EWC Options History — January 2007

In January 2007, EWC traded between $24.11 and $25.34. ATM implied volatility averaged 15.7%. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 3.3% (HV 20d: 19.0%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2007-01-22: Highest Volume — 514 contracts
  • 2007-01-04: Largest IV spike — 16.3% change
  • 2007-01-09: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.68$24.11$25.34$24.75$25.34
Max Pain$26.10$25.00$27.00$25.00$25.00
ATM IV15.7%13.5%18.0%14.5%13.5%
Expected Move4.5%3.9%5.1%4.2%3.9%
HV 20d19.0%18.2%19.8%19.8%18.2%
Term Structure0.6%-0.3%2.2%1.8%2.2%
VWIV15.4%13.0%17.3%14.6%13.0%
Skew 25d2.6%-2.5%5.9%5.1%-0.1%
Skew 10d3.4%-3.1%10.0%6.9%0.2%
Call IV 25d13.9%10.9%15.8%11.9%13.9%
Put IV 25d16.4%11.4%19.0%17.0%13.8%
Bid-Ask Spread %23.1214.2035.4235.4224.99
Gamma HHI0.260.220.280.260.28
Net GEX253.1K226.9K289.0K226.9K250.6K
Net DEX-6.1M-8.2M-4.5M-5.7M-8.2M
Net VEX-24.6K-27.0K-21.8K-26.2K-25.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.002.681.630.73
Total Volume93.7505144283
Total OI7,664.856,7317,8917,8517,891

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$24.75$25.0014.5%4.2%0.0%0.0%14.6%5.1%1.8%226.9K-5.7M-26.2K1.6335.42N/AN/A16265,9971,854
2007-01-04$24.35$25.0016.9%4.8%0.0%0.0%15.5%3.0%0.8%247.5K-4.6M-25.4K1.5127.79N/AN/A47715,9971,874
2007-01-05$24.27$27.0016.2%4.8%0.0%0.0%0.0%1.2%0.2%245.1K-4.8M-24.8K0.2518.95N/AN/A415,9801,712
2007-01-08$24.11$27.0018.0%4.7%0.0%0.0%0.0%3.4%0.8%246.0K-5.2M-24.1K0.0018.48N/AN/A3305,9811,693
2007-01-09$24.16$27.0015.6%5.1%0.0%0.0%17.3%3.5%-0.2%259.9K-4.5M-23.8K2.6820.08N/AN/A28755,9931,693
2007-01-10$24.13$27.0015.2%5.0%0.0%0.0%0.0%4.0%-0.3%272.6K-4.6M-23.8K0.0025.03N/AN/A3106,0151,647
2007-01-11$24.24$27.0017.2%4.9%0.0%0.0%0.0%4.3%0.4%261.6K-5.0M-23.6K0.0026.73N/AN/A306,0461,647
2007-01-12$24.78$27.0015.4%4.4%0.0%0.0%15.4%2.6%0.3%232.8K-6.5M-24.3K0.0022.91N/AN/A2406,0471,597
2007-01-16$24.44$27.0017.3%5.0%0.0%0.0%0.0%3.1%0.7%289.0K-6.1M-23.5K0.0023.61N/AN/A006,0701,597
2007-01-17$24.70$27.0016.0%4.6%0.0%0.0%15.9%2.7%-0.2%232.8K-6.4M-23.1K0.0016.88N/AN/A206,0701,597
2007-01-18$24.43$27.0016.6%4.7%0.0%0.0%16.6%4.8%1.0%265.4K-5.6M-22.4K1.4214.20N/AN/A12176,0721,597
2007-01-19$24.77$27.0015.8%4.5%0.0%0.0%16.1%1.7%-0.1%228.6K-6.3M-22.4K0.0027.25N/AN/A1606,0781,604
2007-01-22$24.49$26.0016.8%4.8%0.0%0.0%16.7%2.9%0.6%268.4K-5.4M-21.8K0.5716.53N/AN/A3281865,3371,394
2007-01-23$24.98$26.0015.2%4.4%0.0%0.0%15.2%2.2%0.3%260.0K-6.6M-24.5K0.0430.99N/AN/A283105,6641,580
2007-01-24$25.23$25.0014.7%4.2%0.0%0.0%14.9%0.7%0.9%284.3K-7.7M-26.3K1.5423.11N/AN/A1302005,9471,590
2007-01-25$24.97$25.0014.9%4.3%19.8%0.0%15.5%5.9%0.7%244.7K-6.8M-26.9K0.4023.38N/AN/A25106,0361,790
2007-01-26$25.15$25.0014.5%4.1%19.3%0.0%14.5%2.4%0.9%244.4K-7.4M-26.9K0.0028.82N/AN/A14706,0611,800
2007-01-29$24.98$25.0014.8%4.2%18.9%0.0%14.8%0.3%0.5%246.6K-7.0M-27.0K0.8014.73N/AN/A15126,0681,800
2007-01-30$25.25$25.0014.4%4.1%18.7%0.0%14.8%-2.5%1.1%255.2K-7.6M-26.6K0.4822.61N/AN/A27136,0831,798
2007-01-31$25.34$25.0013.5%3.9%18.2%0.0%13.0%-0.1%2.2%250.6K-8.2M-25.6K0.7324.99N/AN/A48356,0901,801