EWC Options History — July 2007

In July 2007, EWC traded between $29.70 and $32.19. ATM implied volatility averaged 16.9%, placing in the 66.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.0% (HV 20d: 16.0%). Max pain ranged from $27.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2007-07-12: Highest Volume — 5,800 contracts
  • 2007-07-12: Largest IV spike — 18.5% change
  • 2007-07-27: Highest IV Rank — 100.0%
  • 2007-07-27: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.96$29.70$32.19$30.23$29.89
Max Pain$29.95$27.00$31.00$27.00$30.00
ATM IV16.9%13.2%23.6%14.7%21.6%
Expected Move4.9%3.9%6.8%4.2%6.2%
HV 20d16.0%13.8%19.1%17.7%18.5%
HV 60d15.2%14.6%16.4%14.8%16.3%
IV Rank66.8%36.9%100.0%39.2%85.8%
IV Percentile74.5%22.0%100.0%26.2%98.6%
Term Structure1.2%-0.2%1.9%1.3%1.7%
VWIV17.5%13.4%23.2%14.7%21.8%
Skew 25d3.0%1.0%6.9%3.6%3.1%
Skew 10d4.1%-4.8%12.6%10.1%4.4%
Call IV 25d16.0%13.2%21.9%13.2%19.9%
Put IV 25d19.1%14.5%25.3%16.7%23.0%
Bid-Ask Spread %22.5416.0432.3531.2232.35
Gamma HHI0.450.240.660.310.42
Net GEX846.8K311.1K2.0M385.2K2.0M
Net DEX-23.3M-35.9M-13.7M-13.7M-25.0M
Net VEX-92.9K-157.7K-41.4K-46.9K-157.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.003.080.320.50
Total Volume1,343.857315,80041394
Total OI19,454.85712,32231,04012,32931,040

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$30.23$27.0014.7%4.2%17.7%0.0%14.7%3.6%1.3%385.2K-13.7M-46.9K0.3231.22N/AN/A31107,5884,741
2007-07-03$30.32$27.0015.8%4.5%17.7%0.0%14.2%3.6%1.3%379.9K-14.0M-45.4K0.4824.17N/AN/A21107,5814,741
2007-07-05$30.54$27.0013.5%3.9%17.2%39.2%0.0%1.0%1.8%398.6K-14.7M-44.1K2.2017.87N/AN/A1042297,5854,751
2007-07-06$30.84$30.0013.2%4.5%14.8%36.9%0.0%2.4%0.6%371.2K-15.7M-42.6K0.0018.01N/AN/A21107,5894,949
2007-07-09$30.90$30.0013.8%4.3%14.5%42.0%15.0%2.4%1.5%375.1K-16.2M-41.7K0.0024.53N/AN/A26907,6374,949
2007-07-10$30.75$30.0014.5%4.4%14.5%48.6%0.0%3.0%1.6%367.3K-16.0M-42.0K0.8623.87N/AN/A72627,6974,949
2007-07-11$30.75$30.0013.8%4.4%14.4%42.1%19.5%2.9%1.0%383.0K-15.8M-42.4K0.0027.22N/AN/A17507,7364,999
2007-07-12$31.43$30.0016.3%4.7%15.7%64.1%18.0%2.6%1.1%311.1K-17.9M-41.4K0.0221.15N/AN/A5,6871137,8154,999
2007-07-13$31.70$30.0015.1%4.3%15.5%53.6%18.8%2.5%1.3%752.4K-27.0M-78.1K0.0316.98N/AN/A1,9176112,4134,999
2007-07-16$31.50$29.0017.3%5.0%15.1%72.5%17.2%3.6%1.1%921.6K-29.1M-94.0K0.4620.82N/AN/A1,87586614,1895,048
2007-07-17$31.60$31.0016.9%4.8%15.1%68.7%16.9%2.5%1.2%980.9K-31.2M-107.4K0.1819.82N/AN/A67912015,7185,863
2007-07-18$32.00$31.0017.0%4.9%15.2%69.7%17.2%1.7%1.6%987.7K-34.0M-111.6K0.0118.79N/AN/A1,0631016,2555,782
2007-07-19$32.19$31.0017.1%4.9%13.8%70.1%17.3%1.4%0.9%1.0M-35.9M-112.2K0.0819.46N/AN/A7085516,6745,792
2007-07-20$31.92$31.0016.5%4.7%14.5%65.7%16.7%3.4%1.3%1.3M-35.0M-115.0K0.0322.75N/AN/A266716,9985,809
2007-07-23$31.70$31.0015.9%4.6%14.4%60.2%16.4%2.5%1.9%1.0M-31.4M-112.5K3.0818.34N/AN/A3721,14416,0105,485
2007-07-24$31.18$31.0018.2%5.2%15.5%80.0%17.9%4.9%1.6%927.9K-26.0M-127.4K0.1222.11N/AN/A2,43828716,2546,624
2007-07-25$31.11$31.0018.2%5.2%14.3%80.4%18.5%5.1%1.6%1.1M-28.0M-141.6K0.3421.72N/AN/A1,76459917,9006,840
2007-07-26$30.16$31.0020.4%5.8%18.5%98.5%13.4%3.0%1.6%1.0M-20.9M-144.7K0.9729.24N/AN/A52250518,4257,300
2007-07-27$29.70$31.0023.6%6.8%19.1%100.0%23.2%1.7%0.1%961.7K-17.9M-144.9K0.1426.94N/AN/A4,46460718,6047,451
2007-07-30$29.83$30.0022.3%6.4%19.1%91.2%19.0%6.9%-0.2%1.9M-23.6M-157.1K0.0816.04N/AN/A4683622,7698,004
2007-07-31$29.89$30.0021.6%6.2%18.5%85.8%21.8%3.1%1.7%2.0M-25.0M-157.7K0.5032.35N/AN/A26313123,0437,997