EWC Options History — December 2009

In December 2009, EWC traded between $25.40 and $26.74. ATM implied volatility averaged 26.0%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.7% (HV 20d: 24.4%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 3.40.

Notable Days

  • 2009-12-23: Highest Volume — 31,295 contracts
  • 2009-12-03: Largest IV spike — 20.9% change
  • 2009-12-08: Highest IV Rank — 21.3%
  • 2009-12-03: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.06$25.40$26.74$26.73$26.33
Max Pain$25.77$25.00$26.00$25.00$26.00
ATM IV26.0%20.7%35.2%28.0%22.6%
Expected Move7.5%5.9%9.1%8.0%6.5%
HV 20d24.4%18.1%27.3%26.3%18.2%
HV 60d27.5%25.0%28.6%28.1%25.0%
IV Rank5.0%0.0%21.3%4.2%5.5%
IV Percentile6.3%0.0%47.6%3.2%2.0%
Term Structure2.0%-2.5%5.2%0.9%3.5%
VWIV25.7%18.0%32.0%30.2%18.0%
Skew 25d5.4%2.4%9.4%5.9%4.7%
Skew 10d11.5%-2.3%22.1%2.0%7.5%
Call IV 25d23.3%17.1%29.4%26.6%19.4%
Put IV 25d28.6%23.2%35.6%32.5%24.1%
Bid-Ask Spread %21.9312.8445.0926.2716.64
Gamma HHI0.280.220.380.280.22
Net GEX919.5K-245.9K2.1M1.2M127.8K
Net DEX-13.5M-30.1M6.8M-28.1M772.1K
Net VEX-159.4K-314.1K-86.4K-139.5K-306.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.400.0041.790.040.68
Total Volume1,851.0453231,295449101
Total OI60,382.63626,25471,16665,80358,251

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$26.73$25.0028.0%8.0%26.3%4.2%30.2%5.9%0.9%1.2M-28.1M-139.5K0.0426.27N/AN/A4311828,53237,271
2009-12-02$26.74$25.0026.3%7.5%25.7%0.5%27.4%6.5%1.6%1.3M-30.1M-138.1K0.4545.09N/AN/A1064828,80337,272
2009-12-03$26.25$25.0031.7%9.1%26.9%12.7%28.2%7.7%-2.5%1.2M-26.1M-141.5K6.0317.54N/AN/A3420528,84837,320
2009-12-04$25.91$26.0027.3%8.9%27.3%2.7%28.2%9.4%-2.2%1.3M-21.3M-137.6K0.1631.60N/AN/A4847728,81637,483
2009-12-07$25.98$26.0029.9%8.6%27.3%8.8%31.0%6.0%0.3%1.4M-21.4M-128.5K0.0230.63N/AN/A4801029,23537,553
2009-12-08$25.40$26.0035.2%8.9%24.7%21.3%32.0%3.4%0.3%1.2M-13.2M-132.3K41.7928.57N/AN/A632,63329,68937,563
2009-12-09$25.67$26.0030.7%8.6%25.0%11.9%29.1%5.9%2.6%1.2M-15.1M-128.6K0.4123.26N/AN/A34614229,67839,865
2009-12-10$25.88$26.0029.2%8.4%25.1%8.1%29.0%5.5%-0.1%1.3M-20.2M-123.1K0.0420.79N/AN/A69329,82939,865
2009-12-11$25.61$26.0027.4%7.9%24.7%3.9%27.2%5.6%1.4%1.7M-20.2M-117.7K3.0925.92N/AN/A329929,87039,858
2009-12-14$26.01$26.0026.7%7.7%25.0%2.0%0.0%6.0%3.9%1.8M-24.1M-110.4K0.0025.63N/AN/A32029,86439,858
2009-12-15$25.89$26.0027.7%7.9%24.8%4.8%27.9%5.7%1.3%1.7M-24.1M-107.6K0.5519.08N/AN/A1196529,85539,858
2009-12-16$26.14$26.0026.8%7.7%24.8%2.4%29.3%6.7%1.7%1.4M-29.9M-100.3K10.6925.54N/AN/A7580229,80139,859
2009-12-17$25.59$26.0024.9%7.1%25.8%0.0%31.2%3.4%4.0%2.1M-18.1M-98.0K4.6716.43N/AN/A17581729,77940,619
2009-12-18$25.70$26.0023.9%6.9%25.4%0.0%22.8%3.0%5.2%1.3M-25.0M-92.6K0.1020.62N/AN/A2312229,79041,376
2009-12-21$25.85$25.0022.5%6.5%25.4%0.0%21.8%3.9%2.5%-245.9K6.8M-86.5K0.0714.09N/AN/A5543612,98013,274
2009-12-22$25.94$26.0021.3%6.1%24.5%0.0%20.7%3.6%4.1%-175.4K5.8M-86.4K0.3716.25N/AN/A36413313,29913,306
2009-12-23$26.27$25.0020.7%5.9%24.7%0.0%20.1%5.2%4.4%-28.0K3.1M-93.0K1.0019.15N/AN/A15,62915,66613,64113,428
2009-12-24$26.38$26.0021.8%6.2%24.0%3.0%20.6%5.7%3.1%75.7K1.5M-314.1K1.6112.84N/AN/A447129,02428,923
2009-12-28$26.50$26.0022.3%6.4%21.2%4.5%20.9%5.5%3.5%68.9K374.1K-310.1K0.3913.28N/AN/A1786929,04428,928
2009-12-29$26.45$26.0022.9%6.6%21.0%6.1%22.7%6.6%2.6%130.4K-784.5K-308.6K0.7519.09N/AN/A876529,16328,937
2009-12-30$26.19$26.0023.0%6.6%18.1%6.6%22.0%2.4%2.9%53.6K2.5M-304.5K1.8414.23N/AN/A387029,23428,977
2009-12-31$26.33$26.0022.6%6.5%18.2%5.5%18.0%4.7%3.5%127.8K772.1K-306.8K0.6816.64N/AN/A604129,26328,988