EWC Options History — July 2010

In July 2010, EWC traded between $24.61 and $26.66. ATM implied volatility averaged 27.4%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.9% (HV 20d: 26.5%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2010-07-16: Highest Volume — 511 contracts
  • 2010-07-15: Largest IV spike — 22.1% change
  • 2010-07-01: Highest IV Rank — 75.9%
  • 2010-07-01: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.94$24.61$26.66$24.61$26.66
Max Pain$26.14$26.00$27.00$27.00$26.00
ATM IV27.4%23.0%37.3%37.3%23.6%
Expected Move7.9%6.8%10.7%10.7%6.8%
HV 20d26.5%21.0%29.3%29.3%21.0%
HV 60d29.6%28.8%30.2%28.8%29.0%
IV Rank47.1%34.4%75.9%75.9%36.3%
IV Percentile43.9%22.6%92.9%92.9%26.6%
Term Structure2.2%-1.0%5.4%-1.0%5.4%
VWIV26.9%21.8%32.6%31.1%27.8%
Skew 25d6.8%2.1%8.6%2.1%5.6%
Skew 10d13.5%-3.2%19.6%11.0%15.4%
Call IV 25d23.7%20.6%30.6%23.8%21.7%
Put IV 25d30.5%25.9%38.4%25.9%27.2%
Bid-Ask Spread %38.8721.37109.5666.62109.56
Gamma HHI0.180.160.220.180.17
Net GEX-49.3K-199.1K72.6K-151.4K72.6K
Net DEX2.7M278.8K5.9M5.8M278.8K
Net VEX-32.7K-34.9K-30.0K-32.2K-33.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.023.910.701.16
Total Volume196.7145251120297
Total OI10,075.0489,12510,8589,74710,280

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$24.61$27.0037.3%10.7%29.3%75.9%31.1%2.1%-1.0%-151.4K5.8M-32.2K0.7066.62N/AN/A119834,3375,410
2010-07-02$24.61$27.0032.9%9.4%26.6%63.1%31.9%7.7%0.2%-170.3K5.9M-31.3K0.5555.51N/AN/A40224,3025,426
2010-07-06$24.82$26.0032.7%9.3%26.7%62.7%32.6%5.9%1.9%-194.4K5.9M-30.0K0.8629.40N/AN/A101874,3215,438
2010-07-07$25.44$27.0032.3%8.6%27.6%61.5%28.3%7.6%5.1%-199.1K5.0M-31.8K0.1230.62N/AN/A215264,3635,520
2010-07-08$25.65$26.0026.3%7.9%27.7%43.9%26.1%8.2%2.3%-159.0K4.3M-32.8K0.1222.83N/AN/A336404,5425,524
2010-07-09$26.21$26.0025.4%7.9%26.6%41.4%25.8%6.9%0.5%-70.0K2.6M-34.9K0.4722.14N/AN/A2441154,8615,541
2010-07-12$26.14$26.0030.4%8.0%26.6%56.1%25.9%7.7%1.8%-65.6K2.7M-34.1K0.0223.00N/AN/A15435,0265,619
2010-07-13$26.44$26.0024.1%7.7%26.9%37.5%24.1%7.5%2.7%29.4K1.3M-34.8K0.3721.37N/AN/A52195,1555,622
2010-07-14$26.31$26.0023.0%8.0%25.0%34.4%28.9%7.3%2.1%-16.6K1.8M-34.4K0.7025.73N/AN/A40285,1725,621
2010-07-15$26.47$26.0028.1%8.1%25.1%49.2%29.7%8.6%1.7%-10.2K1.7M-33.5K3.9131.98N/AN/A11435,1825,637
2010-07-16$25.68$26.0026.4%7.6%27.0%44.2%31.2%7.7%3.8%-127.6K3.7M-32.2K0.2437.31N/AN/A412995,1905,668
2010-07-19$25.58$26.0026.0%7.5%26.8%43.1%27.0%7.3%2.3%-62.8K3.2M-31.2K0.4224.66N/AN/A212894,3674,758
2010-07-20$26.06$26.0027.7%7.9%27.9%48.1%26.2%5.6%2.1%-66.7K2.8M-30.1K0.0941.79N/AN/A232214,4844,847
2010-07-21$25.65$26.0027.1%7.8%27.9%46.4%27.6%7.5%1.6%-42.1K2.8M-31.9K0.7539.53N/AN/A83624,6454,866
2010-07-22$26.23$26.0025.8%7.4%28.8%42.5%24.3%8.3%2.0%-14.6K1.9M-32.9K0.1032.23N/AN/A350344,6994,918
2010-07-23$26.39$26.0025.9%7.4%28.3%42.7%24.4%6.4%2.1%24.2K1.4M-33.2K0.1737.10N/AN/A83145,0284,916
2010-07-26$26.58$26.0023.9%6.8%28.2%36.9%22.8%7.0%1.6%49.9K502.0K-33.1K0.0930.69N/AN/A164155,0704,930
2010-07-27$26.44$26.0027.2%7.8%28.1%46.5%21.8%7.0%0.9%53.2K625.6K-33.3K0.2157.41N/AN/A4395,0924,925
2010-07-28$26.34$26.0025.2%7.2%21.8%40.7%25.2%5.5%2.9%37.1K1.2M-32.6K0.9433.40N/AN/A1211145,1234,934
2010-07-29$26.52$26.0023.5%6.8%21.6%36.0%23.0%6.3%4.0%48.4K781.4K-32.5K0.3043.40N/AN/A76235,2274,990
2010-07-30$26.66$26.0023.6%6.8%21.0%36.3%27.8%5.6%5.4%72.6K278.8K-33.6K1.16109.56N/AN/A45525,2775,003