028.65N/AN/A502,7743,666
2020-09-14$25.66$26.0024.1%6.9%19.0%16.3%30.1%7.6%2.6%-217.0K21.6K-12.5K10.3331.30N/AN/A3312,7673,664
2020-09-15$25.81$26.0023.5%6.7%19.1%15.6%18.7%7.0%5.0%-186.1K-358.6K-12.5K62.0033.79N/AN/A1622,7663,695
2020-09-16$25.70$28.0023.3%6.7%19.2%15.4%0.0%6.3%4.7%-202.8K-331.0K-12.2K0.0046.18N/AN/A052,7533,747
2020-09-17$25.56$28.0023.3%6.7%19.2%15.4%29.8%8.3%15.6%-242.5K-162.1K-11.3K5.5038.44N/AN/A2112,7493,742
2020-09-18$25.29$27.0028.1%8.0%19.4%21.2%29.3%9.4%1.9%-559.8K144.3K-10.4K18.5038.12N/AN/A4742,7523,737
2020-09-21$24.47$27.0029.7%8.5%22.3%23.2%31.9%8.0%3.6%46.0K-448.5K-8.8K7.0017.80N/AN/A221542,295717
2020-09-22$24.43$26.0029.1%8.3%20.8%22.5%25.4%7.8%3.4%31.2K-323.9K-8.5K0.2317.92N/AN/A79182,280839
2020-09-23$24.10$25.0029.5%8.5%21.1%23.0%25.0%10.0%4.2%29.3K-301.9K-8.6K0.3723.36N/AN/A120442,223827
2020-09-24$24.34$25.0029.6%8.5%21.5%23.1%29.7%5.9%4.1%31.3K-356.1K-8.7K0.0051.40N/AN/A0152,228838
2020-09-25$24.11$25.0028.7%8.2%21.2%22.0%31.4%9.9%3.3%26.1K-231.3K-8.2K0.8019.64N/AN/A30242,228845
2020-09-28$24.52$25.0028.1%8.1%21.9%21.3%0.0%4.7%3.2%37.4K-529.4K-8.6K0.0070.18N/AN/A092,248830
2020-09-29$24.48$25.0029.6%8.5%21.9%23.2%28.8%6.3%3.8%36.0K-501.3K-8.4K4.0041.04N/AN/A142,248826
2020-09-30$24.43$25.0028.6%8.2%21.8%21.9%0.0%4.5%6.0%33.8K-460.8K-8.3K0.0087.79N/AN/A002,248822