EWI Options History — December 2021

In December 2021, EWI traded between $31.45 and $32.95. ATM implied volatility averaged 22.3%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.8% (HV 20d: 20.4%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2021-12-17: Highest Volume — 370 contracts
  • 2021-12-10: Largest IV spike — 64.3% change
  • 2021-12-14: Highest IV Rank — 60.3%
  • 2021-12-03: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.26$31.45$32.95$31.53$32.86
Max Pain$31.18$31.00$32.00$32.00$31.00
ATM IV22.3%15.8%32.5%23.3%21.2%
Expected Move6.0%4.8%8.3%6.7%6.1%
HV 20d20.4%16.9%23.1%16.9%18.4%
HV 60d17.0%16.3%18.2%16.5%16.3%
IV Rank31.7%13.6%60.3%34.7%28.7%
IV Percentile67.8%21.0%99.6%79.8%71.0%
Term Structure3.1%-3.5%31.4%-0.9%31.4%
VWIV20.3%12.4%36.0%27.8%20.9%
Skew 25d6.9%-6.7%13.2%-0.1%-6.7%
Skew 10d12.9%-0.5%26.8%-0.5%4.4%
Call IV 25d18.7%10.4%34.6%30.3%33.4%
Put IV 25d25.6%16.8%34.7%30.2%26.7%
Bid-Ask Spread %82.1338.86115.77106.99115.76
Gamma HHI0.360.200.620.420.20
Net GEX23.8K-34.8K74.5K28.8K27.3K
Net DEX-351.2K-555.2K-88.7K-208.5K-555.2K
Net VEX-1.5K-2.0K-947-2.0K-947
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.270.920.920.29
Total Volume297.409172370343225
Total OI963.7732471,4491,439307

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$31.53$32.0023.3%6.7%16.9%34.7%27.8%-0.1%-0.9%28.8K-208.5K-2.0K0.92106.99N/AN/A1791641,159280
2021-12-02$31.85$32.0026.3%7.6%16.9%43.1%28.9%9.1%-3.5%27.4K-222.6K-2.0K0.92102.97N/AN/A1791641,159280
2021-12-03$31.45$32.0028.8%8.3%17.3%50.1%31.1%12.5%-2.1%25.5K-179.8K-1.9K0.8893.86N/AN/A1821611,159280
2021-12-06$32.26$32.0027.3%6.7%19.6%45.9%17.8%10.7%1.7%30.5K-298.7K-1.7K0.8985.48N/AN/A1821621,163278
2021-12-07$32.78$31.0022.1%5.3%20.8%31.4%15.6%9.4%1.6%74.5K-519.4K-1.9K0.8496.21N/AN/A1931621,163279
2021-12-08$32.74$31.0017.4%5.3%20.7%18.0%16.0%9.2%1.5%58.2K-469.2K-1.6K0.8478.40N/AN/A1931621,170279
2021-12-09$32.47$31.0015.8%5.8%20.6%13.6%12.4%10.1%0.5%49.6K-398.0K-1.7K0.8450.52N/AN/A1931621,170279
2021-12-10$32.58$31.0026.0%4.8%20.6%42.2%15.8%7.3%2.1%58.0K-445.8K-1.7K0.8593.27N/AN/A1911621,170279
2021-12-13$31.77$31.0029.6%5.7%22.1%52.2%25.3%7.2%-0.5%76-167.2K-1.4K0.8586.33N/AN/A1911621,125279
2021-12-14$31.74$31.0032.5%6.0%22.1%60.3%24.1%6.9%8.6%-11.1K-128.7K-1.4K0.8572.80N/AN/A1911621,125280
2021-12-15$32.11$31.0026.1%7.5%22.7%42.3%36.0%-2.8%13.4%38.3K-284.3K-1.7K0.84115.77N/AN/A1921621,125280
2021-12-16$32.04$31.0020.1%5.8%22.7%25.7%16.9%8.0%8.3%-28.0K-159.9K-1.2K0.8476.82N/AN/A1931621,126280
2021-12-17$31.70$31.0020.8%6.0%22.9%27.5%14.5%8.7%1.2%-34.8K-88.7K-1.2K0.8593.14N/AN/A2001701,129280
2021-12-20$31.48$31.0024.6%7.1%21.9%38.3%22.6%6.5%-1.2%12.2K-291.1K-1.2K0.3897.46N/AN/A1254719948
2021-12-21$31.97$31.0020.5%5.9%22.6%26.7%19.7%9.7%-1.0%12.7K-322.4K-1.2K0.2762.71N/AN/A1734720050
2021-12-22$32.32$31.0020.1%5.8%23.0%25.7%18.5%13.2%0.4%24.8K-435.8K-1.3K0.2947.93N/AN/A1735124850
2021-12-23$32.52$31.0017.1%4.9%23.1%17.3%17.8%7.1%0.9%24.9K-465.5K-1.3K0.2979.00N/AN/A1745124855
2021-12-27$32.80$31.0017.4%5.0%18.8%18.1%17.1%9.8%1.0%25.8K-504.3K-1.2K0.2977.86N/AN/A1745124955
2021-12-28$32.94$31.0018.9%5.4%18.8%22.2%19.6%1.4%0.9%25.9K-525.7K-1.2K0.2938.86N/AN/A1755125055
2021-12-29$32.95$31.0017.0%4.9%18.5%17.0%12.9%7.6%1.3%27.3K-534.0K-1.2K0.2988.12N/AN/A1745125155
2021-12-30$32.77$31.0016.8%4.8%18.7%16.5%14.2%6.3%1.9%26.0K-522.1K-1.2K0.2946.54N/AN/A1745125255
2021-12-31$32.86$31.0021.2%6.1%18.4%28.7%20.9%-6.7%31.4%27.3K-555.2K-9470.29115.76N/AN/A1745125255