EWC Options History — April 2007

In April 2007, EWC traded between $26.35 and $28.02. ATM implied volatility averaged 13.2%. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.8% (HV 20d: 11.4%). Max pain ranged from $23.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 18.19.

Notable Days

  • 2007-04-19: Highest Volume — 1,003 contracts
  • 2007-04-12: Largest IV spike — 24.0% change
  • 2007-04-25: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.29$26.35$28.02$26.35$27.57
Max Pain$25.45$23.00$27.00$27.00$23.00
ATM IV13.2%9.8%15.3%13.6%13.7%
Expected Move3.9%3.1%4.4%3.9%3.9%
HV 20d11.4%9.2%13.7%13.7%13.4%
HV 60d15.4%14.7%16.3%16.3%15.3%
Term Structure0.1%-1.7%1.7%1.3%0.3%
VWIV13.3%11.2%15.1%13.5%12.7%
Skew 25d2.5%-0.1%5.5%-0.1%1.3%
Skew 10d1.8%-1.8%7.8%-0.4%0.2%
Call IV 25d11.8%10.3%13.1%12.8%12.7%
Put IV 25d14.2%12.7%16.4%12.7%14.0%
Bid-Ask Spread %37.4614.6562.8454.0944.22
Gamma HHI0.250.190.380.260.19
Net GEX189.3K118.9K268.7K268.7K158.6K
Net DEX-9.3M-11.1M-7.0M-7.0M-9.5M
Net VEX-21.2K-25.5K-15.8K-24.3K-25.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.190.00333.330.200.00
Total Volume126.621,0031211
Total OI7,301.256,9328,1376,9338,110

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$26.35$27.0013.6%3.9%13.7%0.0%13.5%-0.1%1.3%268.7K-7.0M-24.3K0.2054.09N/AN/A1025,2331,700
2007-04-03$26.44$27.0014.4%4.1%13.2%0.0%0.0%1.2%0.5%258.0K-7.4M-23.6K0.0047.66N/AN/A1005,2341,698
2007-04-04$26.58$27.0011.5%3.3%13.1%0.0%0.0%0.8%0.2%246.8K-7.7M-23.3K0.0062.84N/AN/A405,2381,698
2007-04-05$26.76$27.0010.8%3.1%13.1%0.0%0.0%3.5%1.7%229.0K-8.4M-22.0K0.3553.44N/AN/A31115,2391,698
2007-04-09$26.80$26.0011.3%3.9%13.0%0.0%0.0%3.5%0.8%213.8K-8.6M-21.4K0.4852.78N/AN/A23115,2631,697
2007-04-10$26.75$26.009.8%3.9%13.0%0.0%0.0%2.6%-0.0%210.6K-8.7M-21.2K0.0052.28N/AN/A1005,2711,692
2007-04-11$26.92$26.0011.0%4.2%9.2%0.0%0.0%2.8%-0.3%200.4K-8.9M-20.5K0.0051.15N/AN/A205,2611,692
2007-04-12$27.26$26.0013.6%3.9%9.7%0.0%0.0%3.1%1.1%185.6K-9.8M-19.1K0.6052.11N/AN/A2021215,2611,692
2007-04-13$27.34$26.0013.9%4.0%9.7%0.0%0.0%3.5%0.3%175.0K-10.0M-18.8K5.0023.66N/AN/A3155,2681,812
2007-04-16$27.75$26.0014.5%4.1%9.9%0.0%14.4%3.4%-1.1%215.6K-10.6M-17.7K0.0035.65N/AN/A3405,2681,827
2007-04-17$27.59$26.0013.9%4.0%10.4%0.0%0.0%1.4%-0.2%212.7K-10.8M-16.7K0.5214.65N/AN/A31165,2721,827
2007-04-18$27.72$26.0013.5%3.9%9.7%0.0%0.0%2.0%-0.2%233.1K-11.1M-15.8K17.3338.27N/AN/A3525,2581,827
2007-04-19$27.40$26.0013.9%4.0%10.0%0.0%11.2%3.3%0.4%173.2K-10.2M-18.0K333.3317.96N/AN/A31,0005,2601,877
2007-04-20$27.69$26.0013.8%4.0%10.2%0.0%0.0%1.8%-0.4%118.9K-10.1M-22.2K1.3515.77N/AN/A17235,2602,877
2007-04-23$27.69$26.0014.6%4.2%10.2%0.0%12.7%3.3%-0.7%132.0K-9.1M-22.1K0.4516.08N/AN/A2331064,9402,524
2007-04-24$27.59$23.0013.8%4.0%10.4%0.0%0.0%2.3%-0.5%144.8K-9.1M-24.2K3.2916.69N/AN/A24795,0842,610
2007-04-25$28.02$23.0015.3%4.4%11.2%0.0%15.1%5.5%-1.7%133.1K-10.0M-22.3K0.9339.17N/AN/A106995,0962,661
2007-04-26$27.65$23.0012.8%3.7%12.5%0.0%0.0%0.4%0.5%137.4K-9.8M-22.9K0.0040.05N/AN/A2005,1732,719
2007-04-27$27.88$23.0013.6%3.9%12.6%0.0%12.7%3.5%0.6%139.1K-9.9M-23.1K0.0020.63N/AN/A21915,1892,719
2007-04-30$27.57$23.0013.7%3.9%13.4%0.0%0.0%1.3%0.3%158.6K-9.5M-25.5K0.0044.22N/AN/A1105,3902,720