EWC Options History — March 2010

In March 2010, EWC traded between $26.44 and $28.19. ATM implied volatility averaged 20.9%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.0% (HV 20d: 16.8%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 13.77.

Notable Days

  • 2010-03-12: Highest Volume — 2,100 contracts
  • 2010-03-08: Largest IV spike — 15.0% change
  • 2010-03-17: Highest IV Rank — 14.0%
  • 2010-03-10: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.53$26.44$28.19$26.44$27.91
Max Pain$26.83$25.00$27.00$27.00$27.00
ATM IV20.9%18.6%23.1%23.0%19.6%
Expected Move6.1%5.3%6.8%6.6%5.6%
HV 20d16.8%12.2%23.1%23.1%12.3%
HV 60d19.5%18.7%20.7%20.4%18.7%
IV Rank8.8%2.2%14.0%13.5%6.0%
IV Percentile4.2%0.4%9.5%6.7%1.6%
Term Structure2.4%1.2%3.5%1.7%2.5%
VWIV21.8%18.6%27.0%23.4%20.3%
Skew 25d5.0%1.8%9.3%8.3%7.5%
Skew 10d10.9%2.8%18.4%8.3%13.4%
Call IV 25d18.7%13.4%21.0%17.3%13.4%
Put IV 25d23.7%20.5%26.1%25.6%20.9%
Bid-Ask Spread %22.9312.4735.0212.4727.83
Gamma HHI0.370.320.480.320.35
Net GEX-316.4K-2.3M713.8K-2.3M697.5K
Net DEX-19.2M-36.3M9.5M9.5M-24.5M
Net VEX-209.4K-242.4K-190.4K-242.4K-192.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.770.01298.001.050.37
Total Volume443.087482,10077248
Total OI66,664.82640,16382,38477,71442,448

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$26.44$27.0023.0%6.6%23.1%13.5%23.4%8.3%1.7%-2.3M9.5M-242.4K1.0512.47N/AN/A37739532,31745,397
2010-03-02$26.83$27.0020.0%5.7%22.8%5.7%22.8%9.3%3.1%-2.0M-2.0M-238.0K0.3612.97N/AN/A1696132,59445,766
2010-03-03$27.03$27.0020.3%5.8%22.7%6.4%22.0%4.9%2.4%-1.7M-7.1M-231.2K0.5914.35N/AN/A42124732,65945,826
2010-03-04$26.95$27.0019.9%5.7%22.6%5.5%20.1%5.0%2.5%-1.6M-5.5M-233.6K4.1915.57N/AN/A6226032,77446,032
2010-03-05$27.36$25.0020.1%6.7%19.0%5.9%23.3%5.1%1.2%-1.1M-15.4M-219.9K1.1323.37N/AN/A11513032,80446,287
2010-03-08$27.42$26.0023.1%6.6%19.0%13.8%21.1%4.6%2.2%-981.4K-16.3M-219.5K0.0321.75N/AN/A4771332,88446,417
2010-03-09$27.36$26.0021.4%6.7%18.3%9.6%23.1%5.7%1.6%-906.6K-16.0M-215.8K1.4426.17N/AN/A18626733,29746,421
2010-03-10$27.41$27.0021.8%6.8%17.6%12.1%23.5%5.6%1.2%-787.8K-17.2M-214.7K0.9823.40N/AN/A494833,38446,610
2010-03-11$27.51$27.0021.8%6.2%17.6%11.8%23.9%5.4%2.3%-695.3K-18.7M-212.9K298.0024.54N/AN/A129833,39546,645
2010-03-12$27.69$27.0020.8%6.0%16.4%9.0%21.7%3.9%3.3%-654.9K-23.0M-209.3K0.0224.43N/AN/A2,0505033,39446,939
2010-03-15$27.65$27.0022.0%6.3%16.4%12.5%27.0%4.9%2.0%-624.6K-25.8M-213.5K0.3224.02N/AN/A2026435,25746,948
2010-03-16$28.05$27.0021.5%6.2%15.4%11.0%21.0%5.8%2.4%30.7K-34.9M-200.2K0.7528.27N/AN/A29722435,30047,004
2010-03-17$28.19$27.0022.5%6.4%15.4%14.0%22.4%5.0%2.0%622.8K-36.3M-198.7K0.2426.22N/AN/A2105135,25747,099
2010-03-18$27.92$27.0021.4%6.1%15.8%10.9%22.7%3.8%3.3%445.5K-33.6M-199.2K0.0621.89N/AN/A3011735,25147,133
2010-03-19$27.73$27.0020.3%5.8%16.2%7.6%21.7%5.3%2.8%106.9K-30.1M-202.7K2.4921.07N/AN/A6816935,14247,149
2010-03-22$27.67$27.0019.7%5.6%16.0%5.5%19.9%4.5%2.5%519.3K-19.6M-198.2K0.8321.20N/AN/A30725521,35018,813
2010-03-23$27.92$27.0019.9%5.7%12.2%6.2%19.7%2.0%2.3%574.3K-22.8M-195.5K0.0629.34N/AN/A3452021,61918,946
2010-03-24$27.47$27.0021.6%6.2%14.2%11.4%22.6%3.2%2.5%590.5K-18.7M-199.2K1.5315.45N/AN/A13320321,93218,965
2010-03-25$27.52$27.0019.6%5.6%14.2%5.2%20.0%4.2%3.5%584.6K-19.3M-198.6K0.2828.06N/AN/A1012822,00719,134
2010-03-26$27.48$27.0021.5%6.2%14.3%11.2%20.8%6.4%2.2%599.7K-17.2M-198.6K1.1922.55N/AN/A263122,07519,162
2010-03-29$27.82$27.0018.6%5.3%13.3%2.2%18.6%3.0%3.5%653.7K-22.2M-190.4K0.8827.51N/AN/A58051022,09519,182
2010-03-30$27.91$27.0020.0%5.7%12.5%6.5%20.1%1.8%2.5%713.8K-24.0M-191.3K0.0135.02N/AN/A322322,60319,578
2010-03-31$27.91$27.0019.6%5.6%12.3%6.0%20.3%7.5%2.5%697.5K-24.5M-192.3K0.3727.83N/AN/A351322,86719,581