EWC Options History — May 2007

In May 2007, EWC traded between $27.50 and $30.10. ATM implied volatility averaged 12.9%. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 1.3% (HV 20d: 14.2%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.58.

Notable Days

  • 2007-05-17: Highest Volume — 1,718 contracts
  • 2007-05-24: Largest IV spike — 80.4% change
  • 2007-05-24: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.08$27.50$30.10$27.50$30.10
Max Pain$24.91$23.00$26.00$23.00$26.00
ATM IV12.9%8.9%16.0%13.9%13.2%
Expected Move3.8%2.5%4.6%4.0%3.8%
HV 20d14.2%11.4%15.8%13.4%11.4%
HV 60d15.0%12.8%15.8%15.2%12.8%
Term Structure1.0%-1.5%3.0%1.1%2.4%
VWIV13.6%10.9%15.5%13.8%12.0%
Skew 25d3.0%0.1%7.8%0.9%7.8%
Skew 10d3.8%-1.0%12.9%-0.1%9.9%
Call IV 25d12.0%8.9%14.1%13.1%8.9%
Put IV 25d15.0%10.9%17.2%14.0%16.7%
Bid-Ask Spread %17.268.4223.9423.1713.84
Gamma HHI0.500.190.720.190.60
Net GEX369.5K130.2K652.5K160.6K545.4K
Net DEX-15.7M-21.0M-9.4M-9.4M-20.5M
Net VEX-27.9K-35.5K-20.9K-25.5K-29.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.580.0021.250.040.00
Total Volume480.8641181,718122220
Total OI11,976.4098,12114,9858,12114,985

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$27.50$23.0013.9%4.0%13.4%0.0%13.8%0.9%1.1%160.6K-9.4M-25.5K0.0423.17N/AN/A11755,4012,720
2007-05-02$27.96$23.0013.8%4.0%14.4%0.0%0.0%4.4%3.0%166.4K-10.7M-23.5K21.2519.83N/AN/A81705,4842,725
2007-05-03$28.18$23.0010.8%3.1%14.5%0.0%11.6%0.9%2.2%130.2K-11.0M-22.6K0.128.42N/AN/A648805,4862,894
2007-05-04$28.37$25.009.1%3.9%14.5%0.0%15.3%4.6%2.1%134.9K-12.3M-22.3K4.2915.15N/AN/A682925,9452,944
2007-05-07$28.73$25.0011.7%3.8%14.8%0.0%13.2%0.8%0.1%137.3K-13.4M-20.9K0.1919.54N/AN/A9561865,9793,225
2007-05-08$28.70$25.0010.6%3.5%14.8%0.0%12.2%1.5%1.0%291.8K-13.9M-23.3K3.4523.94N/AN/A582006,8843,398
2007-05-09$28.69$25.0013.2%3.7%14.8%0.0%12.7%1.7%0.5%288.7K-13.6M-24.4K0.2920.89N/AN/A136406,8623,598
2007-05-10$28.40$25.0013.7%3.9%15.1%0.0%11.8%1.2%1.8%237.0K-13.0M-25.0K0.0523.58N/AN/A189106,9413,634
2007-05-11$28.83$25.0011.6%3.3%15.8%0.0%13.5%2.2%2.1%286.2K-13.8M-24.3K0.8319.26N/AN/A5124247,0463,644
2007-05-14$28.73$25.0014.5%4.2%15.2%0.0%14.9%2.1%-0.6%361.8K-14.0M-27.7K3.1518.88N/AN/A983097,5563,998
2007-05-15$29.07$25.0013.8%4.0%15.4%0.0%13.9%1.9%0.5%365.5K-14.8M-28.0K8.1316.34N/AN/A786347,6494,307
2007-05-16$29.13$25.0014.7%4.2%15.4%0.0%0.0%2.9%0.5%372.8K-14.8M-28.9K2.9216.44N/AN/A2547427,6934,579
2007-05-17$29.41$25.0014.9%4.3%14.6%0.0%14.5%2.3%0.7%448.7K-16.2M-31.5K0.0616.54N/AN/A1,6161027,9435,065
2007-05-18$29.69$25.0013.0%3.7%14.5%0.0%10.9%0.9%0.9%537.9K-21.0M-32.7K2.1519.95N/AN/A41889,3055,148
2007-05-21$29.81$25.0013.5%3.9%14.5%0.0%14.6%2.8%-0.1%551.3K-19.5M-32.1K0.4513.22N/AN/A203928,5935,222
2007-05-22$29.68$25.0013.1%3.8%14.5%0.0%15.1%6.3%0.2%514.1K-18.9M-31.5K0.1712.16N/AN/A271468,5025,312
2007-05-23$29.63$25.008.9%2.5%13.9%0.0%12.0%0.1%2.6%652.5K-20.9M-28.0K3.5320.21N/AN/A762688,7065,358
2007-05-24$29.45$25.0016.0%4.6%13.0%0.0%14.7%4.6%-1.5%492.6K-17.0M-35.5K2.2115.65N/AN/A2746068,7085,536
2007-05-25$29.80$26.0012.5%3.6%13.3%0.0%15.2%4.8%1.3%469.2K-18.6M-33.9K1.0313.68N/AN/A58608,9255,832
2007-05-29$29.77$26.0014.3%4.1%12.3%0.0%15.5%5.8%0.2%471.8K-19.0M-31.9K1.9812.70N/AN/A49978,9355,892
2007-05-30$30.07$26.0014.0%4.0%12.2%0.0%13.8%5.0%0.4%511.7K-20.1M-30.4K0.4016.34N/AN/A141578,9805,942
2007-05-31$30.10$26.0013.2%3.8%11.4%0.0%12.0%7.8%2.4%545.4K-20.5M-29.5K0.0013.84N/AN/A22008,9865,999