EWC Options History — December 2008

In December 2008, EWC traded between $15.26 and $17.43. ATM implied volatility averaged 56.8%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 5.6% (HV 20d: 62.4%). Max pain ranged from $16.00 to $20.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 5.48.

Notable Days

  • 2008-12-04: Highest Volume — 2,577 contracts
  • 2008-12-11: Largest IV drop — 10.3% change
  • 2008-12-01: Highest IV Rank — 68.3%
  • 2008-12-01: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.44$15.26$17.43$16.34$17.43
Max Pain$18.27$16.00$20.00$20.00$18.00
ATM IV56.8%43.2%71.0%71.0%43.2%
Expected Move16.0%12.4%20.4%20.4%12.4%
HV 20d62.4%39.3%82.3%82.3%39.3%
HV 60d79.0%76.2%80.6%80.1%76.2%
IV Rank51.3%35.1%68.3%68.3%35.1%
IV Percentile83.1%74.6%94.0%94.0%74.6%
Term Structure-0.2%-7.2%4.2%-7.2%1.2%
VWIV53.7%40.1%73.8%54.6%40.1%
Skew 25d12.9%9.1%19.9%16.7%11.4%
Skew 10d21.7%1.6%38.0%29.2%23.0%
Call IV 25d49.7%34.7%62.5%59.9%34.7%
Put IV 25d62.6%46.1%79.1%76.6%46.1%
Bid-Ask Spread %27.3818.5043.8125.7621.76
Gamma HHI0.520.160.890.700.17
Net GEX-163.4K-424.9K19.3K-292.8K9.6K
Net DEX19.5M8.0M28.2M25.4M8.0M
Net VEX-19.8K-34.7K-10.9K-34.7K-12.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.480.00111.040.670.13
Total Volume328.95572,5772580
Total OI43,515.45522,83754,99252,08022,921

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$16.34$20.0071.0%20.4%82.3%68.3%54.6%16.7%-7.2%-292.8K25.4M-34.7K0.6725.76N/AN/A151028,03624,044
2008-12-02$16.03$20.0067.0%19.2%81.7%63.5%64.7%19.9%-5.2%-302.1K26.6M-26.3K0.9524.54N/AN/A787428,04924,044
2008-12-03$15.98$20.0064.4%18.5%75.5%60.4%73.8%18.4%-3.8%-325.8K26.6M-25.6K0.0218.94N/AN/A7301128,11324,088
2008-12-04$15.26$20.0070.9%20.3%75.6%68.2%70.5%16.6%-4.4%-338.6K26.7M-26.6K111.0422.14N/AN/A232,55428,83324,092
2008-12-05$15.44$16.0069.9%18.4%75.0%67.0%57.1%13.8%-4.2%-424.9K28.2M-27.1K0.5921.73N/AN/A47227928,85026,142
2008-12-08$16.32$18.0068.8%17.9%78.5%65.7%0.0%10.0%-6.0%-270.9K25.0M-27.5K0.2218.50N/AN/A4179028,95423,871
2008-12-09$16.06$18.0064.1%17.2%78.4%60.1%57.8%11.7%1.4%-310.0K25.4M-25.5K0.1019.81N/AN/A4134229,16123,883
2008-12-10$16.32$18.0065.3%17.1%78.2%61.5%55.6%14.3%1.8%-273.8K24.4M-25.2K0.0321.50N/AN/A7472029,46523,909
2008-12-11$16.39$18.0058.6%16.8%72.3%53.4%58.9%9.3%3.6%-372.1K24.7M-21.9K0.0826.47N/AN/A1241029,19823,909
2008-12-12$16.47$18.0059.7%17.1%66.8%54.9%56.6%10.5%4.2%-326.1K24.4M-23.8K1.3627.19N/AN/A10714529,23123,914
2008-12-15$16.50$18.0060.4%17.3%65.0%55.6%0.0%14.0%1.4%-298.8K24.0M-21.9K0.0822.82N/AN/A1501229,29223,999
2008-12-16$17.36$18.0055.0%15.8%67.3%49.2%0.0%14.0%1.3%-44.6K22.4M-22.5K0.1028.64N/AN/A971029,31623,961
2008-12-17$17.30$18.0054.6%15.7%67.3%48.7%49.2%12.2%-0.1%-3.6K22.4M-18.4K0.5940.69N/AN/A583429,36823,956
2008-12-18$16.82$18.0049.8%14.3%65.9%43.0%54.1%12.8%1.1%-107.6K23.0M-14.7K0.4038.62N/AN/A481929,41223,989
2008-12-19$16.80$18.0048.1%13.8%48.9%40.9%46.0%11.1%1.1%19.3K22.2M-13.8K1.6943.81N/AN/A6110329,45023,756
2008-12-22$16.34$18.0048.1%13.8%47.8%40.9%45.2%9.1%2.3%13.6K9.0M-12.2K0.0038.32N/AN/A7016,1907,144
2008-12-23$16.29$18.0048.6%13.9%42.5%41.5%52.5%9.1%0.5%12.3K9.0M-11.4K0.5534.43N/AN/A583216,1877,144
2008-12-24$16.22$18.0047.5%13.6%41.9%40.2%45.3%11.2%1.4%12.0K8.1M-11.4K0.5025.87N/AN/A10516,2156,622
2008-12-26$16.19$18.0045.9%13.1%41.5%38.3%40.2%10.6%1.9%10.7K8.1M-10.9K0.0623.98N/AN/A18116,2236,626
2008-12-29$16.69$18.0044.8%12.8%42.3%36.9%44.3%12.1%2.1%10.5K8.2M-11.2K0.8626.70N/AN/A353016,2416,626
2008-12-30$17.09$18.0043.7%12.5%39.6%35.7%0.0%15.8%0.5%9.2K8.2M-11.3K0.6030.15N/AN/A5316,2626,654
2008-12-31$17.43$18.0043.2%12.4%39.3%35.1%40.1%11.4%1.2%9.6K8.0M-12.2K0.1321.76N/AN/A71916,2676,654