EWI Options History — September 2021

In September 2021, EWI traded between $31.30 and $33.25. ATM implied volatility averaged 18.4%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 4.0% (HV 20d: 14.4%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2021-09-28: Highest Volume — 100 contracts
  • 2021-09-03: Largest IV spike — 63.5% change
  • 2021-09-20: Highest IV Rank — 37.4%
  • 2021-09-20: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.47$31.30$33.25$33.25$31.70
Max Pain$32.62$30.00$33.00$30.00$32.00
ATM IV18.4%13.1%24.3%15.8%21.3%
Expected Move5.3%4.3%7.0%4.5%6.1%
HV 20d14.4%11.0%18.5%13.1%18.0%
HV 60d17.0%16.0%17.9%17.1%17.9%
IV Rank20.9%5.9%37.4%13.5%29.0%
IV Percentile34.9%1.6%73.4%16.3%54.8%
Term Structure3.7%-1.9%32.0%1.5%-0.1%
VWIV20.3%14.5%28.0%17.0%28.0%
Skew 25d8.1%3.6%13.4%7.8%11.8%
Skew 10d12.1%4.2%21.7%6.7%10.1%
Call IV 25d14.7%9.1%23.3%9.8%15.2%
Put IV 25d22.8%17.6%36.7%17.6%27.0%
Bid-Ask Spread %65.6329.23118.9533.2629.23
Gamma HHI0.420.210.710.410.29
Net GEX274.8K43.0K534.6K434.7K63.6K
Net DEX-1.7M-3.5M-257.7K-3.4M-572.8K
Net VEX-5.2K-8.2K-3.0K-8.2K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.007.007.000.00
Total Volume17.476010001
Total OI2,325.3331,1773,1233,1181,352

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$33.25$30.0015.8%4.5%13.1%13.5%0.0%7.8%1.5%434.7K-3.4M-8.2K0.0033.26N/AN/A002,646472
2021-09-02$33.25$33.0013.1%4.9%12.9%5.9%17.0%7.4%1.9%473.9K-3.5M-7.5K7.0076.28N/AN/A172,646472
2021-09-03$33.15$33.0021.4%5.0%12.7%29.2%0.0%10.9%3.2%458.6K-3.1M-7.7K0.0087.60N/AN/A002,646472
2021-09-07$32.90$33.0016.5%5.1%13.0%15.4%0.0%4.8%1.8%454.5K-3.0M-6.7K0.0046.97N/AN/A002,646472
2021-09-08$32.68$33.0017.0%4.9%13.2%16.9%0.0%5.9%2.1%486.2K-2.6M-6.2K0.0046.88N/AN/A1002,647472
2021-09-09$32.66$33.0017.1%4.9%12.0%17.3%17.9%6.0%2.6%475.1K-2.5M-6.2K0.6753.96N/AN/A642,647472
2021-09-10$32.32$33.0019.8%5.7%12.4%24.8%0.0%9.8%-0.9%317.2K-2.2M-6.0K0.0057.60N/AN/A002,645472
2021-09-13$32.69$33.0016.4%4.7%12.9%15.3%0.0%8.8%1.5%511.0K-2.4M-5.2K0.0050.75N/AN/A1402,647476
2021-09-14$32.69$33.0017.7%5.1%12.8%18.9%0.0%9.0%6.8%464.8K-2.5M-5.7K0.0057.97N/AN/A1602,647476
2021-09-15$32.59$33.0015.0%4.3%11.1%11.3%14.5%7.2%3.1%477.4K-2.1M-4.6K0.6082.55N/AN/A532,637476
2021-09-16$32.64$33.0017.1%4.9%11.0%17.2%17.5%7.4%32.0%534.6K-2.1M-4.3K0.4054.35N/AN/A1042,636476
2021-09-17$32.19$33.0019.7%5.7%11.2%24.6%18.9%3.6%1.3%70.2K-1.5M-3.5K0.0063.97N/AN/A3402,631473
2021-09-20$31.30$33.0024.3%7.0%14.8%37.4%26.8%12.7%-0.5%44.6K-257.7K-3.0K0.0899.68N/AN/A1311,004173
2021-09-21$31.78$33.0021.1%6.1%15.7%28.4%0.0%7.2%-1.9%57.9K-381.4K-3.6K0.0075.40N/AN/A7701,013173
2021-09-22$32.23$33.0019.0%5.4%16.7%22.4%23.8%13.4%21.1%43.0K-835.4K-5.6K0.00118.95N/AN/A1901,014174
2021-09-23$32.75$33.0016.7%4.8%17.8%16.0%18.5%6.8%-0.5%91.4K-788.6K-4.1K1.2954.28N/AN/A17221,091174
2021-09-24$32.56$32.0017.5%5.0%17.5%18.5%0.0%6.9%1.0%87.7K-777.6K-4.3K0.0033.15N/AN/A021,111174
2021-09-27$32.65$32.0017.1%4.9%17.0%17.3%0.0%7.8%1.8%89.6K-846.0K-4.6K0.0092.60N/AN/A101,128196
2021-09-28$31.97$32.0022.2%6.4%18.5%31.5%0.0%8.7%-1.1%70.4K-641.3K-4.4K0.0091.87N/AN/A10001,128198
2021-09-29$31.86$32.0020.9%6.0%18.5%27.9%0.0%5.8%0.7%63.9K-551.5K-3.9K0.0070.88N/AN/A001,129198
2021-09-30$31.70$32.0021.3%6.1%18.0%29.0%28.0%11.8%-0.1%63.6K-572.8K-4.2K0.0029.23N/AN/A101,154198