EWI Options History — December 2020

In December 2020, EWI traded between $28.71 and $29.79. ATM implied volatility averaged 24.3%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 7.7% (HV 20d: 16.6%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.52.

Notable Days

  • 2020-12-14: Highest Volume — 4,064 contracts
  • 2020-12-31: Largest IV spike — 33.4% change
  • 2020-12-31: Highest IV Rank — 23.9%
  • 2020-12-04: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.22$28.71$29.79$28.99$29.40
Max Pain$29.27$26.00$30.00$26.00$30.00
ATM IV24.3%22.0%31.0%23.3%31.0%
Expected Move7.0%6.1%9.8%6.7%8.9%
HV 20d16.6%12.8%24.8%24.8%13.8%
HV 60d24.8%24.1%26.0%26.0%24.2%
IV Rank15.6%12.7%23.9%14.3%23.9%
IV Percentile30.1%19.4%63.1%25.8%63.1%
Term Structure0.4%-7.9%16.6%-1.0%-7.9%
VWIV26.4%20.3%40.0%28.1%32.7%
Skew 25d7.4%4.8%11.9%6.6%6.4%
Skew 10d15.3%8.4%24.6%16.5%10.0%
Call IV 25d21.1%17.7%23.4%21.0%23.1%
Put IV 25d28.5%25.6%32.4%27.6%29.5%
Bid-Ask Spread %72.9028.26105.9177.3878.85
Gamma HHI0.360.210.570.460.21
Net GEX148.7K26.3K278.3K234.7K32.1K
Net DEX-1.1M-3.2M2.2M-3.0M315.8K
Net VEX-11.2K-17.4K-5.0K-5.9K-14.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.520.137.007.001.50
Total Volume227.77304,064400
Total OI4,763.8643,1417,3413,2205,277

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$28.99$26.0023.3%6.7%24.8%14.3%28.1%6.6%-1.0%234.7K-3.0M-5.9K7.0077.38N/AN/A5352,0441,176
2020-12-02$29.01$26.0023.7%6.8%21.5%14.8%24.1%9.0%2.3%250.6K-2.9M-5.1K0.5072.24N/AN/A632,0431,198
2020-12-03$28.98$29.0024.1%6.3%21.7%15.4%0.0%6.3%0.3%242.8K-3.0M-5.7K0.00101.86N/AN/A052,0461,200
2020-12-04$29.23$29.0022.7%9.8%20.5%13.6%0.0%9.7%16.6%269.9K-3.2M-6.0K4.82105.91N/AN/A221062,0461,264
2020-12-07$29.05$29.0025.1%6.4%20.9%16.5%20.5%6.5%0.4%246.1K-2.8M-6.2K0.4591.76N/AN/A102462,0601,367
2020-12-08$29.13$29.0023.1%6.1%16.4%14.1%0.0%6.4%1.1%264.9K-2.8M-6.2K0.0088.26N/AN/A0142,1591,404
2020-12-09$29.07$29.0022.0%6.3%16.4%12.7%25.9%4.8%1.1%256.3K-2.5M-6.1K4.0092.77N/AN/A3122,1151,418
2020-12-10$29.27$29.0022.2%6.4%16.4%12.9%20.3%6.7%0.2%278.3K-2.7M-5.9K4.0828.26N/AN/A502042,1211,428
2020-12-11$28.96$29.0023.9%6.8%16.0%15.0%29.1%7.2%-1.4%257.9K-2.7M-5.2K1.8629.31N/AN/A7132,1711,264
2020-12-14$28.71$29.0023.2%6.7%14.5%14.2%22.4%7.1%1.3%155.1K-1.9M-5.0K1.0355.75N/AN/A2,0002,0641,8741,267
2020-12-15$29.20$30.0023.9%6.9%15.2%15.1%27.0%8.4%-0.1%226.1K-126.5K-17.0K4.0081.72N/AN/A5203,8743,322
2020-12-16$29.20$30.0023.9%6.9%14.9%15.1%23.8%6.9%-0.4%129.5K-60.3K-16.4K0.1358.72N/AN/A813,8723,326
2020-12-17$29.47$30.0023.3%6.7%15.0%14.3%22.0%6.2%0.1%179.2K-954.1K-17.4K5.8585.95N/AN/A261523,8723,327
2020-12-18$29.23$30.0023.9%6.9%15.4%15.1%23.9%7.8%0.7%33.6K123.2K-16.7K1.8235.13N/AN/A11203,8723,469
2020-12-21$28.86$30.0026.3%7.5%16.2%18.1%27.9%9.1%-0.5%27.1K2.2M-14.9K0.4086.96N/AN/A35142,7662,477
2020-12-22$29.03$30.0026.9%7.7%16.3%18.8%40.0%8.1%-0.9%26.3K1.6M-15.3K0.0051.98N/AN/A012,7912,491
2020-12-23$29.45$30.0025.4%7.3%14.5%16.9%28.8%7.2%-0.2%29.6K499.8K-16.2K0.3368.49N/AN/A312,7912,491
2020-12-24$29.44$30.0025.1%7.2%14.1%16.5%0.0%6.7%-0.6%30.6K694.7K-15.9K0.0088.11N/AN/A002,7902,492
2020-12-28$29.66$30.0024.1%6.9%14.3%15.3%26.3%6.1%-1.9%33.0K-276.5K-15.1K1.5090.13N/AN/A692,7902,492
2020-12-29$29.69$30.0024.9%7.1%13.2%16.3%0.0%8.6%-1.1%33.4K-560.4K-15.1K0.0099.56N/AN/A002,7912,488
2020-12-30$29.79$30.0023.2%6.7%12.8%14.3%32.7%11.9%-0.1%34.7K-524.1K-14.5K0.0034.66N/AN/A022,7912,488
2020-12-31$29.40$30.0031.0%8.9%13.8%23.9%0.0%6.4%-7.9%32.1K315.8K-14.1K0.0078.85N/AN/A002,7912,486