EWI Options History — June 2021

In June 2021, EWI traded between $32.34 and $34.49. ATM implied volatility averaged 15.7%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.4% (HV 20d: 15.3%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.08.

Notable Days

  • 2021-06-02: Highest Volume — 2,078 contracts
  • 2021-06-04: Largest IV drop — 22.4% change
  • 2021-06-18: Highest IV Rank — 21.7%
  • 2021-06-18: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.39$32.34$34.49$33.86$32.34
Max Pain$31.23$30.00$33.00$30.00$31.00
ATM IV15.7%13.3%18.9%16.5%16.5%
Expected Move4.6%4.1%5.4%4.7%4.7%
HV 20d15.3%13.5%18.3%18.3%16.4%
HV 60d16.6%16.0%17.6%16.3%16.9%
IV Rank13.0%6.3%21.7%15.1%15.1%
IV Percentile5.6%0.4%19.4%3.6%9.5%
Term Structure2.1%0.2%4.3%1.0%1.4%
VWIV16.2%14.2%19.9%15.2%19.1%
Skew 25d4.7%2.2%9.0%7.8%3.4%
Skew 10d11.5%2.0%26.9%4.3%12.3%
Call IV 25d14.5%10.3%16.9%13.3%16.2%
Put IV 25d19.1%16.0%22.2%21.1%19.5%
Bid-Ask Spread %43.539.4591.7667.9524.54
Gamma HHI0.420.280.560.390.35
Net GEX745.4K471.4K1.2M1.1M471.4K
Net DEX-5.6M-9.6M-2.7M-9.6M-2.7M
Net VEX-15.2K-18.4K-12.2K-18.0K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.580.010.00
Total Volume479.22742,078205157
Total OI4,768.6363,9385,8915,3525,049

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$33.86$30.0016.5%4.7%18.3%15.1%15.2%7.8%1.0%1.1M-9.6M-18.0K0.0167.95N/AN/A20234,863489
2021-06-02$33.81$31.0016.6%4.8%15.7%15.4%19.9%2.7%0.2%1.2M-9.5M-18.4K0.0027.39N/AN/A2,07804,971491
2021-06-03$33.75$33.0017.1%4.7%14.8%16.7%0.0%2.4%2.7%788.8K-6.7M-15.4K0.0176.22N/AN/A8813,922491
2021-06-04$34.10$33.0013.3%4.5%14.9%6.3%0.0%3.4%2.3%778.5K-7.8M-14.0K0.0069.20N/AN/A12203,952491
2021-06-07$34.48$33.0013.5%4.7%14.8%6.9%15.6%2.2%2.8%885.5K-8.8M-14.6K0.0076.82N/AN/A23404,073491
2021-06-08$34.49$31.0013.5%4.8%14.8%6.8%14.2%9.0%3.8%824.7K-9.3M-15.1K0.0019.39N/AN/A19704,265491
2021-06-09$34.23$31.0015.4%4.4%14.4%12.0%18.0%2.7%1.6%684.6K-7.1M-13.7K0.0043.29N/AN/A67103,823491
2021-06-10$33.64$31.0016.1%4.6%15.3%13.9%18.4%4.7%2.4%506.3K-5.1M-14.6K0.0827.47N/AN/A384323,447491
2021-06-11$33.68$31.0014.9%4.3%14.9%10.6%17.7%6.6%4.3%522.4K-5.5M-14.9K0.5846.78N/AN/A2101223,695512
2021-06-14$33.72$31.0015.3%4.4%14.0%11.8%14.3%4.4%2.8%594.6K-5.7M-15.3K0.1351.41N/AN/A120163,837623
2021-06-15$33.78$31.0015.3%4.4%14.0%11.9%0.0%4.4%2.3%648.6K-5.9M-15.3K0.0118.75N/AN/A37133,902639
2021-06-16$33.56$31.0015.5%4.4%14.2%12.3%14.7%6.6%2.8%625.9K-5.6M-16.3K0.2391.76N/AN/A131304,035639
2021-06-17$33.11$31.0015.7%4.5%13.5%13.0%14.5%4.2%2.4%569.8K-4.3M-14.7K0.0134.31N/AN/A1,20864,006659
2021-06-18$32.43$31.0018.9%5.4%14.8%21.7%16.5%5.3%2.2%646.2K-3.8M-15.9K0.0526.34N/AN/A214105,227664
2021-06-21$32.93$31.0017.3%5.0%15.5%17.4%15.1%6.5%0.6%806.0K-4.3M-17.1K0.0021.79N/AN/A10904,471345
2021-06-22$32.86$31.0014.4%4.1%15.3%9.3%14.5%4.0%3.6%777.4K-3.7M-15.0K0.0050.37N/AN/A28204,572345
2021-06-23$32.49$31.0017.6%5.0%15.7%18.1%15.1%3.7%1.6%639.4K-3.1M-13.4K0.3735.33N/AN/A7882884,453345
2021-06-24$33.00$31.0016.2%4.6%16.6%14.2%0.0%6.8%0.6%890.1K-4.2M-15.4K0.0037.28N/AN/A404,512345
2021-06-25$33.08$31.0015.4%4.4%16.1%12.0%14.7%4.9%2.4%967.0K-4.3M-15.3K0.0079.71N/AN/A3104,516345
2021-06-28$32.66$31.0015.6%4.5%16.6%12.6%17.9%4.5%1.3%714.3K-3.1M-12.2K0.039.45N/AN/A886264,538345
2021-06-29$32.67$31.0015.7%4.5%16.2%12.8%19.1%2.3%1.2%703.3K-3.6M-16.0K0.2422.18N/AN/A1,2242954,678371
2021-06-30$32.34$31.0016.5%4.7%16.4%15.1%0.0%3.4%1.4%471.4K-2.7M-13.8K0.0024.54N/AN/A15704,678371