EWI Options History — September 2022

In September 2022, EWI traded between $21.44 and $24.51. ATM implied volatility averaged 38.0%, placing in the 54.8% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 7.6% (HV 20d: 30.4%). Max pain ranged from $24.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 50.75.

Notable Days

  • 2022-09-12: Highest Volume — 22,724 contracts
  • 2022-09-02: Largest IV drop — 21.4% change
  • 2022-09-01: Highest IV Rank — 71.4%
  • 2022-09-01: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.95$21.44$24.51$22.89$21.49
Max Pain$27.71$24.00$30.00$25.00$30.00
ATM IV38.0%30.4%45.7%45.7%43.6%
Expected Move11.0%9.8%13.1%13.1%12.5%
HV 20d30.4%23.1%36.4%23.2%36.2%
HV 60d31.6%29.8%34.2%34.2%32.3%
IV Rank54.8%38.5%71.4%71.4%66.9%
IV Percentile86.6%62.3%98.0%98.0%96.8%
Term Structure-1.5%-14.6%0.9%-14.6%-1.3%
VWIV38.0%30.5%44.4%32.3%44.1%
Skew 25d9.1%5.9%11.9%11.9%7.1%
Skew 10d22.0%14.2%32.0%20.4%14.2%
Call IV 25d34.3%31.5%39.0%33.1%39.0%
Put IV 25d43.4%40.1%49.4%45.0%46.1%
Bid-Ask Spread %71.6861.9996.6296.6280.05
Gamma HHI0.300.180.530.460.25
Net GEX-1.1M-1.7M-681.6K-1.1M-702.3K
Net DEX43.8M36.6M54.3M37.7M45.4M
Net VEX-76.9K-111.7K-48.6K-61.1K-54.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio50.750.70433.3368.690.70
Total Volume5,054.09516522,7241,1151,970
Total OI46,152.33338,25663,40638,47240,598

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$22.89$25.0045.7%13.1%23.2%71.4%32.3%11.9%-14.6%-1.1M37.7M-61.1K68.6996.62N/AN/A161,09910,36028,112
2022-09-02$22.74$25.0035.9%10.3%23.2%50.4%43.1%6.3%0.5%-1.1M39.8M-54.5K45.9685.12N/AN/A241,10310,36227,894
2022-09-06$22.75$25.0034.9%10.7%23.2%48.3%41.1%10.3%-1.5%-1.3M41.4M-48.6K0.8965.68N/AN/A4,8474,31110,36128,657
2022-09-07$23.17$24.0036.0%10.9%24.5%50.6%41.5%11.8%-1.1%-1.2M39.0M-51.9K0.9767.23N/AN/A4,8294,69210,87029,166
2022-09-08$23.07$25.0034.8%10.5%23.1%48.0%31.5%10.9%-0.3%-1.5M43.0M-63.9K1.1068.44N/AN/A5,0275,52810,87132,599
2022-09-09$23.81$25.0030.4%9.8%26.2%38.5%32.8%8.6%0.9%-1.4M41.9M-95.7K27.4567.35N/AN/A2246,14915,88637,545
2022-09-12$24.51$25.0034.8%9.9%28.2%48.0%34.9%10.4%0.7%-1.5M36.9M-111.7K1.2668.37N/AN/A10,07012,65416,07241,657
2022-09-13$23.65$26.0039.1%10.6%30.6%57.3%39.1%8.6%-0.1%-1.7M53.0M-108.9K0.9469.01N/AN/A7,4787,05217,03543,728
2022-09-14$23.88$26.0037.4%10.7%30.9%53.7%37.7%9.5%-0.6%-1.6M50.0M-108.8K35.0665.36N/AN/A1656117,05243,737
2022-09-15$24.40$26.0035.5%10.2%31.9%49.6%30.5%7.2%-1.7%-1.1M48.6M-96.9K1.8369.30N/AN/A1,0001,82817,06243,874
2022-09-16$23.71$30.0037.2%10.7%33.3%53.1%38.3%10.3%-0.6%-1.2M54.3M-101.4K0.9467.77N/AN/A3,4813,27618,06245,344
2022-09-19$23.89$30.0036.7%10.5%32.2%52.0%37.8%8.8%-0.2%-886.7K36.6M-99.7K153.2267.25N/AN/A91,37912,28330,065
2022-09-20$23.28$30.0036.6%10.5%32.0%51.9%34.2%8.8%-0.2%-862.8K40.8M-87.2K71.3672.18N/AN/A1178512,28629,421
2022-09-21$22.97$30.0036.2%10.4%31.8%51.0%36.5%5.9%-0.4%-823.4K40.7M-84.4K164.0076.13N/AN/A116412,27829,142
2022-09-22$23.09$30.0037.2%10.7%31.8%53.1%36.0%8.0%-0.8%-832.2K41.3M-82.4K433.3372.89N/AN/A31,30012,27929,162
2022-09-23$21.93$30.0040.2%11.5%36.1%59.5%37.6%9.2%-2.4%-767.3K46.2M-67.7K50.1061.99N/AN/A291,45312,28229,344
2022-09-26$21.81$30.0040.8%11.7%34.0%60.9%40.0%8.2%-3.1%-792.5K47.2M-63.7K2.4677.42N/AN/A1,1462,82212,26229,733
2022-09-27$21.44$30.0042.5%12.2%33.9%64.5%44.4%8.6%-1.6%-719.8K47.4M-56.7K3.0668.23N/AN/A1,1483,50912,26929,004
2022-09-28$22.02$30.0039.7%11.4%35.6%58.6%42.6%8.5%-2.4%-740.9K43.8M-59.9K1.6773.25N/AN/A1,1601,93312,27127,940
2022-09-29$21.50$30.0042.3%12.1%36.4%64.0%42.0%11.8%0.2%-681.6K45.0M-54.7K0.7765.66N/AN/A1,15989012,28427,990
2022-09-30$21.49$30.0043.6%12.5%36.2%66.9%44.1%7.1%-1.3%-702.3K45.4M-54.1K0.7080.05N/AN/A1,15981112,28428,314