EWC Options History — January 2008

In January 2008, EWC traded between $28.36 and $32.54. ATM implied volatility averaged 26.5%, placing in the 65.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 5.2% (HV 20d: 21.3%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2008-01-02: Highest Volume — 2,932 contracts
  • 2008-01-07: Largest IV spike — 18.8% change
  • 2008-01-22: Highest IV Rank — 85.7%
  • 2008-01-22: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.32$28.36$32.54$32.40$30.28
Max Pain$31.00$30.00$32.00$31.00$30.00
ATM IV26.5%21.0%31.8%23.3%28.1%
Expected Move7.7%6.0%9.1%6.7%8.1%
HV 20d21.3%16.5%26.2%18.4%25.7%
HV 60d27.9%27.0%28.9%27.3%27.0%
IV Rank65.9%45.4%85.7%53.6%71.9%
IV Percentile90.6%69.0%99.6%81.3%93.7%
Term Structure-0.3%-3.6%2.0%1.6%-1.6%
VWIV26.0%15.5%31.6%24.7%27.0%
Skew 25d5.3%3.1%10.0%3.1%4.5%
Skew 10d8.9%-3.4%18.4%0.8%12.0%
Call IV 25d24.3%20.3%28.9%22.1%24.9%
Put IV 25d29.5%24.4%36.1%25.2%29.4%
Bid-Ask Spread %30.6621.5239.9823.7534.11
Gamma HHI0.480.210.830.670.25
Net GEX1.3M-209.3K4.6M1.9M-209.3K
Net DEX-4.9M-34.6M11.6M-34.1M4.7M
Net VEX-87.9K-130.4K-56.6K-130.4K-72.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.032.830.100.09
Total Volume398.333382,9322,932141
Total OI24,762.90517,46230,07130,07118,111

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$32.40$31.0023.3%6.7%18.4%53.6%24.7%3.1%1.6%1.9M-34.1M-130.4K0.1023.75N/AN/A2,67725521,7778,294
2008-01-03$32.54$31.0021.0%6.0%16.8%45.4%18.5%4.1%2.0%1.6M-34.6M-117.3K0.0321.52N/AN/A6432020,6198,403
2008-01-04$31.73$32.0021.5%6.9%18.9%47.0%24.1%4.9%1.2%2.3M-25.2M-118.1K0.0726.74N/AN/A1801220,4868,413
2008-01-07$31.28$32.0025.5%7.4%19.2%62.0%28.3%5.9%0.4%2.7M-17.8M-114.0K0.3926.27N/AN/A1174620,4998,409
2008-01-08$31.09$32.0024.5%7.6%19.1%58.5%24.5%5.1%-1.5%2.9M-17.2M-113.2K0.3929.32N/AN/A1475820,5548,253
2008-01-09$31.17$32.0026.6%7.4%19.0%66.1%26.8%6.3%0.6%3.0M-15.3M-109.4K0.5732.85N/AN/A1387820,5698,270
2008-01-10$31.30$32.0025.4%7.3%16.5%61.9%25.2%5.1%-0.9%3.1M-19.5M-108.4K0.2332.04N/AN/A31720,5548,226
2008-01-11$30.80$32.0025.7%7.4%17.0%62.8%27.2%4.3%1.1%3.6M-11.9M-104.9K2.5728.00N/AN/A20653020,5568,226
2008-01-14$31.07$31.0025.7%7.4%17.1%62.9%23.6%5.9%0.7%4.6M-15.1M-101.1K2.8328.61N/AN/A308520,5678,457
2008-01-15$30.23$31.0025.6%7.3%19.6%62.4%24.8%4.3%-0.0%3.0M741.9K-87.2K1.0226.97N/AN/A18719020,5678,449
2008-01-16$29.41$31.0027.8%8.0%21.5%70.5%23.3%3.2%0.4%-79.7K9.3M-71.6K1.4929.17N/AN/A9614320,5878,466
2008-01-17$28.56$31.0029.2%8.4%23.5%75.9%31.3%4.1%-1.2%-87.9K10.9M-63.6K1.3326.48N/AN/A12716920,6198,192
2008-01-18$28.53$31.0028.9%8.3%23.2%74.6%28.6%4.8%-2.0%-92.4K11.6M-61.0K0.7835.69N/AN/A20015620,6098,212
2008-01-22$28.36$31.0031.8%9.1%23.0%85.7%30.7%5.5%-3.6%-99.9K11.1M-56.6K0.4035.65N/AN/A221889,6657,797
2008-01-23$28.65$31.0029.1%8.4%21.7%75.7%29.0%10.0%-2.9%-107.6K10.6M-57.7K2.4439.98N/AN/A1243039,7967,745
2008-01-24$29.58$30.0027.1%7.8%25.3%68.1%27.2%5.7%0.1%-168.4K7.4M-68.8K1.9927.51N/AN/A1432849,8457,939
2008-01-25$29.64$30.0027.4%7.8%25.2%69.1%27.6%5.0%-1.4%-140.4K6.8M-72.2K0.3826.81N/AN/A85329,9558,059
2008-01-28$29.58$30.0028.4%8.1%25.2%72.9%15.5%6.0%-0.5%-182.6K6.1M-70.8K0.3636.42N/AN/A98359,9528,089
2008-01-29$30.20$30.0028.0%8.0%26.2%71.3%31.6%6.7%0.4%-177.1K4.9M-74.1K0.0339.11N/AN/A6029,9968,119
2008-01-30$30.25$30.0026.7%7.7%26.1%66.6%27.0%6.1%0.5%-191.3K4.2M-74.0K0.2636.88N/AN/A176459,9998,121
2008-01-31$30.28$30.0028.1%8.1%25.7%71.9%0.0%4.5%-1.6%-209.3K4.7M-72.4K0.0934.11N/AN/A129129,9878,124