EWC Options History — May 2009

In May 2009, EWC traded between $19.35 and $23.10. ATM implied volatility averaged 35.9%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 7.2% (HV 20d: 43.1%). Max pain ranged from $15.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.10.

Notable Days

  • 2009-05-22: Highest Volume — 6,081 contracts
  • 2009-05-07: Largest IV spike — 35.0% change
  • 2009-05-13: Highest IV Rank — 34.0%
  • 2009-05-14: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.03$19.35$23.10$19.35$23.10
Max Pain$15.95$15.00$19.00$18.00$19.00
ATM IV35.9%30.3%42.3%34.5%32.6%
Expected Move10.2%9.3%11.3%9.9%9.3%
HV 20d43.1%37.1%47.6%37.1%45.1%
HV 60d46.2%43.1%47.4%46.2%43.1%
IV Rank24.6%18.7%34.0%24.7%18.7%
IV Percentile39.5%30.6%54.0%39.7%30.6%
Term Structure-0.6%-3.7%2.7%2.1%2.7%
VWIV35.9%31.8%39.4%34.0%31.8%
Skew 25d7.5%3.4%15.6%8.3%4.6%
Skew 10d16.5%2.0%29.1%23.0%6.7%
Call IV 25d31.9%25.2%36.7%29.9%31.2%
Put IV 25d39.4%35.6%42.8%38.2%35.9%
Bid-Ask Spread %19.3411.4536.7121.5316.13
Gamma HHI0.330.210.710.220.71
Net GEX2.0M1.2M2.5M1.2M2.5M
Net DEX-53.0M-85.0M-33.2M-33.2M-85.0M
Net VEX-128.8K-141.7K-119.2K-135.0K-124.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.0213.980.050.15
Total Volume1,271.1726,0817171,652
Total OI70,523.766,17779,18967,75479,189

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$19.35$18.0034.5%9.9%37.1%24.7%34.0%8.3%2.1%1.2M-33.2M-135.0K0.0521.53N/AN/A6803746,82320,931
2009-05-04$20.24$15.0037.3%10.5%39.4%28.0%35.8%10.5%0.6%1.6M-40.0M-128.9K0.2920.48N/AN/A36310745,21820,959
2009-05-05$20.24$15.0036.2%10.5%39.0%26.7%34.4%6.9%-2.0%1.6M-41.8M-124.6K0.7617.76N/AN/A675145,31821,030
2009-05-06$20.94$15.0030.3%10.0%37.8%19.6%34.3%7.4%-0.5%1.8M-50.4M-130.2K0.0427.34N/AN/A1,8117245,30621,052
2009-05-07$20.40$15.0040.8%11.2%39.9%32.3%36.5%5.3%-2.9%1.8M-46.5M-130.3K0.4519.29N/AN/A47621246,95721,090
2009-05-08$21.35$15.0037.8%10.3%40.2%28.6%38.8%9.6%-1.8%1.9M-56.7M-133.5K0.1317.38N/AN/A1,30517046,02321,300
2009-05-11$20.92$15.0039.1%10.7%41.4%30.2%37.8%6.8%-2.3%1.9M-51.1M-130.0K0.1613.81N/AN/A801346,41921,414
2009-05-12$20.96$15.0035.8%10.0%40.9%26.2%35.9%6.4%2.3%2.0M-51.0M-122.3K0.6016.55N/AN/A1358146,44221,421
2009-05-13$19.82$15.0042.3%10.7%46.5%34.0%39.4%6.0%0.8%1.6M-38.7M-121.3K0.0621.10N/AN/A1,2617646,53321,478
2009-05-14$20.32$15.0039.3%11.3%47.1%30.4%38.7%8.9%-2.0%1.9M-44.6M-125.0K0.4428.06N/AN/A502247,75221,486
2009-05-15$20.01$15.0036.4%10.4%47.6%23.5%36.3%6.8%0.1%2.4M-40.9M-119.2K0.1419.19N/AN/A99214147,76121,507
2009-05-18$20.89$15.0033.9%9.7%44.6%20.4%32.9%10.5%-0.6%2.0M-47.9M-120.9K0.8013.86N/AN/A35828747,24621,191
2009-05-19$21.01$15.0033.2%9.5%44.5%19.5%34.0%6.8%-1.2%2.1M-51.2M-121.6K0.0216.77N/AN/A3,2046447,43321,431
2009-05-20$21.65$15.0032.9%9.4%45.1%19.1%33.6%7.0%-0.6%2.5M-61.8M-133.0K1.9318.00N/AN/A28354750,49521,491
2009-05-21$21.14$15.0035.7%10.2%45.9%22.6%36.9%6.9%-3.7%2.3M-53.4M-129.1K1.1811.45N/AN/A677950,70821,844
2009-05-22$21.51$15.0035.4%10.2%45.7%22.3%38.2%8.1%0.6%2.3M-60.0M-136.1K13.9816.23N/AN/A4065,67550,71821,872
2009-05-26$22.19$19.0034.5%9.9%44.8%21.2%38.0%15.6%-1.9%2.4M-66.6M-141.7K0.4620.62N/AN/A72133051,02526,320
2009-05-27$21.93$19.0036.1%10.3%45.0%23.1%36.7%3.4%-2.0%2.3M-63.9M-136.1K0.0936.71N/AN/A6785951,04626,533
2009-05-28$22.57$19.0033.9%9.7%45.1%20.4%34.0%3.6%0.5%2.4M-74.8M-132.7K0.3014.61N/AN/A2,16264851,14926,563
2009-05-29$23.10$19.0032.6%9.3%45.1%18.7%31.8%4.6%2.7%2.5M-85.0M-124.9K0.1516.13N/AN/A1,43921352,11327,076