EWC Options History — June 2009

In June 2009, EWC traded between $20.56 and $23.64. ATM implied volatility averaged 34.1%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 5.4% (HV 20d: 39.6%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2009-06-01: Highest Volume — 11,895 contracts
  • 2009-06-23: Largest IV spike — 29.0% change
  • 2009-06-04: Highest IV Rank — 25.8%
  • 2009-06-04: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.19$20.56$23.64$23.50$21.42
Max Pain$21.45$19.00$22.00$19.00$22.00
ATM IV34.1%27.0%39.1%34.8%31.3%
Expected Move9.7%7.7%11.0%10.0%9.0%
HV 20d39.6%34.7%46.7%44.4%37.4%
HV 60d41.6%40.0%43.5%42.3%40.2%
IV Rank19.0%9.3%25.8%21.5%14.9%
IV Percentile31.5%17.5%45.2%34.9%22.6%
Term Structure1.1%-6.2%4.9%0.3%3.0%
VWIV34.1%29.8%39.4%30.3%32.5%
Skew 25d6.9%2.6%10.8%6.7%2.6%
Skew 10d15.5%0.2%26.8%23.9%1.4%
Call IV 25d31.5%27.7%34.8%31.9%30.0%
Put IV 25d38.4%31.8%42.3%38.6%32.6%
Bid-Ask Spread %26.3216.5137.1417.2624.23
Gamma HHI0.410.200.700.700.30
Net GEX1.8M-236.3K3.8M2.4M-51.4K
Net DEX-58.5M-101.1M-6.6M-91.0M-17.9M
Net VEX-131.2K-160.3K-107.6K-121.8K-117.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.005.950.055.95
Total Volume1,477.9556111,89511,895257
Total OI78,738.54553,527100,90979,48057,765

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$23.50$19.0034.8%10.0%44.4%21.5%30.3%6.7%0.3%2.4M-91.0M-121.8K0.0517.26N/AN/A11,32357252,25427,226
2009-06-02$23.64$19.0034.2%9.8%42.4%20.7%39.4%7.4%-2.1%2.7M-101.1M-160.3K0.7116.51N/AN/A19313760,51927,742
2009-06-03$22.55$19.0038.0%10.9%46.7%25.5%38.4%7.5%-3.9%2.9M-78.9M-160.3K0.0721.95N/AN/A3,23923660,01827,783
2009-06-04$23.09$19.0038.2%11.0%46.0%25.8%37.4%5.4%-6.2%2.9M-90.2M-157.0K0.1416.98N/AN/A3244560,36227,905
2009-06-05$22.78$22.0036.6%9.8%45.0%23.8%36.8%10.8%2.1%2.8M-83.0M-153.2K1.4130.03N/AN/A26938058,66727,943
2009-06-08$22.77$22.0037.1%10.0%42.5%22.4%32.1%9.7%0.5%3.0M-82.6M-144.5K0.0423.46N/AN/A1,7106358,81028,095
2009-06-09$23.08$22.0039.1%10.0%41.7%24.9%32.8%8.5%2.8%3.1M-90.7M-147.6K0.8427.72N/AN/A564760,47428,153
2009-06-10$23.01$22.0037.0%10.3%41.8%22.2%38.5%8.5%-0.0%3.3M-89.7M-144.7K0.2237.14N/AN/A86019360,44328,200
2009-06-11$23.37$22.0032.6%9.3%35.2%16.6%32.0%7.6%2.5%3.2M-97.4M-139.1K0.0032.01N/AN/A3,6871259,98128,349
2009-06-12$23.03$22.0033.9%9.7%35.6%18.2%34.0%7.1%2.3%3.8M-92.1M-143.1K3.1126.58N/AN/A17253563,14528,345
2009-06-15$22.12$22.0034.9%10.0%38.5%19.6%35.6%7.0%2.4%3.3M-68.6M-128.8K1.0922.77N/AN/A11112161,40628,852
2009-06-16$21.91$22.0034.1%9.8%36.1%18.6%38.8%9.4%0.6%2.8M-63.1M-121.1K1.3033.74N/AN/A39351161,23228,848
2009-06-17$21.44$22.0035.5%10.2%37.1%20.3%31.7%5.9%1.5%1.5M-51.3M-113.1K1.1722.95N/AN/A26731261,45529,301
2009-06-18$21.47$22.0036.2%10.4%35.5%21.2%31.1%6.9%1.6%1.2M-51.6M-107.6K0.6125.16N/AN/A382361,49529,451
2009-06-19$21.77$22.0031.9%9.1%34.7%15.7%33.1%5.6%1.0%1.2M-48.6M-126.5K0.0632.97N/AN/A8674961,50439,405
2009-06-22$20.56$22.0027.0%7.7%39.8%9.3%33.5%5.4%4.9%-236.3K-7.1M-108.9K0.1630.29N/AN/A76712632,84520,682
2009-06-23$20.57$22.0034.8%10.0%37.9%19.4%35.9%7.6%0.7%-203.1K-6.6M-113.4K0.0919.01N/AN/A1,74615033,32420,793
2009-06-24$21.04$22.0034.2%9.8%38.9%18.7%31.6%6.3%0.9%12.1K-13.6M-121.8K0.8225.36N/AN/A98580536,43620,856
2009-06-25$21.60$22.0030.7%8.8%38.6%14.1%31.1%7.2%2.9%170.6K-19.1M-115.8K1.2630.03N/AN/A425335,72021,660
2009-06-26$21.58$22.0028.2%8.1%37.4%11.0%29.8%6.1%3.7%200.9K-19.9M-122.7K0.3633.08N/AN/A29710835,73121,663
2009-06-29$21.85$22.0030.3%8.7%37.1%13.6%33.5%2.7%2.8%213.9K-23.9M-117.8K0.5329.75N/AN/A28315135,74721,663
2009-06-30$21.42$22.0031.3%9.0%37.4%14.9%32.5%2.6%3.0%-51.4K-17.9M-117.3K5.9524.23N/AN/A3722036,00121,764