EWC Options History — March 2008

In March 2008, EWC traded between $29.02 and $32.01. ATM implied volatility averaged 27.7%, placing in the 70.3% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 1.7% (HV 20d: 29.4%). Max pain ranged from $28.00 to $32.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.65.

Notable Days

  • 2008-03-19: Highest Volume — 3,060 contracts
  • 2008-03-11: Largest IV drop — 25.7% change
  • 2008-03-17: Highest IV Rank — 93.5%
  • 2008-03-17: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.68$29.02$32.01$31.77$30.31
Max Pain$30.10$28.00$32.00$32.00$30.00
ATM IV27.7%22.3%33.9%22.3%29.8%
Expected Move8.0%6.4%9.7%6.4%8.5%
HV 20d29.4%21.4%36.6%22.8%34.1%
HV 60d25.3%22.4%28.3%22.5%28.1%
IV Rank70.3%50.1%93.5%50.1%78.0%
IV Percentile86.5%61.1%99.6%62.7%96.0%
Term Structure-0.3%-4.3%3.4%3.4%-1.2%
VWIV27.8%23.0%34.2%25.0%26.7%
Skew 25d8.3%3.2%12.4%4.9%8.8%
Skew 10d14.5%4.3%26.9%22.0%10.1%
Call IV 25d23.2%17.3%29.5%22.2%24.1%
Put IV 25d31.5%26.6%41.3%27.1%32.9%
Bid-Ask Spread %24.8817.5750.7917.5730.70
Gamma HHI0.300.190.420.330.25
Net GEX-330.6K-619.2K23.5K-434.4K-129.0K
Net DEX2.8M-2.7M15.4M-964.6K-710.1K
Net VEX-59.2K-67.3K-49.5K-67.3K-55.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.650.0717.170.140.23
Total Volume634.4703,060191457
Total OI17,833.0513,05821,97318,83913,491

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$31.77$32.0022.3%6.4%22.8%50.1%25.0%4.9%3.4%-434.4K-964.6K-67.3K0.1417.57N/AN/A1682310,3328,507
2008-03-04$31.40$32.0026.2%7.5%22.3%64.5%26.1%9.3%-0.3%-471.9K1.4M-65.4K0.1817.92N/AN/A1482710,4448,519
2008-03-05$32.01$32.0024.0%6.9%21.4%56.3%23.0%6.4%1.3%-415.8K-2.7M-66.6K0.1922.03N/AN/A911710,5528,539
2008-03-06$31.37$32.0026.9%7.7%23.0%67.1%24.6%3.2%-1.2%-420.3K89.3K-65.6K0.4922.52N/AN/A472310,5698,554
2008-03-07$31.03$32.0026.4%7.7%23.1%65.4%25.0%9.8%0.1%-475.7K3.0M-63.2K0.2121.10N/AN/A1463110,5848,572
2008-03-10$30.25$32.0031.1%8.3%24.5%82.9%29.7%7.0%-0.9%-334.2K7.3M-56.9K0.8223.96N/AN/A29123910,6868,590
2008-03-11$31.13$31.0023.1%7.2%26.3%53.1%28.1%10.9%-0.4%-619.2K3.7M-58.9K0.7721.14N/AN/A23117910,8798,764
2008-03-12$31.14$28.0022.4%7.6%26.3%50.4%26.4%8.8%-0.7%-594.2K2.0M-58.7K17.1722.57N/AN/A3560111,0738,550
2008-03-13$31.64$28.0024.2%6.9%26.2%57.1%24.0%12.0%1.8%-613.1K-1.4M-63.3K0.2321.88N/AN/A1573611,0778,677
2008-03-14$31.22$28.0027.2%7.8%26.5%68.4%24.6%10.2%-0.2%-514.9K1.3M-62.2K3.2350.79N/AN/A8126211,2168,713
2008-03-17$30.13$28.0033.9%9.7%29.4%93.5%34.0%12.4%-4.3%-281.1K8.5M-54.8K2.2230.48N/AN/A10523311,2288,913
2008-03-18$30.69$28.0028.3%8.1%30.2%72.4%34.2%11.3%-0.4%-336.9K6.2M-54.9K5.3819.83N/AN/A2401,29111,2369,035
2008-03-19$29.02$29.0033.7%9.7%35.4%92.7%31.1%7.6%-2.7%23.5K13.1M-49.5K7.7225.77N/AN/A3512,70911,3339,158
2008-03-20$29.02$30.0032.4%9.3%35.4%87.7%30.7%5.5%-0.8%-125.3K15.4M-53.9K3.4032.96N/AN/A3441,17111,52210,451
2008-03-24$29.70$30.0028.1%8.1%36.6%71.7%27.2%5.7%1.5%-271.2K2.7M-58.2K1.2821.83N/AN/A861106,9156,670
2008-03-25$30.44$30.0030.0%8.6%36.6%79.0%30.8%9.1%0.1%-266.7K684.9K-59.2K8.4125.02N/AN/A2191,8426,8756,757
2008-03-26$30.50$30.0028.9%8.3%35.8%74.6%27.8%8.8%-0.5%-104.2K-1.2M-56.9K0.2619.57N/AN/A178467,0326,026
2008-03-27$30.50$30.0028.2%8.1%35.8%72.2%30.1%7.6%-0.6%-110.8K-1.7M-56.8K0.0725.95N/AN/A343237,1895,998
2008-03-28$30.26$30.0027.3%7.8%35.3%68.7%26.4%7.2%0.2%-117.4K-858.9K-56.8K0.5723.96N/AN/A68397,4256,010
2008-03-31$30.31$30.0029.8%8.5%34.1%78.0%26.7%8.8%-1.2%-129.0K-710.1K-55.4K0.2330.70N/AN/A373847,4656,026