EWC Options History — March 2009

In March 2009, EWC traded between $13.79 and $17.51. ATM implied volatility averaged 46.9%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 4.7% (HV 20d: 51.6%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.20.

Notable Days

  • 2009-03-19: Highest Volume — 3,932 contracts
  • 2009-03-30: Largest IV spike — 19.5% change
  • 2009-03-06: Highest IV Rank — 50.5%
  • 2009-03-03: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.69$13.79$17.51$13.97$16.46
Max Pain$16.36$15.00$20.00$20.00$16.00
ATM IV46.9%37.8%56.1%54.0%48.3%
Expected Move13.2%10.8%15.9%15.5%13.8%
HV 20d51.6%47.9%55.2%48.1%49.0%
HV 60d48.1%45.9%50.5%47.2%50.3%
IV Rank39.5%28.6%50.5%48.0%41.1%
IV Percentile66.4%50.8%80.6%78.6%69.8%
Term Structure-0.4%-3.7%4.1%-3.7%-1.5%
VWIV45.7%37.7%57.5%51.6%44.8%
Skew 25d10.6%7.1%15.7%12.6%10.5%
Skew 10d16.1%1.5%33.0%1.5%21.0%
Call IV 25d41.6%34.8%51.0%51.0%41.6%
Put IV 25d52.2%45.1%66.3%63.6%52.2%
Bid-Ask Spread %33.6312.6047.0520.1246.10
Gamma HHI0.280.220.470.270.22
Net GEX-161.7K-1.3M418.0K-157.3K106.3K
Net DEX11.1M-13.1M27.2M25.6M-5.4M
Net VEX-137.9K-157.2K-113.2K-125.3K-142.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.0228.871.130.33
Total Volume501.543,9321754
Total OI91,190.27357,834108,027105,00861,190

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$13.97$20.0054.0%15.5%48.1%48.0%51.6%12.6%-3.7%-157.3K25.6M-125.3K1.1320.12N/AN/A829370,67234,336
2009-03-03$13.98$20.0055.3%15.9%48.0%49.6%57.5%15.7%-3.4%-209.4K25.7M-123.1K1.3616.48N/AN/A334570,66234,388
2009-03-04$14.50$20.0052.5%15.0%50.1%46.2%41.6%11.4%-3.0%-219.6K25.1M-127.4K3.0714.77N/AN/A288670,68134,396
2009-03-05$14.02$20.0052.3%15.0%50.8%46.0%50.5%8.8%-1.2%-160.5K26.4M-120.2K0.5012.60N/AN/A201070,70334,461
2009-03-06$14.03$16.0056.1%14.4%49.2%50.5%49.8%10.8%-0.8%-175.9K26.9M-118.1K0.8927.65N/AN/A272470,71434,439
2009-03-09$13.79$16.0055.3%14.4%47.9%49.5%47.0%10.7%-1.6%-144.0K27.2M-113.2K1.2027.57N/AN/A617370,74134,460
2009-03-10$14.59$16.0050.4%12.8%53.4%43.7%51.7%13.1%0.1%-181.8K25.6M-122.7K0.4130.72N/AN/A1686970,79734,511
2009-03-11$14.81$16.0042.4%12.7%52.0%34.1%45.3%13.1%-0.0%-124.8K23.8M-128.2K3.8028.22N/AN/A103870,89234,540
2009-03-12$15.45$16.0045.6%13.1%54.8%38.0%42.9%14.5%0.4%-237.9K20.5M-136.9K1.6330.25N/AN/A467570,89934,534
2009-03-13$15.48$15.0044.9%12.9%54.8%37.1%41.7%7.1%0.2%-202.7K20.2M-135.9K0.0237.80N/AN/A129370,92634,553
2009-03-16$15.74$15.0041.1%11.8%55.2%32.6%40.0%10.3%1.2%-257.9K18.5M-133.7K0.0842.11N/AN/A64570,92634,553
2009-03-17$16.06$15.0043.5%12.5%50.4%35.5%0.0%12.0%1.2%-311.2K18.0M-135.7K0.0745.09N/AN/A1,2598670,93234,558
2009-03-18$16.54$15.0039.4%11.3%51.1%30.5%44.5%7.2%2.2%-957.2K11.8M-150.3K0.1736.12N/AN/A4016772,12934,604
2009-03-19$16.83$15.0039.9%11.4%51.2%31.1%40.6%7.6%1.9%-1.3M4.0M-155.3K0.0343.97N/AN/A3,83210072,44234,614
2009-03-20$16.34$15.0045.4%13.0%52.2%37.7%44.3%10.4%-0.5%-653.3K8.7M-153.3K0.2744.05N/AN/A1965273,51434,513
2009-03-23$17.46$15.0046.2%13.2%53.4%38.6%43.8%8.2%-3.7%418.0K-13.1M-152.0K0.5745.59N/AN/A33219037,93319,901
2009-03-24$17.15$15.0044.1%12.6%53.5%36.1%49.9%10.1%-0.9%376.7K-11.9M-154.6K28.8730.21N/AN/A912,62738,17120,091
2009-03-25$17.14$16.0043.5%12.5%53.5%35.4%40.9%8.4%1.0%233.2K-9.8M-157.2K1.5747.05N/AN/A548538,18622,654
2009-03-26$17.51$16.0037.8%10.8%53.1%28.6%37.7%10.4%4.1%320.8K-12.6M-155.5K0.3137.20N/AN/A973038,20422,664
2009-03-27$17.06$16.0042.6%12.2%53.7%34.4%40.4%9.5%1.5%233.5K-9.9M-153.0K0.0436.88N/AN/A2541138,26522,667
2009-03-30$16.20$16.0051.0%14.6%49.0%44.4%53.2%9.9%-2.0%27.0K-2.1M-138.8K2.0439.24N/AN/A255138,50522,665
2009-03-31$16.46$16.0048.3%13.8%49.0%41.1%44.8%10.5%-1.5%106.3K-5.4M-142.5K0.3346.10N/AN/A3138,51522,675