EWC Options History — February 2007

In February 2007, EWC traded between $25.36 and $26.42. ATM implied volatility averaged 14.0%. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.8% (HV 20d: 14.9%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 8.51.

Notable Days

  • 2007-02-20: Highest Volume — 3,151 contracts
  • 2007-02-27: Largest IV spike — 27.7% change
  • 2007-02-27: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.81$25.36$26.42$25.52$25.49
Max Pain$23.16$22.00$25.00$25.00$24.00
ATM IV14.0%10.6%18.3%10.6%16.8%
Expected Move4.1%3.0%5.2%3.0%4.8%
HV 20d14.9%10.7%17.9%17.9%16.7%
Term Structure0.8%-0.9%2.6%0.7%0.3%
VWIV14.5%7.2%19.5%8.8%17.0%
Skew 25d1.6%-2.8%4.1%1.7%2.1%
Skew 10d2.8%-3.5%12.5%3.4%10.6%
Call IV 25d13.0%11.2%16.7%12.5%15.7%
Put IV 25d14.6%10.4%19.6%14.2%17.7%
Bid-Ask Spread %17.4411.6922.3721.7615.96
Gamma HHI0.250.200.280.280.23
Net GEX183.7K4.9K277.0K257.5K181.8K
Net DEX-9.5M-11.6M-7.8M-8.8M-8.0M
Net VEX-27.6K-32.3K-24.9K-25.7K-31.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.510.00150.000.360.37
Total Volume316.316133,15111489
Total OI9,312.5267,95711,4877,95710,640

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$25.52$25.0010.6%3.0%17.9%0.0%8.8%1.7%0.7%257.5K-8.8M-25.7K0.3621.76N/AN/A84306,1341,823
2007-02-02$25.36$22.0013.1%4.3%16.9%0.0%0.0%4.1%0.2%260.4K-8.3M-25.9K0.0517.12N/AN/A2016,2101,853
2007-02-05$25.47$22.0014.0%4.3%16.8%0.0%14.2%1.7%1.4%264.1K-8.7M-26.1K0.0022.37N/AN/A3106,2201,854
2007-02-06$25.55$22.0011.1%3.6%16.4%0.0%18.8%3.1%1.9%274.7K-8.9M-24.9K0.1215.70N/AN/A253316,2511,854
2007-02-07$25.44$22.0012.8%4.4%16.6%0.0%13.5%3.6%1.1%273.2K-8.7M-26.1K0.0017.81N/AN/A4106,4361,875
2007-02-08$25.57$22.0012.8%3.7%16.6%0.0%15.5%2.9%2.6%273.5K-9.2M-25.8K1.8211.69N/AN/A22406,4681,875
2007-02-09$25.53$22.0014.1%4.1%16.6%0.0%14.2%3.0%1.5%277.0K-9.4M-25.7K150.0012.27N/AN/A46006,4841,905
2007-02-12$25.43$23.0016.0%4.6%15.1%0.0%18.6%1.5%-0.3%180.2K-8.0M-27.8K1.1315.45N/AN/A2262556,4882,499
2007-02-13$25.90$23.0015.0%4.3%15.1%0.0%15.3%2.1%-0.1%162.4K-9.6M-27.0K0.0018.29N/AN/A6706,6942,749
2007-02-14$25.95$23.0014.2%4.1%14.9%0.0%7.2%1.8%1.0%158.7K-10.7M-26.9K0.0021.40N/AN/A3206,7562,499
2007-02-15$26.18$23.0014.1%4.0%14.1%0.0%11.4%2.8%1.2%162.0K-11.2M-26.1K0.0022.11N/AN/A4106,7712,499
2007-02-16$26.21$23.0012.8%3.7%13.6%0.0%19.5%-1.7%2.3%153.8K-11.4M-25.6K0.0016.66N/AN/A5706,7912,499
2007-02-20$26.02$23.0012.8%3.7%13.1%0.0%9.4%-2.8%1.5%181.0K-10.4M-25.3K2.2615.47N/AN/A9662,1856,5461,984
2007-02-21$26.30$25.0014.0%4.0%11.9%0.0%16.2%0.1%0.3%86.3K-8.4M-30.3K0.5618.16N/AN/A61347,4933,994
2007-02-22$26.22$24.0015.9%4.6%11.7%0.0%16.2%-0.5%-0.9%127.9K-10.6M-31.2K3.9214.74N/AN/A512007,5353,027
2007-02-23$26.28$24.0013.9%4.0%10.8%0.0%11.6%0.7%0.9%26.8K-11.1M-30.3K0.4317.63N/AN/A23107,5423,207
2007-02-26$26.42$24.0014.3%4.1%10.7%0.0%0.0%1.1%0.5%4.9K-11.6M-29.3K0.0014.79N/AN/A1307,5243,211
2007-02-27$25.49$24.0018.3%5.2%17.1%0.0%18.4%2.9%-0.9%183.8K-7.8M-32.3K0.5922.05N/AN/A3422017,5373,211
2007-02-28$25.49$24.0016.8%4.8%16.7%0.0%17.0%2.1%0.3%181.8K-8.0M-31.7K0.3715.96N/AN/A65247,5713,069