EWC Options History — September 2009

In September 2009, EWC traded between $23.17 and $26.05. ATM implied volatility averaged 31.7%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 7.2% (HV 20d: 24.5%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 4.91.

Notable Days

  • 2009-09-14: Highest Volume — 10,995 contracts
  • 2009-09-24: Largest IV spike — 16.2% change
  • 2009-09-02: Highest IV Rank — 15.2%
  • 2009-09-09: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.98$23.17$26.05$23.17$25.48
Max Pain$24.71$23.00$26.00$23.00$25.00
ATM IV31.7%27.1%36.8%35.3%30.5%
Expected Move9.2%7.8%10.7%10.1%8.7%
HV 20d24.5%20.6%27.4%25.5%24.1%
HV 60d29.5%27.3%31.9%31.5%27.3%
IV Rank6.8%0.1%15.2%13.2%5.1%
IV Percentile12.9%0.4%35.3%29.0%7.9%
Term Structure1.3%-2.0%4.4%1.1%2.5%
VWIV32.4%29.2%40.5%34.6%30.4%
Skew 25d6.1%4.5%9.2%5.6%4.8%
Skew 10d16.1%-3.8%27.7%-3.8%16.9%
Call IV 25d29.7%25.0%35.2%32.2%28.4%
Put IV 25d35.8%32.8%40.7%37.8%33.2%
Bid-Ask Spread %26.5513.6743.7013.6737.14
Gamma HHI0.310.240.560.260.28
Net GEX970.2K-1.1M3.5M-1.1M428.9K
Net DEX-33.8M-79.0M3.0M3.0M-17.4M
Net VEX-249.3K-296.7K-227.1K-295.4K-247.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.910.0222.271.980.27
Total Volume1,886.5246210,99531662
Total OI89,154.71457,498115,294109,47670,962

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$23.17$23.0035.3%10.1%25.5%13.2%34.6%5.6%1.1%-1.1M3.0M-295.4K1.9813.67N/AN/A10621049,25460,222
2009-09-02$23.19$23.0036.8%10.5%25.5%15.2%40.5%5.5%-0.4%-940.2K1.4M-291.8K22.2715.30N/AN/A2495,54649,24659,953
2009-09-03$23.84$23.0034.9%10.0%26.5%11.2%37.9%5.8%1.8%-911.6K-12.8M-296.7K2.1614.82N/AN/A18439849,40365,138
2009-09-04$24.25$24.0030.8%10.2%27.3%5.5%33.5%6.7%0.8%755.7K-30.3M-282.8K13.7831.09N/AN/A3635,00349,52057,794
2009-09-08$24.62$24.0032.3%9.9%27.4%7.6%31.5%5.4%-0.2%966.6K-35.9M-257.1K12.8528.87N/AN/A2873,68945,04554,895
2009-09-09$24.45$24.0032.9%10.7%25.3%8.4%34.2%6.3%-2.0%1.1M-32.4M-247.4K0.9828.25N/AN/A12111845,17055,185
2009-09-10$24.80$26.0032.5%9.3%25.3%7.9%31.6%5.4%1.4%1.8M-41.6M-233.3K14.0221.10N/AN/A4968745,16355,303
2009-09-11$25.01$26.0032.7%9.4%25.0%8.2%35.5%7.3%0.1%2.4M-48.4M-229.6K2.5425.85N/AN/A28271645,18155,180
2009-09-14$25.16$26.0031.5%9.0%24.6%6.4%31.5%6.1%1.8%3.2M-49.3M-239.0K0.0827.02N/AN/A10,21178445,30859,190
2009-09-15$25.77$25.0029.9%8.6%20.7%4.2%29.6%6.5%1.4%3.5M-79.0M-253.0K0.0225.57N/AN/A235555,34459,950
2009-09-16$26.05$25.0030.5%8.8%20.6%5.1%32.1%6.1%1.3%2.2M-77.8M-243.7K0.4033.20N/AN/A42917150,39159,948
2009-09-17$25.95$25.0029.8%8.5%20.8%4.0%29.7%5.3%1.8%848.8K-78.1M-243.3K1.2924.56N/AN/A20927050,54759,970
2009-09-18$25.90$25.0029.4%8.4%20.9%3.5%29.9%5.4%2.9%930.8K-77.1M-242.0K0.0522.35N/AN/A3061550,61460,160
2009-09-21$25.44$25.0031.5%9.0%21.8%6.4%31.0%4.5%2.0%716.0K-20.5M-238.0K1.2336.43N/AN/A14117330,72626,772
2009-09-22$26.04$25.0029.4%8.4%23.0%3.5%29.4%5.9%2.2%832.0K-27.6M-235.4K0.0718.94N/AN/A116830,75126,898
2009-09-23$25.70$25.0027.1%7.8%23.8%0.1%29.2%6.5%4.4%864.6K-26.9M-232.4K0.6432.65N/AN/A25916730,80826,906
2009-09-24$24.93$25.0031.4%9.0%26.4%6.4%30.4%5.9%1.7%677.0K-15.0M-237.1K0.4324.66N/AN/A46720331,04527,002
2009-09-25$24.68$25.0032.2%9.2%26.5%7.5%34.1%6.3%0.6%589.3K-11.4M-231.1K0.5628.23N/AN/A19210731,32427,193
2009-09-28$25.05$25.0032.3%9.3%27.0%7.5%32.9%8.5%0.9%775.3K-16.2M-227.1K6.8843.70N/AN/A1601,10031,40827,283
2009-09-29$25.16$25.0031.4%9.0%26.2%6.3%31.4%9.2%2.3%784.4K-16.2M-231.3K20.6324.08N/AN/A2695,55031,55728,540
2009-09-30$25.48$25.0030.5%8.7%24.1%5.1%30.4%4.8%2.5%428.9K-17.4M-247.9K0.2737.14N/AN/A491331,63939,323