EWI Options History — September 2023

In September 2023, EWI traded between $30.05 and $31.86. ATM implied volatility averaged 20.0%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.3% (HV 20d: 16.7%). Max pain ranged from $31.00 to $40.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.55.

Notable Days

  • 2023-09-20: Highest Volume — 156 contracts
  • 2023-09-12: Largest IV spike — 19.7% change
  • 2023-09-26: Highest IV Rank — 10.3%
  • 2023-09-26: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.16$30.05$31.86$31.80$30.41
Max Pain$33.60$31.00$40.00$32.00$31.00
ATM IV20.0%17.3%23.2%18.8%21.1%
Expected Move5.7%5.0%6.7%5.4%6.1%
HV 20d16.7%15.5%17.9%16.8%16.1%
HV 60d16.4%16.0%16.7%16.3%16.2%
IV Rank5.8%2.0%10.3%4.1%7.4%
IV Percentile10.8%1.2%25.8%4.0%16.7%
Term Structure0.3%-6.4%3.4%1.0%1.5%
VWIV22.8%18.0%38.2%18.0%21.9%
Skew 25d4.8%-1.9%8.6%1.9%-1.9%
Skew 10d12.6%-2.5%36.2%-2.5%19.8%
Call IV 25d18.2%14.3%24.4%18.3%24.4%
Put IV 25d23.0%20.2%25.9%20.2%22.5%
Bid-Ask Spread %86.1245.59111.58109.2899.96
Gamma HHI0.320.210.560.290.23
Net GEX-23.9K-99.3K15.8K-14.3K-19.8K
Net DEX376.6K-177.6K896.2K154.0K326.0K
Net VEX-4.1K-5.4K-3.4K-5.4K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.0010.140.000.00
Total Volume27.5015620
Total OI1,316.057641,7231,6701,019

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$31.80$32.0018.8%5.4%16.8%4.1%0.0%1.9%1.0%-14.3K154.0K-5.4K0.00109.28N/AN/A026391,031
2023-09-05$31.66$34.0019.8%5.6%16.7%5.5%0.0%5.4%-6.4%-26.6K310.0K-4.8K0.0045.59N/AN/A406211,019
2023-09-06$31.14$34.0020.3%6.0%16.7%6.2%0.0%5.8%0.3%-61.9K785.1K-4.7K0.0076.41N/AN/A006251,019
2023-09-07$31.05$34.0020.4%6.1%16.1%6.4%0.0%8.6%0.1%-73.6K894.4K-4.3K0.0095.15N/AN/A006251,019
2023-09-08$31.12$34.0017.9%5.8%16.2%2.8%0.0%4.8%0.1%-86.0K896.2K-4.0K0.0061.88N/AN/A056251,019
2023-09-11$31.61$34.0018.8%5.3%17.1%4.1%0.0%5.2%-0.7%-47.5K522.2K-3.9K0.0356.71N/AN/A6226251,024
2023-09-12$31.52$34.0022.6%5.3%17.1%9.4%0.0%5.3%-0.1%-40.2K471.6K-4.3K0.0087.02N/AN/A006871,026
2023-09-13$31.27$34.0019.4%5.6%16.4%4.9%18.0%4.8%0.4%-99.3K820.0K-3.8K0.5082.44N/AN/A1056871,026
2023-09-14$31.69$31.0017.3%5.0%17.0%2.0%21.8%4.8%3.4%251494.5K-3.7K0.0092.37N/AN/A056921,026
2023-09-15$31.57$31.0017.4%5.0%16.5%2.0%38.2%5.8%1.2%1.7K616.7K-3.4K0.0086.72N/AN/A0246921,031
2023-09-18$31.32$40.0019.9%5.7%16.8%5.6%0.0%4.7%0.2%-1.8K88.7K-3.5K0.0078.07N/AN/A1000311453
2023-09-19$31.55$40.0017.7%5.1%16.6%2.5%18.1%5.1%1.2%12.3K-68.3K-4.0K1.6080.58N/AN/A58411453
2023-09-20$31.86$34.0018.8%5.4%16.8%4.1%19.2%3.6%0.6%15.8K-177.6K-4.3K10.1496.93N/AN/A14142416461
2023-09-21$31.23$33.0020.6%5.9%17.9%6.6%0.0%6.2%0.3%44411.0K-4.6K0.0090.15N/AN/A011430594
2023-09-22$31.05$33.0020.0%5.7%17.4%5.8%0.0%4.5%1.3%1.8K105.0K-4.4K0.0097.35N/AN/A00430605
2023-09-25$30.76$33.0021.2%6.1%17.0%7.4%22.2%5.2%0.2%-2.9K216.2K-4.4K0.0988.77N/AN/A545430605
2023-09-26$30.24$32.0023.2%6.7%17.4%10.3%0.0%6.0%-0.0%-12.2K372.8K-3.8K0.0090.74N/AN/A20384605
2023-09-27$30.05$32.0022.8%6.5%15.5%9.8%0.0%4.6%0.2%-13.4K397.4K-3.9K0.0094.80N/AN/A01384604
2023-09-28$30.36$32.0022.3%6.4%16.2%9.0%21.9%5.4%0.5%-11.7K296.6K-3.7K0.00111.58N/AN/A089384584
2023-09-29$30.41$31.0021.1%6.1%16.1%7.4%0.0%-1.9%1.5%-19.8K326.0K-3.7K0.0099.96N/AN/A00384635