EWC Options History — August 2008

In August 2008, EWC traded between $28.97 and $30.80. ATM implied volatility averaged 23.5%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.7% (HV 20d: 25.3%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2008-08-14: Highest Volume — 8,015 contracts
  • 2008-08-13: Largest IV drop — 25.8% change
  • 2008-08-12: Highest IV Rank — 62.7%
  • 2008-08-04: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.80$28.97$30.80$30.80$30.38
Max Pain$30.10$30.00$31.00$31.00$30.00
ATM IV23.5%19.7%26.5%22.8%22.1%
Expected Move6.8%6.1%7.7%6.5%6.3%
HV 20d25.3%23.8%26.4%23.8%24.7%
HV 60d21.4%20.3%22.5%20.3%22.0%
IV Rank50.5%34.9%62.7%47.5%44.9%
IV Percentile53.0%14.7%79.0%45.2%38.5%
Term Structure1.0%-0.7%2.2%1.3%1.7%
VWIV23.0%13.9%26.7%13.9%22.4%
Skew 25d4.9%2.0%6.6%2.0%4.6%
Skew 10d11.4%-0.1%18.3%-0.1%9.9%
Call IV 25d21.5%18.9%24.7%20.2%19.4%
Put IV 25d26.4%22.2%29.9%22.2%24.0%
Bid-Ask Spread %23.4116.5530.0024.5322.44
Gamma HHI0.310.250.330.250.33
Net GEX170.2K-234.5K686.8K213.8K572.9K
Net DEX-360.4K-14.3M11.0M-440.7K-12.5M
Net VEX-144.4K-182.3K-104.1K-126.5K-173.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.002.350.592.35
Total Volume561.85758,0158957
Total OI29,602.52425,58033,70925,58233,649

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$30.80$31.0022.8%6.5%23.8%47.5%13.9%2.0%1.3%213.8K-440.7K-126.5K0.5924.53N/AN/A563313,40112,181
2008-08-04$29.80$31.0026.5%7.7%25.8%62.6%25.7%5.1%-0.7%-42.1K6.8M-117.2K2.3430.00N/AN/A16739013,42712,204
2008-08-05$29.90$30.0025.2%7.4%25.8%57.4%23.2%6.6%-0.7%-45.2K5.5M-118.8K2.1025.75N/AN/A5210913,49912,138
2008-08-06$30.25$30.0025.7%7.2%26.3%59.3%24.6%5.3%0.3%43.0K2.8M-120.5K0.5228.62N/AN/A1226413,53012,136
2008-08-07$29.83$30.0024.4%7.3%26.0%53.9%25.8%4.3%0.4%-71.3K5.9M-117.3K0.2123.78N/AN/A1944013,59112,173
2008-08-08$29.35$30.0025.9%7.6%26.4%60.1%24.5%5.9%0.5%-146.4K8.4M-112.3K0.7823.37N/AN/A796213,68912,173
2008-08-11$29.17$30.0025.3%7.5%26.2%57.7%26.7%4.4%-0.7%-225.3K11.0M-104.5K0.3122.46N/AN/A1394313,72812,191
2008-08-12$29.09$30.0026.5%7.3%24.7%62.7%22.4%6.0%0.4%-219.0K9.3M-104.1K1.0126.90N/AN/A747513,72311,857
2008-08-13$29.55$30.0019.7%6.9%24.7%34.9%24.5%6.3%1.5%-217.8K7.6M-107.1K0.2227.23N/AN/A1262813,78311,848
2008-08-14$29.59$30.0023.3%6.7%24.7%49.6%23.1%6.4%0.9%-234.5K7.8M-105.8K0.0025.30N/AN/A8,010513,83511,865
2008-08-15$29.12$30.0024.0%6.9%24.9%52.5%26.0%4.9%2.0%214.6K997.1K-170.1K0.3820.81N/AN/A893421,84311,866
2008-08-18$28.97$30.0024.0%6.9%23.8%52.6%23.6%4.5%1.4%177.6K1.3M-163.0K0.0221.90N/AN/A249521,07411,631
2008-08-19$28.97$30.0024.1%6.9%23.8%52.7%23.9%5.5%0.8%175.4K1.6M-162.4K0.3521.13N/AN/A772721,26211,633
2008-08-20$29.62$30.0021.6%6.2%25.5%42.5%20.2%5.5%1.9%263.9K-3.7M-171.0K0.1121.20N/AN/A1912121,30911,556
2008-08-21$30.50$30.0021.9%6.3%25.8%43.7%21.2%5.0%1.9%627.9K-12.6M-182.3K0.1322.30N/AN/A1722321,42011,570
2008-08-22$30.24$30.0022.0%6.3%25.6%44.2%21.7%3.8%1.8%501.4K-9.9M-179.9K1.1516.55N/AN/A10311821,52511,573
2008-08-25$29.76$30.0023.0%6.6%26.0%48.3%21.9%3.9%1.3%356.8K-5.6M-173.2K0.1420.15N/AN/A14221,55211,634
2008-08-26$29.82$30.0022.7%6.5%26.0%47.2%0.0%3.6%1.4%373.3K-6.0M-172.7K0.0022.47N/AN/A5021,55711,634
2008-08-27$30.41$30.0021.9%6.3%24.7%43.8%21.6%4.2%1.8%567.9K-11.6M-175.4K0.3023.52N/AN/A762321,55211,611
2008-08-28$30.74$30.0021.4%6.1%25.1%41.9%22.4%3.9%2.2%686.8K-14.3M-175.7K0.0521.16N/AN/A6123321,59611,634
2008-08-29$30.38$30.0022.1%6.3%24.7%44.9%0.0%4.6%1.7%572.9K-12.5M-173.7K2.3522.44N/AN/A174022,01311,636