EWC Options History — June 2010

In June 2010, EWC traded between $24.87 and $27.62. ATM implied volatility averaged 31.3%, placing in the 58.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 0.9% (HV 20d: 32.2%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.14.

Notable Days

  • 2010-06-11: Highest Volume — 2,985 contracts
  • 2010-06-29: Largest IV spike — 30.5% change
  • 2010-06-07: Highest IV Rank — 100.0%
  • 2010-06-07: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.45$24.87$27.62$25.86$24.87
Max Pain$26.45$26.00$27.00$26.00$27.00
ATM IV31.3%22.6%45.6%36.9%34.2%
Expected Move8.8%6.5%11.2%10.6%9.8%
HV 20d32.2%27.2%36.3%34.5%29.2%
HV 60d26.7%23.8%28.8%23.8%28.8%
IV Rank58.6%33.3%100.0%74.9%67.1%
IV Percentile60.8%21.0%100.0%91.7%83.7%
Term Structure0.9%-1.7%3.9%-0.9%-0.4%
VWIV31.3%22.9%39.7%36.2%30.1%
Skew 25d8.6%4.4%16.2%8.6%11.2%
Skew 10d14.5%10.2%23.6%18.6%17.2%
Call IV 25d27.6%20.6%34.3%34.3%30.9%
Put IV 25d36.2%28.0%45.1%42.9%42.1%
Bid-Ask Spread %32.1622.0171.9337.7437.68
Gamma HHI0.340.160.610.370.18
Net GEX653.0K-607.6K4.5M-76.3K-153.8K
Net DEX-2.3M-43.5M20.2M10.1M5.4M
Net VEX-67.7K-117.4K-32.0K-117.1K-32.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.0316.991.360.38
Total Volume501.318562,985345372
Total OI34,287.5918,10149,42748,1959,542

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$25.86$26.0036.9%10.6%34.5%74.9%36.2%8.6%-0.9%-76.3K10.1M-117.1K1.3637.74N/AN/A14619923,90924,286
2010-06-02$26.72$26.0032.5%9.3%35.6%62.1%32.8%6.4%-1.7%294.8K-2.9M-117.4K0.0324.74N/AN/A7342023,95724,317
2010-06-03$26.67$26.0034.0%9.7%35.1%66.5%34.5%10.7%-1.6%382.0K-3.5M-115.7K1.1722.71N/AN/A637423,96724,324
2010-06-04$25.70$26.0038.5%11.1%36.2%79.5%37.4%10.0%-0.8%-281.7K14.6M-105.6K16.9933.32N/AN/A671,13823,97124,313
2010-06-07$25.48$26.0045.6%11.2%36.3%100.0%35.0%12.3%-1.2%-433.0K20.2M-97.1K9.0024.90N/AN/A119923,99425,187
2010-06-08$25.91$26.0037.0%9.8%33.1%75.0%32.2%9.5%0.9%-607.6K17.7M-93.9K0.3522.01N/AN/A1846523,99725,220
2010-06-09$25.79$26.0036.8%9.8%32.9%74.6%39.7%11.6%0.2%-461.0K15.1M-93.3K1.2128.38N/AN/A17320924,03025,239
2010-06-10$26.59$26.0029.8%8.5%34.3%54.1%34.3%8.3%2.1%367.3K-452.4K-93.3K5.6123.46N/AN/A4424724,02625,294
2010-06-11$26.59$26.0029.6%8.5%34.2%53.5%31.6%8.5%1.0%581.6K-1.4M-89.3K1.9525.31N/AN/A1,0111,97424,04625,381
2010-06-14$26.66$26.0029.0%8.3%33.7%51.7%30.8%10.0%2.3%697.7K-2.8M-75.9K0.3128.19N/AN/A1414423,19425,365
2010-06-15$27.38$26.0028.0%8.0%34.9%48.9%26.7%6.1%2.4%2.7M-26.8M-62.2K0.1335.25N/AN/A2643423,21025,371
2010-06-16$27.43$26.0027.2%7.8%34.7%46.6%25.1%6.3%2.3%3.9M-32.0M-53.5K0.7429.32N/AN/A1057823,27725,355
2010-06-17$27.43$27.0027.2%7.8%34.4%46.7%26.0%7.3%2.3%4.5M-33.6M-48.3K0.7126.04N/AN/A19413823,22825,224
2010-06-18$27.62$27.0022.6%6.5%28.4%33.3%22.9%6.1%3.9%3.2M-43.5M-38.6K0.0329.54N/AN/A1,2043223,20925,188
2010-06-21$27.51$27.0023.3%6.7%28.1%35.1%26.3%9.5%0.8%40.8K9.1K-36.0K0.9536.96N/AN/A4093873,6514,450
2010-06-22$27.08$27.0025.2%7.2%28.3%40.9%26.1%6.9%2.6%-380851.2K-37.4K1.8832.86N/AN/A51963,9724,817
2010-06-23$26.65$27.0026.8%7.7%29.2%45.5%30.0%7.8%1.5%-21.5K1.6M-37.9K0.6235.86N/AN/A2151334,0054,906
2010-06-24$26.20$27.0029.3%8.4%30.0%52.9%30.2%7.7%1.7%-57.5K2.6M-37.2K0.2536.76N/AN/A57144,0815,028
2010-06-25$26.43$27.0028.7%8.2%27.3%51.1%29.1%4.4%1.3%-41.0K2.1M-37.2K0.3736.17N/AN/A41154,1015,042
2010-06-28$26.25$27.0029.1%8.3%27.2%52.1%32.3%4.5%0.9%-64.2K2.6M-35.6K1.2528.27N/AN/A1461834,1345,057
2010-06-29$25.03$27.0038.0%10.9%31.9%77.9%38.5%16.2%0.2%-110.2K4.4M-34.0K1.8371.93N/AN/A771414,2265,236
2010-06-30$24.87$27.0034.2%9.8%29.2%67.1%30.1%11.2%-0.4%-153.8K5.4M-32.0K0.3837.68N/AN/A2701024,2085,334