EWI Options History — August 2021

In August 2021, EWI traded between $32.31 and $33.90. ATM implied volatility averaged 14.7%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 1.1% (HV 20d: 15.8%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.59.

Notable Days

  • 2021-08-09: Highest Volume — 1,671 contracts
  • 2021-08-03: Largest IV drop — 20.8% change
  • 2021-08-02: Highest IV Rank — 22.9%
  • 2021-08-02: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.00$32.31$33.90$32.31$32.92
Max Pain$30.27$30.00$32.00$32.00$30.00
ATM IV14.7%12.6%19.1%19.1%14.0%
Expected Move4.3%3.6%5.5%5.5%4.0%
HV 20d15.8%11.9%21.9%21.7%12.6%
HV 60d17.3%16.8%17.9%17.9%17.0%
IV Rank10.4%4.5%22.9%22.9%8.5%
IV Percentile7.9%0.4%30.6%30.6%5.2%
Term Structure3.7%-3.1%26.4%-3.1%2.7%
VWIV19.0%13.8%40.7%19.3%18.1%
Skew 25d5.8%3.2%8.0%4.9%7.2%
Skew 10d7.6%-1.9%13.9%9.5%6.1%
Call IV 25d12.6%9.8%15.1%14.4%10.2%
Put IV 25d18.4%15.9%22.1%19.3%17.5%
Bid-Ask Spread %51.9013.8298.3792.0927.17
Gamma HHI0.390.250.490.460.46
Net GEX424.7K326.1K589.3K439.0K432.3K
Net DEX-3.5M-4.8M-2.4M-3.4M-2.9M
Net VEX-11.0K-15.4K-7.4K-15.2K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.0012.000.500.00
Total Volume87.95501,67131
Total OI3,5093,0934,1794,1693,118

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$32.31$32.0019.1%5.5%21.7%22.9%19.3%4.9%-3.1%439.0K-3.4M-15.2K0.5092.09N/AN/A213,529640
2021-08-03$32.59$32.0015.2%4.3%21.9%11.7%17.4%6.0%1.6%469.6K-3.7M-15.2K12.0013.82N/AN/A1123,532639
2021-08-04$32.55$32.0014.3%4.1%21.9%9.3%0.0%3.2%1.3%474.7K-3.8M-15.3K0.0097.68N/AN/A603,533639
2021-08-05$32.78$30.0012.6%4.6%19.8%4.7%0.0%5.8%3.0%501.5K-4.2M-15.4K0.0073.49N/AN/A003,533646
2021-08-06$32.99$30.0013.6%4.6%18.7%7.3%0.0%6.8%2.1%538.0K-4.6M-15.2K0.0025.60N/AN/A103,527646
2021-08-09$33.08$30.0014.1%4.4%18.5%8.8%15.2%4.8%3.4%554.2K-4.7M-14.6K0.0031.64N/AN/A1,67013,527641
2021-08-10$33.15$30.0012.6%4.4%17.6%4.5%15.8%4.2%3.5%589.3K-4.8M-14.5K0.0035.56N/AN/A0213,526648
2021-08-11$33.60$30.0013.7%3.9%18.1%7.6%16.5%8.0%3.6%362.3K-3.9M-11.2K4.1764.86N/AN/A12502,653648
2021-08-12$33.66$30.0014.4%4.1%17.0%9.6%0.0%8.0%2.9%374.2K-3.9M-10.8K0.0039.94N/AN/A002,653627
2021-08-13$33.90$30.0013.6%3.9%16.7%7.5%13.8%5.0%3.7%389.9K-4.4M-11.0K0.2365.99N/AN/A3172,662622
2021-08-16$33.68$30.0014.8%4.2%11.9%10.7%15.3%6.6%2.9%393.9K-4.0M-10.3K0.0027.12N/AN/A0172,659622
2021-08-17$33.06$30.0016.8%4.8%14.2%16.4%0.0%3.5%1.8%354.5K-3.1M-10.0K0.0034.37N/AN/A0112,649631
2021-08-18$33.17$30.0016.7%4.8%12.5%16.2%40.7%4.4%2.1%362.8K-3.3M-10.0K0.0038.94N/AN/A0102,654620
2021-08-19$32.74$30.0017.6%5.0%13.6%18.5%20.8%7.0%26.4%326.1K-2.8M-9.6K0.0036.63N/AN/A2002,654621
2021-08-20$32.70$30.0015.3%4.4%13.3%12.2%0.0%4.7%2.5%341.0K-2.7M-8.8K0.0036.86N/AN/A012,654611
2021-08-23$32.91$30.0015.7%4.5%13.0%13.3%16.2%3.2%1.5%385.3K-2.9M-8.7K0.2798.37N/AN/A1542,647447
2021-08-24$32.92$30.0014.1%4.1%12.7%8.9%0.0%7.0%2.4%403.2K-2.8M-8.3K0.0061.07N/AN/A0162,647446
2021-08-25$32.93$30.0012.7%3.6%12.4%4.8%0.0%6.7%8.6%443.9K-2.8M-7.4K3.0048.67N/AN/A132,647450
2021-08-26$32.57$30.0014.5%4.2%12.7%10.0%18.1%7.1%3.3%361.8K-2.4M-7.8K0.5044.68N/AN/A632,647466
2021-08-27$32.95$30.0014.1%4.1%13.1%8.9%0.0%7.1%2.9%416.8K-2.8M-7.7K0.0051.14N/AN/A1202,648469
2021-08-30$32.90$30.0013.6%3.9%13.0%7.4%0.0%7.1%3.1%429.4K-2.9M-7.8K0.0096.11N/AN/A002,648472
2021-08-31$32.92$30.0014.0%4.0%12.6%8.5%0.0%7.2%2.7%432.3K-2.9M-7.7K0.0027.17N/AN/A102,646472