EWC Options History — November 2009

In November 2009, EWC traded between $23.95 and $26.48. ATM implied volatility averaged 32.3%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 1.8% (HV 20d: 30.4%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 7.34.

Notable Days

  • 2009-11-03: Highest Volume — 5,187 contracts
  • 2009-11-04: Largest IV drop — 10.6% change
  • 2009-11-03: Highest IV Rank — 24.3%
  • 2009-11-03: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.65$23.95$26.48$23.95$25.91
Max Pain$24.90$24.00$26.00$26.00$25.00
ATM IV32.3%28.1%40.0%38.1%29.5%
Expected Move9.3%8.0%11.5%10.9%8.5%
HV 20d30.4%24.5%32.6%29.8%24.5%
HV 60d27.7%27.3%28.6%28.1%27.6%
IV Rank11.1%4.5%24.3%21.0%7.7%
IV Percentile23.4%3.6%59.5%52.0%11.1%
Term Structure0.2%-1.9%4.6%0.8%0.8%
VWIV34.2%26.0%43.4%33.5%30.0%
Skew 25d7.7%5.3%12.4%5.3%8.4%
Skew 10d19.5%3.6%26.1%3.6%25.8%
Call IV 25d29.2%18.9%35.4%34.1%27.1%
Put IV 25d36.9%31.3%45.7%39.4%35.6%
Bid-Ask Spread %24.1513.7457.1642.3827.96
Gamma HHI0.200.160.250.230.25
Net GEX51.3K-909.9K766.0K-909.9K711.1K
Net DEX-8.7M-23.2M17.2M17.2M-15.9M
Net VEX-191.8K-235.0K-149.2K-214.7K-149.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.340.0546.590.131.17
Total Volume812.3655,187601191
Total OI70,823.9563,89174,10568,06965,680

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$23.95$26.0038.1%10.9%29.8%21.0%33.5%5.3%0.8%-909.9K17.2M-214.7K0.1342.38N/AN/A5307128,23839,831
2009-11-03$24.46$26.0040.0%11.5%29.8%24.3%38.2%10.3%0.1%-643.9K10.6M-220.9K46.5921.24N/AN/A1095,07828,08239,807
2009-11-04$24.64$26.0035.8%10.2%29.8%16.9%35.7%7.0%1.4%-736.8K6.9M-235.0K3.1257.16N/AN/A5216228,16645,562
2009-11-05$24.92$26.0034.9%10.0%29.1%15.5%32.6%7.7%0.1%-740.3K5.5M-225.2K0.2124.68N/AN/A1352828,17044,592
2009-11-06$24.90$24.0033.9%10.0%29.1%13.6%36.0%7.7%-1.9%-677.7K5.7M-221.6K0.2317.22N/AN/A1212828,27644,598
2009-11-09$25.92$24.0031.6%9.7%32.6%9.7%43.4%9.7%-1.8%-115.9K-10.1M-206.4K0.4720.62N/AN/A77336628,38044,608
2009-11-10$25.90$24.0029.8%9.4%32.6%6.5%33.1%7.6%-0.4%-34.4K-10.4M-207.9K0.5518.63N/AN/A19010428,26444,774
2009-11-11$26.01$24.0032.0%9.1%31.8%10.4%35.0%8.8%1.0%85.7K-13.4M-204.4K0.9422.53N/AN/A13412628,38444,788
2009-11-12$25.58$24.0033.6%9.6%32.2%13.1%36.4%6.5%-1.6%-92.2K-7.9M-205.8K3.0821.08N/AN/A13441328,42644,787
2009-11-13$25.87$24.0031.8%9.1%32.5%10.0%35.5%8.7%-0.3%11.9K-10.8M-196.8K5.1922.94N/AN/A11459228,49745,015
2009-11-16$26.11$25.0032.3%9.3%32.4%11.0%33.1%7.6%-0.4%251.9K-15.7M-189.7K0.0717.80N/AN/A2341628,59145,429
2009-11-17$26.38$25.0031.6%9.0%31.8%9.6%39.0%6.2%1.5%243.4K-20.7M-173.2K34.2224.59N/AN/A762,60128,58445,409
2009-11-18$26.32$25.0032.6%9.4%31.7%11.5%38.8%7.5%-1.6%537.5K-19.9M-182.6K42.7620.48N/AN/A251,06928,64845,251
2009-11-19$25.92$25.0031.5%9.0%32.1%9.4%38.1%8.2%0.4%239.8K-12.8M-181.2K5.9416.23N/AN/A6840428,65345,452
2009-11-20$25.77$25.0031.0%8.9%31.6%8.7%30.7%5.6%0.9%568.6K-11.6M-173.0K0.1817.19N/AN/A551028,42645,374
2009-11-23$26.25$25.0029.0%8.3%30.4%5.6%30.0%7.8%4.6%438.2K-17.9M-165.3K0.4026.11N/AN/A68527626,98936,902
2009-11-24$26.02$25.0028.1%8.0%29.9%4.5%27.0%5.5%1.9%581.7K-17.1M-161.9K0.0513.74N/AN/A8694327,57837,092
2009-11-25$26.48$25.0029.0%8.3%26.9%6.6%26.0%12.4%0.2%766.0K-23.2M-158.9K0.1119.62N/AN/A1842028,41737,121
2009-11-27$25.69$25.0029.2%8.4%27.7%7.1%32.8%6.2%-1.9%541.8K-12.0M-161.6K1.2930.86N/AN/A709028,51737,121
2009-11-30$25.91$25.0029.5%8.5%24.5%7.7%30.0%8.4%0.8%711.1K-15.9M-149.2K1.1727.96N/AN/A8810328,47537,205