EWI Options History — December 2022

In December 2022, EWI traded between $26.55 and $28.02. ATM implied volatility averaged 32.7%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 12.1% (HV 20d: 20.6%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 13.01.

Notable Days

  • 2022-12-22: Highest Volume — 4,337 contracts
  • 2022-12-05: Largest IV drop — 60.1% change
  • 2022-12-02: Highest IV Rank — 86.2%
  • 2022-12-02: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.23$26.55$28.02$28.02$26.99
Max Pain$29.14$27.00$30.00$27.00$30.00
ATM IV32.7%23.3%76.0%75.9%26.6%
Expected Move8.4%6.7%13.4%12.1%7.6%
HV 20d20.6%16.5%28.5%28.5%18.1%
HV 60d29.3%25.4%32.7%32.7%25.4%
IV Rank27.5%14.7%86.2%86.1%19.2%
IV Percentile34.4%12.3%98.0%98.0%18.3%
Term Structure-0.5%-8.8%2.6%-8.2%-0.8%
VWIV29.9%21.3%49.5%36.6%24.3%
Skew 25d11.2%1.5%81.3%81.3%32.2%
Skew 10d8.8%-40.2%114.4%114.4%16.0%
Call IV 25d29.8%18.5%96.0%27.4%25.3%
Put IV 25d41.0%26.8%113.7%108.7%57.5%
Bid-Ask Spread %90.9849.76121.57121.5798.75
Gamma HHI0.310.190.700.300.21
Net GEX-545.2K-1.1M-232.6K-454.3K-260.2K
Net DEX1.0K-25.1M16.0M-11.0M15.9M
Net VEX-25.0K-53.8K-17.5K-53.8K-23.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.010.20162.500.962.69
Total Volume808.61954,337237188
Total OI35,132.38111,01857,88457,09818,165

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$28.02$27.0075.9%12.1%28.5%86.1%36.6%81.3%-8.2%-454.3K-11.0M-53.8K0.96121.57N/AN/A12111612,30644,792
2022-12-02$27.95$27.0076.0%13.4%28.3%86.2%39.8%17.6%-3.6%-631.2K-13.7M-47.0K0.20119.56N/AN/A2935912,42544,825
2022-12-05$27.63$29.0030.3%10.8%24.8%24.2%35.4%1.7%2.6%-670.2K-24.7M-20.9K162.5098.22N/AN/A465013,07044,255
2022-12-06$27.32$29.0031.0%8.0%25.2%25.1%30.4%6.8%-1.7%-961.4K-23.3M-22.5K6.3190.79N/AN/A10767513,07144,813
2022-12-07$27.46$29.0031.0%8.3%25.0%25.2%31.3%5.8%1.4%-837.1K-24.3M-20.0K0.0077.40N/AN/A011213,07044,569
2022-12-08$27.48$29.0028.9%8.0%24.7%22.3%27.7%2.3%0.8%-644.1K-24.5M-19.9K1.12102.27N/AN/A10111313,04244,564
2022-12-09$27.39$29.0031.0%8.6%18.6%25.1%31.6%15.3%2.6%-1.1M-25.1M-18.6K14.4894.73N/AN/A2536213,07044,559
2022-12-12$27.69$29.0028.0%8.1%16.8%21.0%29.4%1.5%0.7%-573.5K2.6M-17.5K0.5780.96N/AN/A76432,60334,624
2022-12-13$27.70$29.0027.7%8.0%16.5%20.7%29.0%7.3%0.5%-535.4K2.9M-20.5K6.0783.65N/AN/A14852,24634,644
2022-12-14$27.64$29.0026.6%7.6%16.5%19.1%27.2%4.6%0.1%-568.2K3.2M-20.1K1.0993.09N/AN/A2,0382,2272,24634,673
2022-12-15$26.76$29.0027.3%7.5%20.2%20.1%29.2%7.4%-0.9%-1.1M10.8M-23.1K11.9049.76N/AN/A202384,27936,772
2022-12-16$26.63$29.0033.3%7.7%20.1%28.3%31.2%10.3%-8.8%-994.8K11.1M-22.7K4.6489.48N/AN/A1878674,28536,761
2022-12-19$26.55$29.0026.8%7.6%19.9%19.5%0.0%6.5%2.0%-264.1K8.6M-22.6K0.4875.10N/AN/A8454032,6018,417
2022-12-20$26.74$29.0026.5%7.5%19.4%19.0%21.3%1.6%-3.3%-260.5K8.5M-22.8K0.8889.13N/AN/A1,1941,0513,4468,696
2022-12-21$27.09$30.0023.3%6.7%18.9%14.7%23.3%9.7%2.4%-256.8K10.3M-23.9K3.2597.62N/AN/A361174,6369,680
2022-12-22$26.77$30.0027.3%7.9%19.2%20.1%23.5%5.3%0.1%-264.4K10.7M-23.3K1.1688.52N/AN/A2,0042,3334,6729,676
2022-12-23$26.94$30.0025.3%6.9%19.1%17.4%23.2%3.8%2.0%-272.9K15.8M-26.8K4.0091.38N/AN/A146,67411,882
2022-12-27$26.98$30.0027.1%7.9%17.7%19.8%49.5%4.9%1.4%-260.3K15.5M-26.0K24.0087.72N/AN/A1246,64811,241
2022-12-28$26.76$30.0029.8%7.6%17.6%23.6%28.1%5.8%0.5%-267.8K16.0M-24.4K0.0082.94N/AN/A0426,64811,228
2022-12-29$27.31$30.0028.0%7.4%17.9%21.1%25.5%3.7%0.5%-232.6K14.7M-26.2K0.8397.85N/AN/A112936,64811,258
2022-12-30$26.99$30.0026.6%7.6%18.1%19.2%24.3%32.2%-0.8%-260.2K15.9M-23.2K2.6998.75N/AN/A511376,71711,448