EWI Options History — January 2021

In January 2021, EWI traded between $28.38 and $30.55. ATM implied volatility averaged 25.0%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 8.5% (HV 20d: 16.5%). Max pain ranged from $26.00 to $32.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 5.15.

Notable Days

  • 2021-01-14: Highest Volume — 8,016 contracts
  • 2021-01-15: Largest IV spike — 38.1% change
  • 2021-01-15: Highest IV Rank — 20.6%
  • 2021-01-15: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.60$28.38$30.55$29.70$28.38
Max Pain$29.47$26.00$32.00$26.00$32.00
ATM IV25.0%20.9%28.9%27.3%26.9%
Expected Move7.0%6.0%8.3%7.3%7.7%
HV 20d16.5%14.0%22.0%14.2%22.0%
HV 60d23.3%20.8%24.5%24.2%22.1%
IV Rank15.5%10.6%20.6%19.3%16.8%
IV Percentile30.5%10.7%52.4%43.7%40.1%
Term Structure2.5%-6.3%10.3%3.0%2.8%
VWIV27.9%18.9%39.5%22.4%39.1%
Skew 25d10.1%4.4%22.5%6.1%18.0%
Skew 10d18.8%6.7%25.8%16.7%17.9%
Call IV 25d20.0%13.2%24.0%20.5%16.7%
Put IV 25d30.2%25.5%41.6%26.6%34.6%
Bid-Ask Spread %91.0338.54104.62104.62104.11
Gamma HHI0.220.170.270.180.22
Net GEX37.6K27.1K56.9K30.9K27.2K
Net DEX1.6M-3.0M4.9M3.2K4.9M
Net VEX-8.9K-12.9K-5.5K-12.9K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.150.0048.000.9148.00
Total Volume463.68408,0162149
Total OI5,363.7375,2725,5115,2755,504

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$29.70$26.0027.3%7.3%14.2%19.3%22.4%6.1%3.0%30.9K3.2K-12.9K0.91104.62N/AN/A11102,7912,484
2021-01-05$29.89$26.0027.5%7.4%14.0%19.6%0.0%4.4%-0.1%41.2K-284.2K-11.7K0.0094.89N/AN/A082,7902,488
2021-01-06$30.55$26.0025.0%6.6%15.6%16.5%34.0%14.7%-1.3%42.3K-3.0M-11.2K0.0459.67N/AN/A2612,7902,496
2021-01-07$30.40$26.0025.9%6.7%15.8%17.6%0.0%10.2%3.5%32.6K-2.7M-11.4K0.0095.60N/AN/A002,7752,497
2021-01-08$30.30$26.0023.5%6.6%15.8%14.6%0.0%10.6%5.5%35.4K-2.8M-10.9K0.0097.48N/AN/A0252,7752,497
2021-01-11$30.05$26.0025.8%6.6%16.1%17.5%31.3%12.3%10.3%38.0K-1.5M-9.0K0.0096.90N/AN/A032,7622,517
2021-01-12$29.94$27.0025.2%6.4%15.6%16.7%24.6%9.3%9.1%38.2K-878.4K-8.8K0.3993.77N/AN/A31122,7622,520
2021-01-13$29.97$28.0022.2%6.4%15.1%12.7%22.5%22.5%8.1%40.1K-803.6K-8.0K0.8495.18N/AN/A107902,7632,512
2021-01-14$29.95$29.0020.9%6.0%14.1%10.6%18.9%7.6%8.9%56.9K-594.8K-7.4K1.0098.06N/AN/A4,0004,0162,8702,602
2021-01-15$29.35$32.0028.9%8.3%16.1%20.6%23.5%9.2%1.2%30.6K3.5M-12.3K0.7394.52N/AN/A33242,8712,618
2021-01-19$29.70$32.0021.4%6.1%16.3%11.2%24.5%7.6%1.7%39.6K4.2M-8.9K0.2791.99N/AN/A1132,8132,470
2021-01-20$29.90$32.0021.7%6.2%16.1%10.6%21.5%11.1%-0.4%45.0K4.6M-6.5K0.0038.54N/AN/A2502,8172,473
2021-01-21$29.73$32.0026.1%7.5%15.5%16.1%35.0%5.9%-6.3%51.4K3.5M-11.2K0.0092.82N/AN/A012,8522,473
2021-01-22$29.35$32.0024.1%6.9%16.2%13.2%26.7%7.3%1.7%40.0K4.3M-8.3K3.0095.09N/AN/A411232,8522,474
2021-01-25$28.80$32.0025.0%7.2%16.7%14.3%24.7%8.2%-0.5%28.6K4.8M-6.3K0.6188.39N/AN/A83512,8932,582
2021-01-26$29.20$32.0024.2%6.9%17.5%13.4%29.6%8.3%1.0%36.0K4.5M-7.3K0.0090.81N/AN/A0102,9162,595
2021-01-27$28.38$32.0028.7%8.2%19.9%19.1%39.5%10.5%-0.8%27.1K4.8M-6.6K6.00102.38N/AN/A162,9162,595
2021-01-28$28.91$32.0025.1%7.2%21.2%14.5%28.0%8.6%1.0%33.3K4.8M-5.8K0.0094.65N/AN/A092,9172,589
2021-01-29$28.38$32.0026.9%7.7%22.0%16.8%39.1%18.0%2.8%27.2K4.9M-5.5K48.00104.11N/AN/A1482,9172,587