EWC Options History — December 2007

In December 2007, EWC traded between $31.00 and $32.54. ATM implied volatility averaged 21.7%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 4.9% (HV 20d: 26.7%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2007-12-20: Highest Volume — 21,725 contracts
  • 2007-12-13: Largest IV spike — 47.9% change
  • 2007-12-17: Highest IV Rank — 61.2%
  • 2007-12-11: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.72$31.00$32.54$31.80$32.12
Max Pain$31.40$31.00$32.00$32.00$31.00
ATM IV21.7%17.0%25.3%23.8%23.6%
Expected Move6.4%4.9%7.6%6.8%6.8%
HV 20d26.7%18.1%34.9%34.6%18.2%
HV 60d27.4%27.0%27.8%27.0%27.5%
IV Rank48.0%30.2%61.2%55.6%55.0%
IV Percentile74.6%52.9%90.0%85.3%83.2%
Term Structure2.9%0.1%7.9%4.5%0.1%
VWIV21.3%15.0%25.3%22.1%21.8%
Skew 25d4.3%1.8%6.9%6.0%4.5%
Skew 10d6.5%-6.0%13.2%8.8%6.9%
Call IV 25d20.8%14.9%24.0%22.7%20.8%
Put IV 25d25.0%21.8%28.8%28.8%25.3%
Bid-Ask Spread %27.0117.3748.4530.2226.23
Gamma HHI0.470.280.810.310.67
Net GEX1.3M-2.3M7.2M-1.7M1.9M
Net DEX-18.5M-64.9M13.7M770.5K-31.9M
Net VEX-137.3K-172.1K-90.1K-156.2K-133.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.008.700.290.27
Total Volume2,287.916221,725168524
Total OI53,391.829,48474,35951,26630,001

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$31.80$32.0023.8%6.8%34.6%55.6%22.1%6.0%4.5%-1.7M770.5K-156.2K0.2930.22N/AN/A1303819,93431,332
2007-12-04$31.20$32.0023.6%6.8%34.9%54.9%21.0%3.5%6.2%-2.3M13.7M-147.7K0.0123.73N/AN/A10,18414519,92331,355
2007-12-05$31.61$31.0017.2%4.9%34.2%31.1%15.0%4.1%5.3%78.8K-12.7M-172.1K8.7031.44N/AN/A7161829,75531,410
2007-12-06$31.94$31.0017.3%5.0%34.1%31.6%17.8%1.9%7.9%339.2K-25.4M-157.9K1.0126.97N/AN/A15816029,78131,477
2007-12-07$32.07$31.0020.3%6.7%34.0%42.5%22.5%6.4%1.8%235.5K-29.3M-156.7K0.3021.78N/AN/A55816529,82431,549
2007-12-10$32.27$31.0020.8%6.7%33.5%44.5%22.6%4.9%1.6%285.3K-35.6M-142.4K0.0922.88N/AN/A2762530,02531,671
2007-12-11$31.40$31.0023.2%7.6%30.7%53.3%24.3%1.8%1.9%311.7K-15.5M-145.8K0.6028.24N/AN/A18711330,16331,696
2007-12-12$31.71$31.0017.0%6.6%29.5%30.2%21.6%6.2%2.3%261.2K-18.2M-142.8K1.7339.12N/AN/A9616630,17431,776
2007-12-13$31.45$32.0025.1%7.2%29.6%60.5%23.5%5.2%1.6%288.1K-6.9M-138.9K1.1422.11N/AN/A27631430,19731,920
2007-12-14$31.28$32.0024.2%6.9%25.8%57.1%22.6%4.0%1.1%720.7K-4.2M-132.0K0.0719.88N/AN/A1651130,35332,091
2007-12-17$31.03$32.0025.3%7.2%25.4%61.2%25.3%2.2%2.1%952.0K1.1M-115.4K0.4618.53N/AN/A1115130,31731,182
2007-12-18$31.00$32.0024.9%7.2%23.8%60.0%23.5%3.4%2.2%1.9M3.1M-106.1K0.3217.37N/AN/A1514830,28731,205
2007-12-19$31.17$32.0024.1%6.9%23.2%56.9%22.0%4.3%3.5%7.2M-2.6M-90.1K0.4618.35N/AN/A3,0001,36530,23331,209
2007-12-20$31.30$32.0023.9%6.9%21.4%56.2%24.0%4.1%1.6%6.1M-13.3M-110.0K0.0024.83N/AN/A21,6586732,52330,967
2007-12-21$31.96$31.0019.4%5.6%21.5%39.1%20.2%4.8%4.0%1.6M-64.9M-152.2K0.0948.45N/AN/A2,88925243,72830,631
2007-12-24$32.10$31.0021.3%6.1%21.5%46.5%15.6%6.9%0.9%1.8M-29.1M-136.8K1.0047.10N/AN/A46446421,1248,360
2007-12-26$32.22$31.0019.9%5.7%20.6%41.1%19.2%4.3%3.3%1.8M-30.8M-138.0K0.4325.52N/AN/A25310821,4518,380
2007-12-27$32.20$31.0020.5%5.9%18.1%43.3%21.0%3.1%2.8%1.9M-31.2M-138.1K0.1727.57N/AN/A2664521,5678,298
2007-12-28$32.54$31.0019.5%5.6%18.5%39.6%19.8%4.3%2.5%1.7M-36.1M-133.7K0.1219.81N/AN/A1662021,6898,278
2007-12-31$32.12$31.0023.6%6.8%18.2%55.0%21.8%4.5%0.1%1.9M-31.9M-133.8K0.2726.23N/AN/A41411021,7138,288