EWI Options History — October 2020

In October 2020, EWI traded between $22.77 and $25.44. ATM implied volatility averaged 30.1%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 9.3% (HV 20d: 20.8%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 4.89.

Notable Days

  • 2020-10-23: Highest Volume — 1,372 contracts
  • 2020-10-13: Largest IV spike — 21.0% change
  • 2020-10-28: Highest IV Rank — 38.1%
  • 2020-10-28: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.55$22.77$25.44$24.41$22.77
Max Pain$25.45$25.00$26.00$25.00$25.00
ATM IV30.1%23.2%41.8%29.9%37.2%
Expected Move8.8%7.3%12.0%8.6%10.7%
HV 20d20.8%18.0%26.9%20.9%26.8%
HV 60d20.5%19.7%22.1%20.9%21.9%
IV Rank23.8%15.3%38.1%23.5%32.5%
IV Percentile60.8%37.7%84.9%63.9%80.2%
Term Structure-1.1%-6.2%4.4%4.4%-4.3%
VWIV33.6%22.0%52.6%29.9%52.6%
Skew 25d8.4%0.5%13.1%9.4%8.0%
Skew 10d18.4%8.6%32.9%8.9%19.3%
Call IV 25d25.3%16.9%37.2%22.2%34.5%
Put IV 25d33.7%22.9%47.7%31.6%42.5%
Bid-Ask Spread %61.1834.1189.0034.1183.02
Gamma HHI0.200.160.290.170.28
Net GEX44.0K-34.2K94.9K34.7K-34.2K
Net DEX-471.1K-1.0M792.0K-476.1K792.0K
Net VEX-7.4K-8.9K-5.7K-8.3K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.890.0133.301.600.34
Total Volume206.22711,37213268
Total OI3,356.6823,0214,3563,0704,017

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$24.41$25.0029.9%8.6%20.9%23.5%29.9%9.4%4.4%34.7K-476.1K-8.3K1.6034.11N/AN/A582,248822
2020-10-02$24.47$25.0029.2%8.4%19.4%22.6%29.2%10.2%3.9%32.5K-383.8K-7.7K5.0082.67N/AN/A152,244821
2020-10-05$24.91$26.0026.5%9.0%20.3%19.3%34.5%7.6%-0.4%45.3K-701.8K-8.2K0.0556.66N/AN/A292162,242814
2020-10-06$24.71$26.0030.3%8.6%19.9%24.0%0.0%12.7%-0.7%46.1K-765.2K-8.7K0.2065.71N/AN/A512,195826
2020-10-07$25.04$26.0025.4%8.2%18.5%18.0%0.0%7.9%0.4%45.2K-710.7K-7.7K0.0075.55N/AN/A0652,200825
2020-10-08$25.16$26.0023.2%7.9%18.4%15.3%0.0%8.0%-0.2%52.9K-812.6K-8.0K0.0046.76N/AN/A0242,200825
2020-10-09$25.23$26.0024.2%7.6%18.3%16.5%0.0%6.7%2.4%53.3K-851.3K-7.8K0.7063.54N/AN/A1072,200847
2020-10-12$25.44$26.0023.4%7.3%18.6%15.5%22.0%7.0%0.7%58.2K-910.3K-7.4K0.0158.70N/AN/A40432,190841
2020-10-13$25.04$26.0028.3%7.4%19.2%21.6%0.0%2.6%1.4%77.8K-865.2K-8.1K0.0066.42N/AN/A012,592841
2020-10-14$25.10$26.0027.8%8.0%19.2%20.9%27.7%0.5%-1.4%80.1K-877.9K-7.9K0.0059.93N/AN/A0132,592841
2020-10-15$24.46$26.0029.1%8.3%21.1%22.5%28.9%9.2%0.5%43.0K-436.8K-6.7K0.0053.20N/AN/A052,592845
2020-10-16$24.77$26.0027.9%8.0%21.5%21.1%28.9%5.9%-1.3%59.2K-714.5K-7.2K0.7764.41N/AN/A13102,592847
2020-10-19$24.61$25.0028.1%8.0%18.0%21.3%28.1%12.0%-2.1%69.5K-608.0K-6.7K1.4061.72N/AN/A572,587600
2020-10-20$25.15$25.0029.5%8.4%19.6%23.0%33.0%13.1%-5.1%83.1K-880.2K-6.9K0.0048.93N/AN/A0172,589605
2020-10-21$24.62$25.0030.8%8.8%20.5%24.6%32.6%8.8%-1.7%75.1K-707.4K-7.0K1.2834.91N/AN/A25322,589600
2020-10-22$24.68$25.0029.9%8.6%20.2%23.5%32.0%5.2%-2.3%73.1K-630.0K-6.7K0.0089.00N/AN/A0182,614629
2020-10-23$24.99$25.0030.8%8.8%20.3%24.5%37.2%12.5%-2.1%94.9K-1.0M-8.3K33.3049.21N/AN/A401,3322,614611
2020-10-26$24.49$25.0035.8%10.3%20.9%30.7%39.6%9.4%-3.6%-14.6K96.4K-8.9K0.0053.64N/AN/A01,1282,6341,722
2020-10-27$24.05$25.0035.5%10.2%21.9%30.4%33.4%9.4%-3.4%22.0K-68.7K-7.0K0.0448.55N/AN/A324142,6341,043
2020-10-28$22.99$25.0041.8%12.0%26.9%38.1%43.7%10.5%-6.2%-1.1K427.8K-6.2K18.8482.33N/AN/A193582,6561,040
2020-10-29$22.90$25.0038.2%11.0%26.9%33.7%38.4%8.9%-3.9%-27.1K720.3K-6.0K0.0066.97N/AN/A0622,6741,307
2020-10-30$22.77$25.0037.2%10.7%26.8%32.5%52.6%8.0%-4.3%-34.2K792.0K-5.7K0.3483.02N/AN/A200682,6741,343