EWC Options History — March 2007

In March 2007, EWC traded between $24.62 and $26.22. ATM implied volatility averaged 16.0%. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 2.5% (HV 20d: 18.5%). Max pain ranged from $24.00 to $28.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.87.

Notable Days

  • 2007-03-19: Highest Volume — 275 contracts
  • 2007-03-14: Largest IV spike — 58.6% change
  • 2007-03-02: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.48$24.62$26.22$25.25$26.15
Max Pain$26.86$24.00$28.00$24.00$27.00
ATM IV16.0%12.4%20.5%19.1%13.5%
Expected Move4.6%3.6%5.6%5.5%3.9%
HV 20d18.5%14.5%20.8%17.0%14.5%
HV 60d17.2%16.6%17.7%17.3%16.6%
Term Structure0.6%-0.8%2.2%-0.3%1.8%
VWIV16.2%12.8%20.0%16.9%13.3%
Skew 25d3.3%-1.0%24.4%2.5%2.0%
Skew 10d19.1%-4.2%66.9%6.9%2.9%
Call IV 25d15.1%12.2%20.3%18.5%13.4%
Put IV 25d18.4%11.2%41.2%21.0%15.4%
Bid-Ask Spread %51.0816.4161.5616.4154.26
Gamma HHI0.300.220.630.220.26
Net GEX310.4K201.9K743.5K238.4K270.8K
Net DEX-6.5M-8.9M-4.1M-7.1M-6.5M
Net VEX-28.0K-31.9K-25.3K-31.9K-25.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.0010.959.750.00
Total Volume81.36412751723
Total OI8,897.7736,60811,10210,6736,930

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$25.25$24.0019.1%5.5%17.0%0.0%16.9%2.5%-0.3%238.4K-7.1M-31.9K9.7516.41N/AN/A161567,6103,063
2007-03-02$24.88$24.0019.6%5.6%17.5%0.0%20.0%1.8%-0.7%306.0K-5.6M-31.8K3.9318.59N/AN/A301187,6213,188
2007-03-05$24.62$28.0020.5%5.4%17.8%0.0%19.7%24.4%-0.8%380.8K-4.4M-30.2K0.2358.52N/AN/A84197,6463,182
2007-03-06$24.97$28.0019.4%5.2%18.5%0.0%17.2%2.3%-0.7%323.1K-5.8M-30.7K1.2556.34N/AN/A841057,6813,195
2007-03-07$25.15$27.0016.2%5.3%18.7%0.0%0.0%2.4%-0.4%303.2K-7.9M-30.0K0.0055.76N/AN/A107,6772,666
2007-03-08$25.27$27.0017.4%5.3%18.7%0.0%18.7%3.7%-0.4%254.7K-8.3M-29.5K2.2756.01N/AN/A40917,6782,666
2007-03-09$25.48$27.0017.9%4.9%18.9%0.0%0.0%3.2%0.1%201.9K-8.9M-29.5K0.0056.16N/AN/A5007,6972,754
2007-03-12$25.41$27.0020.0%4.9%18.9%0.0%17.3%2.1%0.5%238.5K-8.9M-29.5K9.7548.53N/AN/A121177,6822,744
2007-03-13$24.86$27.0012.4%4.8%20.4%0.0%16.2%1.9%1.2%449.6K-6.9M-27.8K0.0053.05N/AN/A3507,6852,846
2007-03-14$24.94$27.0019.6%5.1%19.1%0.0%19.3%4.2%0.2%402.0K-6.5M-27.5K0.9324.40N/AN/A14137,7042,836
2007-03-15$25.06$28.0018.0%5.2%19.2%0.0%0.0%2.7%-0.8%559.9K-5.9M-27.7K10.9555.60N/AN/A202197,7333,369
2007-03-16$24.96$27.0016.6%4.8%18.8%0.0%0.0%3.8%0.0%743.5K-6.6M-28.0K0.0057.88N/AN/A2007,7032,866
2007-03-19$25.23$27.0015.3%4.4%19.4%0.0%17.5%3.2%1.2%213.9K-4.1M-26.5K0.5854.74N/AN/A1741014,9241,684
2007-03-20$25.60$27.0014.4%4.1%20.1%0.0%14.5%0.7%0.3%226.7K-4.8M-27.0K0.0740.12N/AN/A5745,0481,785
2007-03-21$26.03$27.0012.7%3.6%20.7%0.0%15.0%2.3%2.2%235.4K-6.2M-26.9K0.0061.42N/AN/A2205,1041,688
2007-03-22$25.96$27.0013.3%3.8%20.7%0.0%0.0%1.1%1.5%241.8K-6.1M-26.8K0.0061.26N/AN/A4705,1241,688
2007-03-23$26.10$27.0013.1%3.7%20.8%0.0%14.1%2.2%2.0%239.4K-6.3M-26.2K0.0661.26N/AN/A3225,1211,688
2007-03-26$26.18$27.0013.1%3.8%20.7%0.0%12.8%2.9%1.3%242.0K-6.7M-25.5K1.4360.54N/AN/A7105,1401,690
2007-03-27$26.11$27.0013.3%3.8%16.0%0.0%13.1%2.0%1.6%242.5K-6.6M-25.4K0.0058.37N/AN/A5005,1471,700
2007-03-28$26.04$27.0013.8%4.0%16.0%0.0%0.0%2.4%1.7%263.0K-6.4M-26.1K0.0061.56N/AN/A805,1971,700
2007-03-29$26.22$27.0013.3%3.8%15.7%0.0%13.7%-1.0%1.9%252.1K-6.7M-25.3K0.0052.90N/AN/A2905,2011,700
2007-03-30$26.15$27.0013.5%3.9%14.5%0.0%13.3%2.0%1.8%270.8K-6.5M-25.6K0.0054.26N/AN/A305,2301,700