EWC Options History — August 2009

In August 2009, EWC traded between $22.77 and $24.84. ATM implied volatility averaged 33.5%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 5.0% (HV 20d: 28.5%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 5.11.

Notable Days

  • 2009-08-11: Highest Volume — 23,857 contracts
  • 2009-08-10: Largest IV spike — 16.7% change
  • 2009-08-19: Highest IV Rank — 23.3%
  • 2009-08-19: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.87$22.77$24.84$24.84$23.78
Max Pain$22.62$21.00$23.00$21.00$23.00
ATM IV33.5%29.4%39.2%29.5%33.5%
Expected Move9.8%8.4%11.2%8.5%9.6%
HV 20d28.5%24.1%31.5%31.5%24.1%
HV 60d34.1%31.0%37.8%37.8%31.1%
IV Rank16.7%12.5%23.3%12.6%15.0%
IV Percentile24.0%13.1%46.4%13.9%19.8%
Term Structure-0.1%-3.7%7.5%0.8%-0.1%
VWIV34.6%21.1%39.8%29.0%37.4%
Skew 25d6.8%3.2%10.0%3.2%5.7%
Skew 10d16.2%-1.1%26.0%-1.1%26.0%
Call IV 25d31.4%26.4%36.0%29.5%32.2%
Put IV 25d38.2%32.7%43.7%32.7%37.9%
Bid-Ask Spread %23.9116.4167.5824.5216.48
Gamma HHI0.300.240.420.410.24
Net GEX184.2K-835.0K1.6M1.5M-357.0K
Net DEX-19.5M-61.3M12.0M-61.3M-13.2M
Net VEX-266.0K-308.0K-217.5K-217.5K-305.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.110.0057.120.072.91
Total Volume3,132.6679423,8573,643465
Total OI88,191.33366,703109,18171,562109,181

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$24.84$21.0029.5%8.5%31.5%12.6%29.0%3.2%0.8%1.5M-61.3M-217.5K0.0724.52N/AN/A3,41123242,99728,565
2009-08-04$24.71$21.0030.0%8.6%29.1%13.3%21.1%5.2%0.5%1.6M-49.3M-226.6K0.0423.30N/AN/A5792439,83228,620
2009-08-05$24.75$21.0029.4%8.4%26.9%12.5%30.0%4.6%1.1%1.5M-47.5M-221.2K0.0030.96N/AN/A267138,07028,633
2009-08-06$24.17$21.0030.6%8.8%29.4%14.0%0.0%6.6%7.5%1.4M-39.5M-223.9K57.1247.06N/AN/A1216,91138,15628,634
2009-08-07$24.12$23.0030.0%10.0%28.8%13.3%33.8%6.6%-1.7%1.1M-34.1M-239.4K0.1922.54N/AN/A69613038,17234,324
2009-08-10$23.85$23.0035.0%9.9%29.1%19.7%35.7%6.5%-2.8%1.1M-28.2M-233.0K1.4820.02N/AN/A7110538,10134,409
2009-08-11$23.19$23.0034.7%10.9%30.6%19.3%39.8%6.0%-2.2%823.0K-17.7M-230.8K13.8318.43N/AN/A1,60922,24838,08934,491
2009-08-12$23.52$23.0032.4%10.9%27.4%16.3%36.0%7.4%-2.0%-184.0K-9.2M-308.0K0.1122.19N/AN/A85939,41956,191
2009-08-13$23.86$23.0037.7%10.8%27.6%23.2%39.2%8.3%-3.7%-266.2K-11.5M-307.4K0.5117.47N/AN/A92947737,96958,286
2009-08-14$23.62$23.0035.4%10.2%28.0%18.4%36.7%5.1%-0.3%-434.1K-5.5M-306.3K1.2217.78N/AN/A455538,77059,423
2009-08-17$22.77$23.0038.1%10.9%30.1%21.9%38.8%7.7%-1.6%-835.0K12.0M-296.4K0.5222.73N/AN/A61932438,78559,448
2009-08-18$23.10$23.0037.1%10.6%30.5%20.6%37.0%8.0%-0.8%-428.1K1.9M-283.7K3.3419.05N/AN/A15451438,88456,472
2009-08-19$23.33$23.0039.2%11.2%30.7%23.3%38.8%6.3%-3.0%-303.1K-3.4M-285.6K11.4016.41N/AN/A7282138,75656,575
2009-08-20$23.51$23.0034.7%9.9%28.5%17.4%36.2%9.7%-0.6%-245.8K-7.3M-281.7K4.4518.47N/AN/A7653,40338,69557,236
2009-08-21$23.93$23.0034.3%9.8%29.2%16.9%35.4%7.8%0.4%-308.2K-14.8M-285.3K0.9016.48N/AN/A76969338,81460,397
2009-08-24$23.95$23.0032.8%9.4%29.1%14.9%33.9%10.0%2.2%-437.9K-12.1M-270.1K0.4821.22N/AN/A32215436,34556,759
2009-08-25$24.07$23.0032.8%9.4%28.4%15.0%35.2%7.5%3.3%-365.6K-15.6M-266.9K0.1018.56N/AN/A4,36443636,46656,852
2009-08-26$23.92$23.0032.4%9.3%27.6%14.4%38.0%9.0%0.8%-581.5K-11.3M-264.3K6.7467.58N/AN/A7852637,35357,262
2009-08-27$24.19$23.0032.5%9.3%26.3%14.5%30.0%6.3%-0.5%-221.2K-20.2M-261.5K1.9921.19N/AN/A1,3342,65038,80757,302
2009-08-28$24.15$23.0031.7%9.1%25.5%13.5%30.1%4.9%1.0%-207.4K-21.2M-271.8K0.0019.68N/AN/A9,2942440,09760,381
2009-08-31$23.78$23.0033.5%9.6%24.1%15.0%37.4%5.7%-0.1%-357.0K-13.2M-305.1K2.9116.48N/AN/A11934649,27859,903