EWC Options History — October 2009

In October 2009, EWC traded between $23.85 and $26.80. ATM implied volatility averaged 30.5%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 2.1% (HV 20d: 28.4%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 4.01.

Notable Days

  • 2009-10-15: Highest Volume — 5,455 contracts
  • 2009-10-26: Largest IV spike — 26.8% change
  • 2009-10-28: Highest IV Rank — 15.8%
  • 2009-10-28: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.57$23.85$26.80$24.42$23.85
Max Pain$25.41$25.00$26.00$25.00$26.00
ATM IV30.5%26.0%37.4%34.7%34.0%
Expected Move8.9%7.5%10.1%9.9%9.8%
HV 20d28.4%25.2%31.0%29.3%31.0%
HV 60d27.0%25.8%28.4%28.4%28.1%
IV Rank6.3%0.0%15.8%11.0%13.9%
IV Percentile12.9%0.0%39.7%27.4%31.0%
Term Structure1.2%-3.3%3.7%1.2%1.2%
VWIV31.2%27.1%35.1%31.0%33.7%
Skew 25d5.6%3.1%7.3%4.5%3.1%
Skew 10d12.4%-5.6%21.2%0.8%-5.6%
Call IV 25d28.1%23.7%33.1%31.9%32.7%
Put IV 25d33.7%28.9%37.6%36.5%35.8%
Bid-Ask Spread %34.1823.3547.8531.3746.18
Gamma HHI0.240.180.340.280.22
Net GEX445.7K-829.2K1.4M380.9K-829.2K
Net DEX-18.5M-50.6M17.0M-7.2M16.0M
Net VEX-225.4K-243.5K-201.2K-239.4K-221.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.010.0350.950.090.27
Total Volume994.5451595,4553,024537
Total OI68,658.68263,71676,44965,70467,888

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$24.42$25.0034.7%9.9%29.3%11.0%31.0%4.5%1.2%380.9K-7.2M-239.4K0.0931.37N/AN/A2,76925531,64934,055
2009-10-02$24.28$25.0034.8%10.0%27.9%11.1%33.3%4.4%1.1%487.0K-3.7M-243.5K11.1039.10N/AN/A1111,23234,20634,178
2009-10-05$24.83$25.0037.4%9.5%28.4%14.8%32.1%6.4%1.0%756.2K-11.8M-241.7K0.9425.97N/AN/A17416334,28235,140
2009-10-06$25.36$25.0032.1%9.5%28.8%7.3%32.7%6.1%1.4%1.3M-21.8M-240.5K0.4238.65N/AN/A2249334,49435,304
2009-10-07$25.53$25.0028.0%9.1%28.7%1.4%32.2%6.7%1.9%1.4M-25.0M-231.7K0.5333.40N/AN/A1045534,60735,343
2009-10-08$26.05$25.0028.2%8.6%29.1%1.8%29.7%5.7%2.2%1.3M-35.6M-225.9K0.2631.26N/AN/A1905035,06935,381
2009-10-09$26.11$25.0026.6%9.1%29.0%0.0%30.6%7.0%0.7%1.4M-36.9M-229.7K0.3830.01N/AN/A29711335,16835,410
2009-10-12$26.33$25.0031.7%9.1%29.1%7.3%32.1%6.9%0.2%1.3M-42.4M-215.6K0.1728.14N/AN/A4497635,33235,475
2009-10-13$26.28$25.0028.9%9.1%28.0%3.8%31.2%5.0%2.3%1.3M-42.1M-212.8K0.7928.59N/AN/A20316135,58935,526
2009-10-14$26.80$25.0027.7%8.5%28.5%1.8%30.8%6.7%0.1%765.3K-50.6M-204.5K0.1726.68N/AN/A5579435,71835,445
2009-10-15$26.56$25.0029.7%8.5%28.7%5.5%32.7%6.5%1.3%853.0K-48.7M-201.2K50.9523.86N/AN/A1055,35035,81935,475
2009-10-16$26.50$25.0029.1%8.4%28.7%4.6%28.5%4.7%2.8%422.7K-41.5M-223.3K0.3529.92N/AN/A41014435,86040,589
2009-10-19$26.79$25.0027.6%7.9%28.0%1.9%29.1%4.7%1.4%358.6K-23.0M-220.9K1.1036.00N/AN/A19821727,39336,323
2009-10-20$26.25$26.0028.6%8.2%28.0%3.6%29.4%4.9%2.0%292.3K-17.5M-222.6K0.7435.00N/AN/A52038627,53936,496
2009-10-21$26.07$26.0028.1%8.1%27.7%2.7%29.0%6.4%2.2%314.6K-17.5M-228.4K13.5835.29N/AN/A2403,26027,96836,821
2009-10-22$26.27$26.0027.8%8.0%25.2%2.2%27.1%4.8%-0.1%46.7K-15.3M-227.3K1.6635.86N/AN/A8714428,11939,834
2009-10-23$25.84$26.0026.0%7.5%25.7%0.0%29.4%6.5%3.7%49.4K-10.9M-232.2K0.6447.85N/AN/A52633628,15738,775
2009-10-26$25.11$26.0033.0%9.5%27.5%12.2%35.1%7.3%-3.3%-219.6K-3.1M-229.4K0.4935.35N/AN/A64331528,07439,100
2009-10-27$24.71$26.0031.0%8.9%28.0%8.6%33.9%5.0%0.2%-448.1K5.1M-227.1K1.8547.59N/AN/A15528728,02339,285
2009-10-28$23.87$26.0035.1%10.1%29.9%15.8%34.4%5.2%0.1%-820.0K17.0M-220.5K1.6542.50N/AN/A16527228,07839,566
2009-10-29$24.65$26.0030.6%8.8%28.7%7.9%29.5%4.9%2.7%-648.5K8.8M-219.7K0.0323.35N/AN/A206728,16439,774
2009-10-30$23.85$26.0034.0%9.8%31.0%13.9%33.7%3.1%1.2%-829.2K16.0M-221.9K0.2746.18N/AN/A42211528,11339,775