I could not get OpenEXR delegate to work in ImageMagick. There was no reason for it in config.log. It just silently refused to get configured. I debugged the configure script and found out that PKG_CONFIG was unset. So this fixed it. The --enable-hdri should be optional.
./configure PKG_CONFIG=/usr/bin/pkg-config --prefix=/usr/local/stow/imagemagick --enable-hdri