EWC Options History — January 2010

In January 2010, EWC traded between $24.44 and $27.33. ATM implied volatility averaged 23.3%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.9% (HV 20d: 17.4%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.00.

Notable Days

  • 2010-01-15: Highest Volume — 1,605 contracts
  • 2010-01-11: Largest IV spike — 31.7% change
  • 2010-01-25: Highest IV Rank — 27.8%
  • 2010-01-25: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.24$24.44$27.33$26.92$24.44
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV23.3%17.8%28.5%20.1%28.1%
Expected Move7.1%6.3%8.2%7.1%8.0%
HV 20d17.4%14.4%19.7%18.7%18.9%
HV 60d24.5%21.8%25.4%25.4%21.9%
IV Rank13.1%0.0%27.8%0.0%26.7%
IV Percentile6.1%0.0%17.5%0.0%17.1%
Term Structure2.3%1.1%3.7%1.8%1.4%
VWIV25.2%20.2%28.4%24.4%28.4%
Skew 25d4.3%2.4%6.0%6.0%3.8%
Skew 10d10.4%-3.0%17.5%17.5%13.0%
Call IV 25d22.6%19.1%26.7%21.7%25.0%
Put IV 25d26.9%23.6%29.9%27.7%28.9%
Bid-Ask Spread %28.0816.2244.0320.8837.86
Gamma HHI0.240.230.260.230.26
Net GEX-74.8K-934.8K494.2K299.6K-934.8K
Net DEX4.1M-11.7M30.5M-5.3M30.5M
Net VEX-276.7K-306.1K-228.1K-303.3K-228.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.057.770.050.07
Total Volume528.947951,605325331
Total OI59,560.36858,15762,33858,32062,338

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$26.92$26.0020.1%7.1%18.7%0.0%24.4%6.0%1.8%299.6K-5.3M-303.3K0.0520.88N/AN/A3101529,29329,027
2010-01-05$27.07$26.0023.8%7.1%17.9%10.3%22.9%6.0%2.0%327.3K-7.6M-303.8K0.2520.78N/AN/A45611329,46829,047
2010-01-06$27.28$26.0020.7%7.0%18.1%1.6%24.0%4.7%2.5%494.2K-11.7M-306.1K0.2126.99N/AN/A1182529,83529,095
2010-01-07$27.19$26.0020.9%7.0%15.7%2.3%24.9%3.6%2.2%414.0K-8.5M-301.7K3.5424.08N/AN/A248529,89229,101
2010-01-08$27.33$26.0017.8%6.7%15.4%0.0%23.2%3.3%2.7%403.5K-11.4M-298.3K0.5126.95N/AN/A1226229,90529,148
2010-01-11$27.25$26.0023.5%6.9%15.5%14.8%24.9%3.9%1.5%475.4K-10.9M-298.1K1.0226.38N/AN/A14214529,94129,210
2010-01-12$26.77$26.0019.2%6.7%16.5%3.5%26.8%5.2%3.6%377.1K-4.9M-297.0K2.9629.46N/AN/A16348330,01329,331
2010-01-13$27.04$26.0020.0%6.9%16.0%5.6%25.9%5.2%1.1%284.6K-6.3M-285.7K1.9636.16N/AN/A5110030,08829,642
2010-01-14$27.12$26.0023.2%6.6%15.8%13.9%23.8%4.1%2.8%425.8K-8.4M-290.2K1.7925.11N/AN/A346130,10329,733
2010-01-15$26.72$26.0022.4%6.4%16.7%11.9%27.6%4.0%2.9%208.3K-3.5M-285.2K7.7726.80N/AN/A1831,42230,13229,784
2010-01-19$26.75$26.0021.8%6.3%14.4%10.4%20.2%4.6%3.6%-17.1K-1.6M-283.9K0.0916.22N/AN/A4023528,96429,193
2010-01-20$26.14$26.0022.2%6.4%16.9%11.3%23.1%4.2%3.7%-361.1K7.6M-270.1K4.5425.12N/AN/A10346829,27929,218
2010-01-21$25.60$26.0023.2%6.7%18.5%14.0%22.5%3.8%3.3%-484.7K12.7M-264.2K2.2124.68N/AN/A24854829,36229,630
2010-01-22$25.08$26.0027.4%7.9%19.7%25.1%27.3%3.5%1.7%-591.3K18.9M-257.1K3.0927.77N/AN/A19359729,46630,088
2010-01-25$25.15$26.0028.5%8.2%19.1%27.8%27.6%2.4%1.2%-620.1K19.5M-254.6K0.5536.40N/AN/A42423229,55830,443
2010-01-26$25.07$26.0027.2%7.8%18.9%24.4%27.8%6.0%2.0%-656.4K21.6M-247.5K0.7924.68N/AN/A31124729,83330,611
2010-01-27$24.95$26.0026.9%7.7%18.8%23.6%26.6%4.6%2.4%-700.9K22.5M-246.2K0.1344.03N/AN/A2232830,07630,819
2010-01-28$24.69$26.0026.2%7.5%18.9%21.9%26.1%2.5%1.9%-765.3K24.0M-237.0K6.4033.21N/AN/A2091,33730,16130,820
2010-01-29$24.44$26.0028.1%8.0%18.9%26.7%28.4%3.8%1.4%-934.8K30.5M-228.1K0.0737.86N/AN/A3102130,26632,072