EWC Options History — June 2008

In June 2008, EWC traded between $33.10 and $35.01. ATM implied volatility averaged 22.1%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.9% (HV 20d: 19.2%). Max pain ranged from $31.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2008-06-25: Highest Volume — 652 contracts
  • 2008-06-06: Largest IV spike — 19.4% change
  • 2008-06-27: Highest IV Rank — 55.0%
  • 2008-06-27: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.14$33.10$35.01$34.91$33.16
Max Pain$33.76$31.00$35.00$31.00$34.00
ATM IV22.1%17.6%24.6%20.4%22.9%
Expected Move6.4%5.1%7.1%5.8%6.6%
HV 20d19.2%17.3%21.0%17.4%19.2%
HV 60d22.0%19.4%25.3%25.3%20.2%
IV Rank44.9%26.5%55.0%37.6%48.0%
IV Percentile49.5%18.3%72.6%34.1%55.2%
Term Structure1.2%-0.1%2.7%1.1%2.2%
VWIV22.3%17.7%25.2%22.2%23.2%
Skew 25d4.7%1.1%7.6%5.7%3.7%
Skew 10d9.4%1.5%14.6%6.5%7.9%
Call IV 25d20.4%12.2%23.3%17.6%21.1%
Put IV 25d25.1%19.8%27.8%23.4%24.7%
Bid-Ask Spread %25.4814.5635.5815.5823.13
Gamma HHI0.220.190.250.190.23
Net GEX427.9K365.0K502.5K459.2K371.6K
Net DEX-13.6M-19.9M-3.7M-19.5M-4.0M
Net VEX-52.7K-60.0K-47.1K-59.3K-47.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.002.991.510.16
Total Volume250.23898652236191
Total OI15,838.5718,91718,87717,8029,551

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$34.91$31.0020.4%5.8%17.4%37.6%22.2%5.7%1.1%459.2K-19.5M-59.3K1.5115.58N/AN/A9414211,0126,790
2008-06-03$34.40$31.0022.2%6.4%18.5%45.0%22.0%5.3%0.4%468.8K-17.5M-60.0K0.5116.08N/AN/A41021111,0536,928
2008-06-04$34.15$31.0021.6%6.2%17.3%42.8%21.6%4.3%0.9%479.1K-16.0M-58.1K0.0114.56N/AN/A275211,2407,124
2008-06-05$34.89$31.0017.6%5.1%18.5%26.5%17.7%7.6%2.7%464.9K-19.3M-57.1K0.2018.78N/AN/A1673311,3557,124
2008-06-06$34.66$35.0021.1%6.0%18.6%40.4%22.9%5.0%1.1%438.4K-18.4M-58.2K0.0129.51N/AN/A202111,2817,137
2008-06-09$34.62$35.0021.2%6.6%18.5%41.2%22.5%4.0%0.5%451.4K-18.2M-56.6K0.3127.11N/AN/A1314111,3277,137
2008-06-10$33.96$35.0022.7%6.5%19.1%47.2%20.7%4.6%-0.1%484.0K-15.0M-56.3K0.7530.16N/AN/A564211,3727,164
2008-06-11$34.22$35.0021.7%6.7%19.2%43.2%22.4%3.7%1.3%480.2K-16.2M-54.0K0.0626.35N/AN/A95611,3837,196
2008-06-12$33.72$35.0023.7%6.8%19.9%51.3%24.3%3.9%1.0%502.5K-13.9M-53.7K2.0327.52N/AN/A7715611,3797,200
2008-06-13$33.97$35.0022.2%6.4%18.9%45.2%22.9%6.8%1.6%471.6K-14.8M-53.1K1.0132.69N/AN/A818211,3687,253
2008-06-16$34.53$35.0021.8%6.3%19.3%43.5%23.9%5.8%2.0%411.9K-18.0M-52.1K0.2832.04N/AN/A1785011,3537,240
2008-06-17$35.01$34.0021.3%6.1%20.0%41.2%21.0%5.0%1.5%365.0K-19.9M-50.8K0.0235.58N/AN/A186311,3747,290
2008-06-18$34.98$34.0021.4%6.1%19.6%41.9%21.3%4.8%1.7%367.3K-19.9M-51.0K0.0029.52N/AN/A222111,4387,290
2008-06-19$34.39$34.0022.6%6.5%20.1%46.6%21.6%1.1%0.8%402.7K-17.2M-50.3K0.2025.60N/AN/A1482911,5567,291
2008-06-20$33.81$34.0022.8%6.5%20.8%47.4%22.2%3.0%1.0%418.4K-14.3M-48.8K0.4527.09N/AN/A38617211,5867,291
2008-06-23$34.06$34.0022.4%6.4%21.0%46.1%21.6%4.9%1.8%398.6K-5.7M-49.2K0.1926.82N/AN/A125246,1082,809
2008-06-24$33.60$34.0022.8%6.5%20.3%47.7%25.2%2.4%1.0%396.7K-4.6M-48.3K0.7224.55N/AN/A94686,1962,824
2008-06-25$33.46$34.0023.8%6.8%19.4%51.4%22.3%6.6%0.8%399.2K-4.3M-47.1K0.5621.61N/AN/A4192336,1312,821
2008-06-26$33.10$34.0024.1%6.9%19.5%53.0%24.6%5.6%0.7%370.1K-3.7M-47.6K1.2828.32N/AN/A47606,4332,886
2008-06-27$33.24$34.0024.6%7.1%19.2%55.0%22.5%4.9%0.5%384.9K-4.4M-48.1K2.9922.46N/AN/A792366,4332,886
2008-06-30$33.16$34.0022.9%6.6%19.2%48.0%23.2%3.7%2.2%371.6K-4.0M-47.7K0.1623.13N/AN/A164276,5143,037