EWC Options History — May 2010

In May 2010, EWC traded between $25.20 and $28.46. ATM implied volatility averaged 34.9%, placing in the 74.0% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 6.2% (HV 20d: 28.7%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 4.65.

Notable Days

  • 2010-05-21: Highest Volume — 4,651 contracts
  • 2010-05-06: Largest IV spike — 39.0% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.73$25.20$28.46$28.46$26.17
Max Pain$26.40$26.00$28.00$28.00$26.00
ATM IV34.9%24.4%45.5%24.4%32.2%
Expected Move9.9%7.0%13.0%7.0%9.2%
HV 20d28.7%18.5%34.8%18.5%34.7%
HV 60d21.1%17.2%23.9%17.2%23.9%
IV Rank74.0%42.5%100.0%42.5%61.2%
IV Percentile76.7%28.2%100.0%28.2%69.0%
Term Structure-1.4%-5.1%1.3%0.6%1.3%
VWIV34.5%22.4%47.0%22.4%27.9%
Skew 25d9.3%0.5%16.5%3.4%8.3%
Skew 10d16.6%-1.8%27.0%0.4%14.7%
Call IV 25d30.1%21.3%38.2%22.8%28.6%
Put IV 25d39.4%26.2%51.9%26.2%36.9%
Bid-Ask Spread %35.9223.2157.1626.1829.05
Gamma HHI0.420.330.610.370.37
Net GEX-1.8M-4.6M141.6K-736.8K141.6K
Net DEX9.9M-26.9M56.5M-26.9M6.2M
Net VEX-163.4K-201.5K-123.2K-169.6K-129.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.650.0424.365.960.04
Total Volume925.2884,651188582
Total OI60,058.5546,68366,67360,94448,709

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$28.46$28.0024.4%7.0%18.5%42.5%22.4%3.4%0.6%-736.8K-26.9M-169.6K5.9626.18N/AN/A2716124,40536,539
2010-05-04$27.63$28.0025.7%7.4%21.2%46.6%29.8%6.0%0.6%-1.5M-8.7M-193.1K20.2023.21N/AN/A541,09124,40436,616
2010-05-05$27.14$28.0029.2%8.4%21.9%58.0%30.9%9.9%-1.1%-1.9M3.5M-201.5K3.2435.22N/AN/A5116524,40637,691
2010-05-06$26.39$28.0040.6%11.6%23.6%94.5%36.5%0.5%-3.8%-1.9M22.8M-199.9K0.5757.16N/AN/A38422024,42137,751
2010-05-07$26.36$26.0039.4%11.2%23.3%90.6%42.4%9.6%-3.3%-1.9M21.6M-198.0K0.9856.14N/AN/A13112824,62737,857
2010-05-10$27.51$26.0033.3%8.9%28.7%70.9%34.0%6.7%-1.7%-1.8M-3.5M-184.3K2.4934.16N/AN/A21353124,68437,854
2010-05-11$27.67$26.0033.1%8.8%28.8%70.3%34.4%8.3%-0.5%-1.5M-8.0M-181.5K24.3624.34N/AN/A1573,82524,72038,221
2010-05-12$28.16$26.0030.7%8.5%29.3%62.7%32.3%7.1%-0.9%-1.2M-18.8M-170.8K0.8427.17N/AN/A15212724,82941,032
2010-05-13$27.86$26.0028.8%8.3%29.5%56.7%29.6%8.3%0.2%-1.5M-14.2M-172.3K0.0924.44N/AN/A81724,80241,066
2010-05-14$27.36$26.0032.4%9.3%29.0%72.2%34.5%7.4%-1.0%-2.6M992.0K-182.0K10.8127.28N/AN/A3234624,85541,070
2010-05-17$27.04$26.0033.1%9.5%29.2%74.3%35.7%8.7%-1.6%-4.5M11.4M-170.7K2.7138.48N/AN/A13937624,86041,376
2010-05-18$26.81$26.0034.9%10.0%28.3%80.6%37.6%9.7%-2.7%-4.0M16.1M-170.8K6.6026.99N/AN/A4529724,83941,614
2010-05-19$26.49$26.0036.8%10.5%28.4%87.0%36.4%10.3%-2.8%-4.6M28.8M-163.5K5.8632.77N/AN/A2091,22524,86841,805
2010-05-20$25.20$26.0045.5%13.0%32.6%100.0%47.0%13.7%-5.1%-2.4M56.5M-137.6K2.6249.73N/AN/A15039324,88741,501
2010-05-21$25.68$26.0040.7%11.7%33.7%86.1%38.5%15.3%-2.8%-3.5M54.8M-138.8K4.4751.41N/AN/A8513,80024,95241,549
2010-05-24$25.36$26.0042.8%12.3%33.6%92.3%37.4%14.1%-1.8%-204.9K16.5M-126.4K0.1345.34N/AN/A4135522,67124,012
2010-05-25$25.43$26.0039.4%11.3%32.7%82.3%36.3%16.5%0.6%-302.0K18.9M-123.2K0.4848.48N/AN/A24111622,98924,063
2010-05-26$25.47$26.0041.5%11.9%32.7%88.4%34.9%14.8%-2.9%-223.4K16.0M-124.7K0.5134.36N/AN/A1537823,11224,165
2010-05-27$26.39$26.0032.9%9.4%34.8%63.3%32.3%7.5%-0.1%49.4K3.9M-129.9K0.0926.42N/AN/A1,37911923,15224,197
2010-05-28$26.17$26.0032.2%9.2%34.7%61.2%27.9%8.3%1.3%141.6K6.2M-129.2K0.0429.05N/AN/A5622024,42624,283