EWC Options History — September 2008

In September 2008, EWC traded between $25.80 and $29.30. ATM implied volatility averaged 33.8%, placing in the 81.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 4.6% (HV 20d: 38.5%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 10.00.

Notable Days

  • 2008-09-18: Highest Volume — 12,418 contracts
  • 2008-09-29: Largest IV spike — 55.4% change
  • 2008-09-17: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.85$25.80$29.30$29.30$26.34
Max Pain$29.00$28.00$30.00$30.00$29.00
ATM IV33.8%25.8%60.3%26.5%41.6%
Expected Move9.5%7.4%17.3%7.6%11.9%
HV 20d38.5%25.2%52.9%25.2%52.8%
HV 60d28.7%23.1%36.4%23.1%36.4%
IV Rank81.6%59.8%100.0%62.8%62.0%
IV Percentile95.0%76.2%100.0%80.6%99.6%
Term Structure-2.2%-15.7%11.3%-1.4%2.4%
VWIV32.0%23.8%56.5%23.8%42.2%
Skew 25d6.4%1.0%12.2%5.5%7.1%
Skew 10d17.2%-2.6%44.0%10.7%18.0%
Call IV 25d29.6%20.7%48.7%22.9%40.6%
Put IV 25d36.0%28.4%52.9%28.4%47.7%
Bid-Ask Spread %45.3416.92124.2319.3359.71
Gamma HHI0.250.160.340.340.17
Net GEX298.6K-296.9K958.6K154.4K-296.9K
Net DEX1.1M-15.9M13.8M-1.7M10.7M
Net VEX-154.8K-217.3K-104.4K-158.8K-184.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.000.02174.470.022.32
Total Volume1,182.6677112,4181,061362
Total OI35,803.95232,81046,47733,68941,512

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$29.30$30.0026.5%7.6%25.2%62.8%23.8%5.5%-1.4%154.4K-1.7M-158.8K0.0219.33N/AN/A1,0412022,01311,676
2008-09-03$29.09$30.0025.8%7.4%25.3%59.8%24.6%7.7%-0.1%277.8K-171.1K-152.9K1.2917.42N/AN/A314023,03911,675
2008-09-04$28.12$30.0028.5%8.2%27.3%70.7%24.5%4.5%-1.5%229.8K6.5M-135.5K2.8625.77N/AN/A4412623,03811,675
2008-09-05$28.34$30.0029.5%7.8%27.3%75.1%24.6%6.9%-0.2%202.4K5.6M-140.2K0.2322.33N/AN/A46010423,03811,752
2008-09-08$27.98$29.0030.8%7.9%27.1%80.2%25.5%4.1%-1.3%226.0K8.5M-128.6K0.2424.45N/AN/A3257823,12011,765
2008-09-09$26.70$29.0033.7%8.7%31.3%92.1%28.4%1.0%-1.3%218.8K13.8M-106.8K1.1526.96N/AN/A17720323,38011,737
2008-09-10$27.44$29.0031.7%8.5%33.3%83.7%28.3%3.0%-1.3%354.6K4.3M-117.3K0.0416.92N/AN/A3331323,4809,330
2008-09-11$27.86$28.0028.6%8.2%33.3%71.2%28.2%5.0%-0.3%385.9K3.7M-120.4K1.8219.65N/AN/A336023,6829,340
2008-09-12$28.41$28.0029.9%8.6%34.2%76.6%30.0%7.0%-2.1%483.1K-707.6K-131.8K0.1021.33N/AN/A1601623,7039,371
2008-09-15$26.96$28.0033.9%9.7%38.3%92.8%31.8%1.8%-3.7%308.4K5.5M-109.6K0.1823.33N/AN/A941723,7599,386
2008-09-16$27.12$28.0033.2%9.5%38.5%89.9%29.3%5.9%-3.6%299.1K6.7M-105.0K3.1644.77N/AN/A4231,33723,8239,361
2008-09-17$26.31$29.0037.9%10.9%39.6%100.0%34.9%8.0%-5.4%164.2K9.8M-104.4K0.6537.83N/AN/A15310024,00010,350
2008-09-18$26.97$29.0036.2%10.4%39.9%93.8%31.0%10.3%-5.7%219.0K4.8M-121.4K0.9950.47N/AN/A6,2416,17724,12710,342
2008-09-19$29.01$29.0031.3%9.0%47.2%75.6%32.0%8.4%-1.5%958.6K-13.3M-217.3K0.0883.51N/AN/A2181730,24216,235
2008-09-22$29.13$29.0027.2%7.8%47.2%59.9%29.6%11.9%11.3%502.6K-15.9M-209.9K0.89124.23N/AN/A30126921,12614,386
2008-09-23$28.87$29.0036.2%10.4%46.9%93.9%37.5%4.7%-2.1%502.4K-11.5M-208.9K4.4379.46N/AN/A4218621,44114,658
2008-09-24$28.71$29.0034.9%10.0%46.9%89.1%34.4%7.1%-3.2%462.7K-11.4M-209.3K12.0052.36N/AN/A1315621,44614,808
2008-09-25$28.66$29.0033.9%9.7%46.3%85.3%30.6%8.9%-3.4%464.5K-10.5M-207.7K2.0070.43N/AN/A285621,45914,815
2008-09-26$27.77$29.0038.8%11.1%47.0%100.0%45.0%12.2%-5.6%378.6K-4.5M-197.5K174.4746.93N/AN/A305,23421,47614,865
2008-09-29$25.80$29.0060.3%17.3%52.9%100.0%56.5%4.2%-15.7%-225.0K13.0M-183.4K1.0784.84N/AN/A576121,50619,946
2008-09-30$26.34$29.0041.6%11.9%52.8%62.0%42.2%7.1%2.4%-296.9K10.7M-184.5K2.3259.71N/AN/A10925321,53619,976