EWC Options History — September 2007

In September 2007, EWC traded between $29.84 and $32.73. ATM implied volatility averaged 22.7%, placing in the 62.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 1.6% (HV 20d: 24.3%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 4.40.

Notable Days

  • 2007-09-26: Highest Volume — 20,727 contracts
  • 2007-09-27: Largest IV drop — 19.2% change
  • 2007-09-11: Highest IV Rank — 70.6%
  • 2007-09-10: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.29$29.84$32.73$30.29$32.73
Max Pain$29.00$27.00$30.00$27.00$30.00
ATM IV22.7%17.9%24.4%22.8%19.7%
Expected Move6.6%5.1%7.4%6.5%5.6%
HV 20d24.3%14.0%31.0%30.9%14.0%
HV 60d22.9%22.7%23.3%22.9%22.8%
IV Rank62.5%41.0%70.6%63.1%49.0%
IV Percentile86.8%69.2%94.2%91.1%74.2%
Term Structure-0.7%-6.0%5.0%-0.4%-0.4%
VWIV23.5%14.2%34.6%20.1%18.5%
Skew 25d7.6%4.8%9.6%8.7%4.8%
Skew 10d10.6%3.5%16.6%6.3%4.6%
Call IV 25d17.5%13.0%21.5%17.0%14.3%
Put IV 25d25.1%19.0%30.4%25.7%19.0%
Bid-Ask Spread %33.5714.7550.5642.6418.75
Gamma HHI0.330.260.440.260.42
Net GEX980.4K-1.2M2.8M2.7M-491.3K
Net DEX-39.8M-61.2M-23.6M-40.1M-26.0M
Net VEX-160.2K-198.5K-139.7K-167.1K-166.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.400.0139.320.580.11
Total Volume3,230.84222420,727286707
Total OI47,157.21136,08761,55740,45446,901

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$30.29$27.0022.8%6.5%30.9%63.1%20.1%8.7%-0.4%2.7M-40.1M-167.1K0.5842.64N/AN/A18110528,91811,536
2007-09-05$30.07$27.0023.1%6.6%31.0%64.6%21.9%5.1%0.1%2.7M-35.7M-161.5K0.2744.26N/AN/A4,5441,21328,85511,585
2007-09-06$30.24$27.0022.9%6.6%30.1%63.4%22.1%6.7%0.9%2.6M-37.6M-151.4K0.3847.04N/AN/A4,1041,56727,36411,690
2007-09-07$29.97$28.0024.1%7.3%28.0%69.2%34.6%8.6%0.8%2.6M-34.2M-162.7K0.1443.24N/AN/A80011228,55112,182
2007-09-10$29.84$28.0024.1%7.4%28.1%68.9%30.8%9.2%0.2%2.8M-34.2M-158.7K0.0150.56N/AN/A312228,99712,270
2007-09-11$30.31$28.0024.4%7.1%28.6%70.6%22.9%9.5%-0.9%2.7M-42.6M-160.2K0.2725.89N/AN/A2928029,15712,270
2007-09-12$30.68$28.0022.1%6.6%26.8%59.9%23.8%8.7%0.5%2.7M-46.5M-157.1K0.2747.88N/AN/A42811629,04812,322
2007-09-13$30.90$28.0024.0%6.9%24.8%68.5%25.8%7.9%-0.9%2.4M-51.0M-154.7K35.9242.29N/AN/A56120,15328,86412,376
2007-09-14$31.09$30.0024.0%6.9%23.8%68.7%23.6%8.9%0.3%-1.1M-36.1M-198.5K0.2129.77N/AN/A2114528,79732,431
2007-09-17$31.08$30.0024.1%6.9%21.8%68.8%27.0%9.6%-0.6%-1.2M-38.4M-187.2K0.6832.36N/AN/A28019028,80732,469
2007-09-18$31.93$30.0023.0%6.6%23.2%63.8%25.1%8.6%-6.0%334.4K-58.0M-159.3K0.4626.03N/AN/A82237428,81132,644
2007-09-19$31.76$30.0023.0%6.6%23.5%63.9%0.0%7.3%-3.4%115.9K-55.8M-158.4K0.0522.29N/AN/A5082528,62332,934
2007-09-20$31.94$30.0023.3%6.7%23.1%65.2%23.3%7.7%-2.7%278.8K-57.7M-155.7K0.1626.39N/AN/A3595628,47832,942
2007-09-21$32.16$30.0021.7%6.2%23.1%58.0%20.7%6.7%-2.4%39.3K-61.2M-149.3K0.0639.23N/AN/A3302028,43132,993
2007-09-24$32.17$30.0021.4%6.1%23.0%56.9%21.3%5.0%-0.4%-34.3K-25.7M-140.2K0.0641.47N/AN/A4042516,52119,566
2007-09-25$32.27$30.0022.9%6.6%22.5%63.6%22.9%6.7%-2.0%16.9K-25.4M-142.6K0.1618.68N/AN/A1933116,57219,586
2007-09-26$32.37$30.0022.2%6.4%19.5%60.2%25.3%7.1%-1.2%49.4K-26.1M-139.7K39.3224.41N/AN/A51420,21316,56619,612
2007-09-27$32.67$30.0017.9%5.1%15.6%41.0%14.2%7.7%5.0%-491.1K-23.6M-173.5K4.4514.75N/AN/A2771,23216,62829,690
2007-09-28$32.73$30.0019.7%5.6%14.0%49.0%18.5%4.8%-0.4%-491.3K-26.0M-166.8K0.1118.75N/AN/A6357216,65130,250