EWI Options History — October 2021

In October 2021, EWI traded between $31.73 and $33.62. ATM implied volatility averaged 18.8%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.1% (HV 20d: 16.7%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2021-10-22: Highest Volume — 1,146 contracts
  • 2021-10-11: Largest IV spike — 40.3% change
  • 2021-10-11: Highest IV Rank — 49.3%
  • 2021-10-08: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.75$31.73$33.62$31.89$33.45
Max Pain$31.33$31.00$33.00$32.00$31.00
ATM IV18.8%14.0%28.5%20.9%17.1%
Expected Move5.2%4.0%6.1%6.0%4.9%
HV 20d16.7%11.9%20.1%18.2%12.1%
HV 60d15.5%14.7%17.1%17.1%14.7%
IV Rank21.9%8.6%49.3%27.9%17.1%
IV Percentile38.8%6.0%92.5%52.4%30.2%
Term Structure0.9%-1.3%5.6%-0.3%1.2%
VWIV15.9%13.4%23.3%23.3%15.6%
Skew 25d6.5%2.0%12.7%9.7%5.3%
Skew 10d10.6%1.8%22.5%1.8%7.0%
Call IV 25d14.5%9.5%19.2%13.3%13.3%
Put IV 25d21.0%11.5%28.8%23.0%18.6%
Bid-Ask Spread %59.1114.41105.5083.7645.05
Gamma HHI0.340.290.400.300.39
Net GEX100.0K63.6K130.2K72.5K129.8K
Net DEX-858.4K-1.1M-580.0K-651.8K-1.0M
Net VEX-4.0K-4.3K-3.7K-4.2K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.001.251.250.54
Total Volume280.1901,1460463
Total OI1,351.191,2971,3651,3521,361

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$31.89$32.0020.9%6.0%18.2%27.9%0.0%9.7%-0.3%72.5K-651.8K-4.2K0.0083.76N/AN/A001,154198
2021-10-04$31.73$33.0023.0%6.1%18.2%33.8%0.0%7.8%0.1%63.6K-580.0K-3.9K0.0053.36N/AN/A001,155198
2021-10-05$32.18$33.0019.7%6.0%19.0%24.4%23.3%7.2%-1.3%75.5K-682.7K-4.0K1.2565.57N/AN/A8101,155198
2021-10-06$31.80$33.0021.6%5.8%19.3%29.8%0.0%4.3%0.4%70.2K-632.6K-4.0K0.0078.41N/AN/A001,155198
2021-10-07$32.09$31.0024.7%5.9%19.6%38.6%0.0%10.2%-1.1%77.3K-710.1K-4.2K0.0064.16N/AN/A101,157208
2021-10-08$32.25$31.0020.3%6.1%19.4%26.3%0.0%6.1%-1.3%81.5K-763.9K-4.3K0.0047.76N/AN/A001,157208
2021-10-11$31.94$31.0028.5%6.1%19.2%49.3%0.0%12.7%-0.5%70.1K-634.3K-3.8K0.0094.59N/AN/A001,157208
2021-10-12$32.10$31.0022.5%6.0%19.3%32.4%0.0%7.8%0.1%76.8K-687.6K-3.9K0.0052.68N/AN/A001,157208
2021-10-13$32.34$31.0020.2%5.8%19.5%25.9%0.0%8.2%1.7%84.9K-768.2K-4.0K0.00105.50N/AN/A001,157208
2021-10-14$32.78$31.0018.8%5.4%20.1%22.0%0.0%9.3%-0.7%103.7K-914.7K-4.0K0.0069.54N/AN/A001,157208
2021-10-15$33.02$31.0018.3%5.2%19.5%20.6%0.0%6.7%0.9%114.1K-1.0M-4.1K0.0054.94N/AN/A3201,157208
2021-10-18$32.84$31.0016.9%4.8%16.4%16.6%0.0%4.1%1.2%98.0K-836.5K-3.7K0.0020.12N/AN/A201,127170
2021-10-19$33.03$31.0014.4%4.1%15.8%9.6%0.0%2.0%4.0%107.1K-909.1K-3.7K0.0063.44N/AN/A0321,129170
2021-10-20$33.42$31.0014.0%4.0%15.6%8.6%14.8%2.8%3.8%128.1K-1.0M-3.8K0.1853.01N/AN/A9401721,129202
2021-10-21$33.33$31.0016.6%4.8%14.7%15.9%15.5%3.9%-0.7%125.3K-1.0M-3.9K0.1863.28N/AN/A9401721,144202
2021-10-22$33.37$31.0015.8%4.5%14.5%13.7%15.4%5.8%5.6%119.3K-1.0M-4.0K0.1984.73N/AN/A9641821,144202
2021-10-25$33.59$31.0014.4%4.1%14.6%9.6%14.6%7.0%3.7%123.7K-1.1M-4.0K0.3914.41N/AN/A4151621,136212
2021-10-26$33.62$31.0015.1%4.3%12.0%11.6%14.6%7.2%1.0%126.5K-1.0M-4.0K0.5433.70N/AN/A3011621,137222
2021-10-27$33.41$31.0017.0%4.9%12.2%16.9%13.4%4.9%1.3%121.5K-963.9K-3.9K0.5423.46N/AN/A3011621,139222
2021-10-28$33.59$31.0014.5%4.2%11.9%10.0%15.7%2.7%-1.1%130.2K-1.1M-4.1K0.5469.80N/AN/A3011621,139222
2021-10-29$33.45$31.0017.1%4.9%12.1%17.1%15.6%5.3%1.2%129.8K-1.0M-3.9K0.5445.05N/AN/A3011621,139222