EWC Options History — June 2007

In June 2007, EWC traded between $29.15 and $30.66. ATM implied volatility averaged 15.4%. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.2% (HV 20d: 15.2%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2007-06-08: Highest Volume — 2,069 contracts
  • 2007-06-11: Largest IV spike — 37.4% change
  • 2007-06-12: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.93$29.15$30.66$30.46$29.86
Max Pain$28.10$26.00$30.00$26.00$27.00
ATM IV15.4%11.5%20.5%13.7%14.4%
Expected Move4.3%3.8%5.0%3.9%4.1%
HV 20d15.2%11.4%17.6%11.7%17.1%
HV 60d13.8%12.9%14.7%12.9%14.7%
Term Structure1.0%0.1%2.5%0.7%2.2%
VWIV14.4%9.6%17.7%13.8%14.6%
Skew 25d3.0%1.4%5.2%1.5%3.5%
Skew 10d5.5%0.4%10.1%0.4%7.1%
Call IV 25d13.9%11.7%15.6%11.7%14.6%
Put IV 25d16.9%13.2%19.6%13.2%18.1%
Bid-Ask Spread %24.4016.7533.1316.7525.71
Gamma HHI0.360.190.620.620.33
Net GEX363.6K164.7K650.8K541.5K353.9K
Net DEX-16.5M-25.0M-9.7M-22.6M-12.2M
Net VEX-37.4K-49.8K-25.4K-28.5K-48.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.003.670.270.13
Total Volume615.381882,06969388
Total OI13,984.5719,34717,44115,17612,332

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$30.46$26.0013.7%3.9%11.7%0.0%13.8%1.5%0.7%541.5K-22.6M-28.5K0.2716.75N/AN/A5461479,1775,999
2007-06-04$30.54$29.0011.5%3.8%11.6%0.0%14.1%2.4%1.0%305.9K-21.9M-25.4K0.4619.33N/AN/A7493458,6906,146
2007-06-05$30.42$29.0015.4%4.2%11.4%0.0%16.6%3.0%0.8%305.9K-22.3M-29.0K0.6720.00N/AN/A134909,0696,442
2007-06-06$30.03$29.0014.3%4.2%12.7%0.0%0.0%2.8%0.8%373.4K-20.5M-30.1K0.2922.92N/AN/A106319,1806,482
2007-06-07$29.33$29.0016.9%4.8%15.6%0.0%16.9%4.0%0.9%209.9K-16.7M-34.1K2.4332.06N/AN/A2836879,2306,513
2007-06-08$29.65$29.0014.7%4.3%15.4%0.0%11.3%3.4%1.1%310.6K-18.2M-35.3K0.2223.58N/AN/A1,6903799,3576,900
2007-06-11$29.52$29.0020.2%4.0%14.8%0.0%15.2%3.2%0.8%551.3K-21.0M-33.5K0.1121.42N/AN/A1161310,3196,773
2007-06-12$29.44$29.0020.5%5.0%14.8%0.0%15.2%3.2%0.3%530.3K-18.4M-35.0K2.4733.10N/AN/A4912110,3036,783
2007-06-13$29.80$30.0015.3%4.3%14.8%0.0%12.9%2.9%0.8%650.8K-21.0M-33.5K0.3828.87N/AN/A1606010,3196,877
2007-06-14$30.13$30.0015.4%4.4%15.2%0.0%14.8%2.4%0.7%591.5K-23.5M-31.8K0.1923.15N/AN/A4328210,3066,935
2007-06-15$30.58$29.0013.2%3.8%15.7%0.0%13.6%2.4%2.5%322.8K-25.0M-29.2K0.0117.17N/AN/A1,023610,4347,007
2007-06-18$30.66$29.0013.6%3.9%15.4%0.0%14.0%2.5%1.4%164.7K-11.1M-31.1K0.2229.81N/AN/A1,6363615,2494,098
2007-06-19$30.42$27.0015.0%4.3%15.7%0.0%13.6%1.4%0.5%253.9K-13.3M-38.5K0.7033.13N/AN/A1961386,4494,296
2007-06-20$29.98$27.0014.6%4.2%16.6%0.0%14.1%1.4%1.4%252.7K-11.8M-41.9K0.0824.79N/AN/A541456,6014,389
2007-06-21$30.05$27.0015.2%4.4%16.6%0.0%14.8%2.8%0.8%337.2K-12.6M-42.9K0.1726.90N/AN/A8341387,0364,419
2007-06-22$29.83$27.0015.4%4.4%16.7%0.0%14.6%2.8%0.1%313.6K-12.1M-45.0K3.6728.82N/AN/A391437,1564,522
2007-06-25$29.57$27.0015.3%4.4%16.4%0.0%17.7%2.2%0.5%310.7K-11.1M-45.8K0.6723.51N/AN/A87587,1724,461
2007-06-26$29.15$27.0017.1%4.9%17.2%0.0%14.9%5.1%1.5%286.8K-9.7M-46.6K0.9720.58N/AN/A4714557,2164,475
2007-06-27$29.43$27.0016.7%4.8%17.1%0.0%15.0%5.1%1.9%317.6K-10.1M-49.8K0.3817.92N/AN/A152577,5384,697
2007-06-28$29.75$27.0015.3%4.4%17.6%0.0%9.6%5.2%0.8%349.7K-11.3M-49.3K0.0022.91N/AN/A23507,5984,731
2007-06-29$29.86$27.0014.4%4.1%17.1%0.0%14.6%3.5%2.2%353.9K-12.2M-48.7K0.1325.71N/AN/A78107,6014,731