EWC Options History — August 2007

In August 2007, EWC traded between $27.52 and $30.20. ATM implied volatility averaged 24.8%, placing in the 80.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 0.3% (HV 20d: 25.1%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.93.

Notable Days

  • 2007-08-14: Highest Volume — 4,580 contracts
  • 2007-08-09: Largest IV spike — 30.4% change
  • 2007-08-03: Highest IV Rank — 100.0%
  • 2007-08-17: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.23$27.52$30.20$29.59$29.90
Max Pain$27.39$27.00$30.00$30.00$27.00
ATM IV24.8%20.3%30.9%22.7%21.6%
Expected Move7.0%5.8%8.9%6.5%6.2%
HV 20d25.1%18.8%31.3%18.8%30.7%
HV 60d19.7%16.3%23.1%16.3%22.8%
IV Rank80.2%51.8%100.0%93.4%57.8%
IV Percentile95.8%85.8%100.0%99.3%88.0%
Term Structure-0.7%-5.2%2.5%1.4%0.6%
VWIV23.7%13.2%33.3%25.0%20.3%
Skew 25d5.8%3.2%8.7%4.0%5.6%
Skew 10d13.1%5.6%22.1%6.7%9.4%
Call IV 25d21.5%17.6%27.1%22.5%18.9%
Put IV 25d27.4%23.2%35.8%26.5%24.5%
Bid-Ask Spread %40.4421.6248.5026.4448.50
Gamma HHI0.340.240.440.410.26
Net GEX1.9M889.4K2.7M1.8M2.7M
Net DEX-21.2M-35.0M-5.0M-23.0M-35.0M
Net VEX-160.1K-177.8K-135.3K-160.0K-167.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.025.720.120.54
Total Volume1,045744,5801,004142
Total OI36,313.21731,29240,49131,30540,491

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$29.59$30.0022.7%6.5%18.8%93.4%25.0%4.0%1.4%1.8M-23.0M-160.0K0.1226.44N/AN/A89910523,2508,055
2007-08-02$30.18$30.0021.0%6.0%20.0%82.2%20.8%5.7%1.8%2.1M-28.0M-159.5K1.0721.62N/AN/A46850323,2348,058
2007-08-03$29.60$30.0023.9%6.8%20.7%100.0%23.6%3.2%-0.6%1.8M-21.7M-157.6K0.4439.91N/AN/A33314523,4718,003
2007-08-06$29.46$27.0025.4%7.0%20.6%100.0%18.1%5.2%-1.3%2.0M-19.8M-150.4K1.2838.18N/AN/A1,1031,40723,4848,029
2007-08-07$29.53$27.0021.4%6.4%20.7%75.9%22.9%5.0%-1.3%2.2M-21.6M-158.2K0.9535.29N/AN/A23522324,2298,862
2007-08-08$30.20$27.0022.3%6.4%22.4%80.9%22.5%5.9%-0.7%2.2M-29.1M-166.5K0.7543.22N/AN/A14410824,4219,012
2007-08-09$29.29$27.0029.1%7.5%23.1%100.0%0.0%6.3%-3.0%1.8M-18.9M-159.5K0.1247.16N/AN/A1672024,4609,102
2007-08-10$29.37$27.0029.5%7.7%22.8%100.0%29.4%5.9%-2.3%2.0M-18.9M-159.2K0.9335.26N/AN/A39236424,4699,122
2007-08-13$29.30$27.0027.7%7.3%22.8%91.4%23.7%4.7%-2.1%2.2M-17.9M-155.1K0.2541.32N/AN/A3027624,5399,343
2007-08-14$28.55$27.0023.3%7.3%23.9%70.0%23.2%5.1%-1.6%1.0M-9.2M-139.3K0.0535.78N/AN/A4,36621424,5019,377
2007-08-15$27.87$27.0029.2%8.1%23.9%98.6%29.8%6.5%-3.7%996.8K-7.2M-136.9K0.6042.51N/AN/A39823728,3789,300
2007-08-16$27.52$27.0030.1%8.6%23.5%100.0%33.3%8.7%-4.3%889.4K-5.0M-135.3K3.1347.60N/AN/A7542,36228,4759,151
2007-08-17$28.42$27.0030.9%8.9%27.4%100.0%29.1%8.2%-5.2%1.1M-10.3M-157.8K0.8941.35N/AN/A16614728,49510,934
2007-08-20$28.68$27.0025.4%7.3%27.9%74.9%25.2%5.8%0.0%1.2M-14.3M-156.8K0.0243.01N/AN/A4,2319823,92310,430
2007-08-21$28.79$27.0025.6%7.3%27.7%75.6%24.6%6.4%-0.5%1.8M-19.4M-166.4K1.0546.59N/AN/A68171527,92710,448
2007-08-22$29.28$27.0024.1%6.9%28.7%68.8%24.1%6.7%0.8%2.1M-25.5M-177.8K0.8543.85N/AN/A13011028,39411,076
2007-08-23$29.48$27.0022.7%6.5%26.9%62.5%20.4%4.9%1.5%2.3M-28.2M-175.7K0.4542.24N/AN/A1828128,44711,176
2007-08-24$29.77$27.0020.3%5.8%26.6%51.8%19.8%4.8%2.5%2.4M-32.0M-175.6K0.3536.46N/AN/A85029728,49111,242
2007-08-27$29.50$27.0022.7%6.5%26.8%62.5%22.1%5.7%1.5%2.4M-29.3M-173.8K5.7245.97N/AN/A2514328,89611,412
2007-08-28$28.74$27.0024.3%7.0%28.2%69.7%31.2%7.3%0.7%2.0M-18.9M-163.8K1.5541.35N/AN/A18929328,90511,437
2007-08-29$29.84$27.0021.6%6.2%31.3%57.7%13.2%5.4%0.3%2.7M-28.7M-164.9K0.1644.27N/AN/A641028,88011,490
2007-08-30$29.42$27.0024.6%7.0%30.8%71.2%19.5%7.1%-1.0%2.4M-26.2M-165.3K0.2142.16N/AN/A1292728,88611,499
2007-08-31$29.90$27.0021.6%6.2%30.7%57.8%20.3%5.6%0.6%2.7M-35.0M-167.5K0.5448.50N/AN/A925028,98411,507