EWI Options History — November 2020

In November 2020, EWI traded between $23.28 and $29.12. ATM implied volatility averaged 27.5%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 4.9% (HV 20d: 32.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 13.44.

Notable Days

  • 2020-11-17: Highest Volume — 408 contracts
  • 2020-11-09: Largest IV spike — 63.2% change
  • 2020-11-09: Highest IV Rank — 39.9%
  • 2020-11-02: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.06$23.28$29.12$23.28$28.69
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV27.5%20.6%43.2%39.9%23.4%
Expected Move7.4%5.9%11.4%11.4%6.7%
HV 20d32.4%24.1%36.7%27.3%25.1%
HV 60d25.6%22.4%26.5%22.4%25.9%
IV Rank19.9%11.0%39.9%35.7%14.5%
IV Percentile42.9%23.4%85.3%82.9%27.8%
Term Structure1.0%-6.3%29.8%-5.1%2.1%
VWIV29.7%21.9%43.5%43.5%21.9%
Skew 25d6.2%-4.9%10.6%10.5%-4.9%
Skew 10d15.3%2.8%27.0%27.0%2.8%
Call IV 25d23.6%19.2%34.2%34.2%30.7%
Put IV 25d29.8%23.2%44.7%44.7%25.8%
Bid-Ask Spread %62.8225.9895.3964.8285.61
Gamma HHI0.290.190.460.240.41
Net GEX176.1K-27.4K267.6K-27.4K224.5K
Net DEX-2.6M-4.3M510.0K510.0K-3.3M
Net VEX-7.0K-8.0K-6.0K-6.0K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.440.0080.0014.061.33
Total Volume8574082417
Total OI4,022.33,3874,5024,0573,388

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$23.28$25.0039.9%11.4%27.3%35.7%43.5%10.5%-5.1%-27.4K510.0K-6.0K14.0664.82N/AN/A162252,6741,383
2020-11-03$24.35$25.0036.7%10.5%32.2%31.9%40.4%10.6%-6.3%12.9K-158.2K-6.9K1.8070.21N/AN/A592,6741,383
2020-11-04$24.61$25.0028.4%8.1%32.0%21.6%36.9%6.1%-1.6%22.9K-460.2K-6.1K0.0095.39N/AN/A0612,6801,315
2020-11-05$25.30$25.0041.1%7.8%33.6%37.2%31.1%7.0%10.7%73.4K-1.1M-7.1K80.0070.29N/AN/A1802,6801,333
2020-11-06$25.62$25.0026.5%7.6%33.8%19.3%36.0%8.6%-2.2%100.9K-1.4M-7.6K22.2046.37N/AN/A51112,6801,406
2020-11-09$26.69$25.0043.2%7.7%36.7%39.9%29.2%5.0%-6.2%165.3K-2.5M-7.7K2.3387.40N/AN/A21492,6791,498
2020-11-10$26.97$25.0029.4%7.5%36.1%22.9%33.9%7.5%-4.7%204.7K-2.7M-8.0K60.0058.62N/AN/A1602,6781,543
2020-11-11$26.99$25.0024.1%6.9%36.1%16.3%24.8%7.6%10.9%223.5K-2.7M-8.0K0.7366.26N/AN/A30222,6571,560
2020-11-12$26.62$25.0025.5%7.3%35.1%17.1%41.6%7.3%-3.5%212.4K-2.2M-7.6K0.0030.53N/AN/A0212,6631,561
2020-11-13$27.31$25.0026.6%7.6%35.8%18.4%27.2%8.1%-5.6%249.9K-3.0M-7.3K3.8560.58N/AN/A13502,6631,587
2020-11-16$27.55$25.0024.2%6.9%35.5%15.5%29.1%5.1%-1.7%246.9K-3.4M-7.3K8.3376.25N/AN/A9752,6751,631
2020-11-17$27.88$25.0024.1%6.9%35.1%15.3%23.7%5.9%-1.6%237.3K-3.8M-7.2K0.0225.98N/AN/A40172,6761,653
2020-11-18$27.88$25.0023.8%6.8%33.8%15.0%28.2%6.9%-0.8%233.6K-4.0M-8.0K0.0981.02N/AN/A1112,8431,659
2020-11-19$28.12$25.0023.1%6.6%33.7%14.1%27.2%7.7%29.8%187.6K-4.3M-7.2K38.5046.19N/AN/A2772,8181,660
2020-11-20$28.12$25.0022.9%6.6%33.7%13.9%23.5%5.1%-0.0%190.1K-3.2M-6.8K0.0633.09N/AN/A175102,4181,729
2020-11-23$28.12$25.0023.3%6.7%32.4%14.3%26.4%7.2%-0.5%188.1K-3.1M-6.9K4.1143.22N/AN/A18742,4021,204
2020-11-24$28.85$25.0021.0%6.0%31.6%11.5%22.6%4.1%-0.4%256.8K-4.0M-6.5K0.5351.61N/AN/A1582,4191,169
2020-11-25$29.12$25.0020.6%5.9%24.3%11.0%23.8%4.1%0.6%267.6K-3.7M-6.1K0.0079.75N/AN/A2002,2431,175
2020-11-27$29.10$25.0022.2%6.4%24.1%13.0%22.1%4.0%5.8%250.8K-3.7M-6.1K4.0083.30N/AN/A282,2121,175
2020-11-30$28.69$25.0023.4%6.7%25.1%14.5%21.9%-4.9%2.1%224.5K-3.3M-6.2K1.3385.61N/AN/A342,2101,178