EWI Options History — November 2021

In November 2021, EWI traded between $31.51 and $34.39. ATM implied volatility averaged 18.6%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 6.2% (HV 20d: 12.4%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2021-11-03: Highest Volume — 491 contracts
  • 2021-11-08: Largest IV spike — 61.4% change
  • 2021-11-26: Highest IV Rank — 50.3%
  • 2021-11-26: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.41$31.51$34.39$33.95$31.51
Max Pain$31.86$31.00$32.00$31.00$32.00
ATM IV18.6%13.4%28.9%18.5%22.6%
Expected Move5.3%3.9%8.3%5.3%6.5%
HV 20d12.4%10.3%18.0%12.5%16.9%
HV 60d15.0%14.3%16.5%14.9%16.5%
IV Rank21.4%6.9%50.3%21.0%32.5%
IV Percentile42.2%2.8%99.2%43.3%75.0%
Term Structure1.1%-2.0%6.2%-1.8%0.0%
VWIV17.8%12.0%30.7%16.5%24.8%
Skew 25d5.8%-0.2%21.6%10.1%1.3%
Skew 10d12.0%-4.8%43.4%3.5%6.9%
Call IV 25d14.3%9.3%23.9%15.3%23.9%
Put IV 25d20.2%13.1%36.3%25.4%25.2%
Bid-Ask Spread %84.3247.21118.29109.2189.49
Gamma HHI0.440.290.570.420.29
Net GEX129.4K15.1K186.2K156.3K15.1K
Net DEX-1.0M-1.6M-124.8K-1.3M-124.8K
Net VEX-3.2K-4.2K-1.8K-3.9K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.550.990.550.92
Total Volume396.095339491458343
Total OI1,410.2381,3831,4491,3861,443

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$33.95$31.0018.5%5.3%12.5%21.0%16.5%10.1%-1.8%156.3K-1.3M-3.9K0.55109.21N/AN/A2961621,164222
2021-11-02$33.84$31.0013.4%3.9%12.1%6.9%17.5%2.1%2.5%149.8K-1.3M-4.1K0.6050.88N/AN/A2961771,166222
2021-11-03$34.18$31.0020.7%5.9%11.1%27.4%20.9%3.8%6.2%163.8K-1.4M-4.0K0.56118.29N/AN/A3141771,166237
2021-11-04$34.05$32.0014.7%4.7%11.2%10.4%14.0%5.9%1.3%169.2K-1.4M-4.2K0.8253.32N/AN/A2151771,185237
2021-11-05$34.39$32.0015.9%4.5%11.4%13.9%12.7%5.2%3.2%186.2K-1.6M-3.8K0.8186.82N/AN/A2151741,185237
2021-11-08$34.28$32.0025.7%4.6%10.7%41.4%14.6%4.3%1.5%168.9K-1.5M-3.9K0.8161.57N/AN/A2151741,155238
2021-11-09$34.04$32.0016.6%6.2%11.3%15.8%16.0%-0.2%1.7%150.7K-1.4M-3.8K0.8184.14N/AN/A2151741,155238
2021-11-10$33.71$32.0018.5%5.3%12.0%21.1%15.9%3.1%0.4%146.6K-1.3M-3.9K0.8185.69N/AN/A2151741,155238
2021-11-11$33.88$32.0016.4%4.7%11.3%15.2%15.5%2.0%2.0%156.2K-1.2M-3.6K0.8161.84N/AN/A2151741,155238
2021-11-12$33.91$32.0014.8%4.2%11.1%10.7%12.0%8.3%2.2%166.6K-1.2M-3.2K0.81108.94N/AN/A2151741,155238
2021-11-15$33.89$32.0016.2%4.6%10.8%14.6%13.0%6.8%1.6%166.9K-1.3M-3.4K0.8184.23N/AN/A2171751,155238
2021-11-16$33.67$32.0016.2%4.6%11.1%14.6%14.8%3.7%2.1%154.1K-1.1M-3.0K0.8147.21N/AN/A2171751,167240
2021-11-17$33.64$32.0015.2%4.4%10.3%11.9%22.0%9.0%2.9%162.3K-1.1M-3.4K0.81112.73N/AN/A2151751,167240
2021-11-18$33.59$32.0016.3%4.7%10.3%15.0%15.1%5.9%0.2%151.1K-1.0M-3.0K0.8261.99N/AN/A2141751,168240
2021-11-19$32.88$32.0018.9%5.4%12.9%22.1%16.7%2.6%-0.3%100.2K-720.9K-2.7K0.7997.27N/AN/A2121681,169240
2021-11-22$33.05$32.0018.3%5.2%12.8%20.5%18.9%2.2%1.2%106.4K-755.4K-2.6K0.9992.78N/AN/A2082051,149234
2021-11-23$32.87$32.0019.6%5.6%12.8%24.2%16.6%10.2%-0.9%83.1K-634.5K-2.7K0.7151.59N/AN/A2251591,166282
2021-11-24$32.85$32.0019.6%5.6%12.7%24.1%19.5%10.5%-0.7%80.1K-634.9K-2.5K0.7192.69N/AN/A2251601,166283
2021-11-26$31.65$32.0028.9%8.3%17.9%50.3%30.7%21.6%-2.0%52.1K-358.8K-2.6K0.79115.49N/AN/A2031601,156284
2021-11-29$31.76$32.0023.7%6.8%18.0%35.6%26.3%4.0%-0.7%31.7K-240.4K-2.1K0.89104.54N/AN/A1791601,158284
2021-11-30$31.51$32.0022.6%6.5%16.9%32.5%24.8%1.3%0.0%15.1K-124.8K-1.8K0.9289.49N/AN/A1791641,159284