EWC Options History — August 2010

In August 2010, EWC traded between $25.43 and $27.23. ATM implied volatility averaged 26.0%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.9% (HV 20d: 21.1%). 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 21 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2010-08-24: Highest Volume — 723 contracts
  • 2010-08-11: Largest IV spike — 17.8% change
  • 2010-08-13: Highest IV Rank — 55.7%
  • 2010-08-13: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.32$25.43$27.23$27.14$26.10
Max Pain$26.82$26.00$27.00$26.00$27.00
ATM IV26.0%21.4%30.3%22.2%25.9%
Expected Move7.6%6.4%8.7%6.4%7.4%
HV 20d21.1%19.4%23.3%21.5%22.2%
HV 60d26.3%23.7%28.7%28.7%23.7%
IV Rank43.2%29.7%55.7%32.1%42.9%
IV Percentile41.2%14.7%68.3%19.4%39.7%
Term Structure1.6%-1.3%3.4%3.1%2.8%
VWIV26.8%20.7%30.0%23.0%29.4%
Skew 25d7.7%3.8%12.4%8.3%7.6%
Skew 10d16.0%3.3%25.1%19.6%17.1%
Call IV 25d22.9%18.6%26.6%19.5%24.1%
Put IV 25d30.6%24.5%34.9%27.9%31.7%
Bid-Ask Spread %30.3517.8654.4740.5337.86
Gamma HHI0.190.160.240.160.21
Net GEX11.4K-191.8K170.2K133.0K-111.5K
Net DEX1.2M-2.0M4.2M-1.6M2.1M
Net VEX-27.1K-33.2K-22.7K-33.2K-23.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.123.440.441.73
Total Volume207.81813723247101
Total OI10,745.18210,17711,51210,36511,341

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$27.14$26.0022.2%6.4%21.5%32.1%23.0%8.3%3.1%133.0K-1.6M-33.2K0.4440.53N/AN/A172755,3145,051
2010-08-03$26.99$26.0022.9%6.6%21.8%34.2%28.4%4.9%2.9%132.3K-1.2M-33.2K0.7651.16N/AN/A17135,4255,065
2010-08-04$27.23$26.0023.3%6.7%20.5%35.1%20.7%6.7%2.3%155.2K-2.0M-33.1K0.2035.74N/AN/A60125,4405,061
2010-08-05$27.09$26.0022.6%6.5%20.6%33.3%22.9%3.8%3.4%156.5K-1.6M-32.3K0.1837.66N/AN/A1125,4675,061
2010-08-06$26.88$27.0021.4%7.1%19.7%29.7%25.0%7.5%2.2%133.3K-666.1K-31.7K0.8920.99N/AN/A61545,4705,063
2010-08-09$26.98$27.0021.7%7.1%19.6%30.6%26.3%7.8%1.4%170.2K-1.2M-30.5K0.4317.86N/AN/A23105,5255,094
2010-08-10$26.83$27.0023.9%7.3%19.4%37.2%30.0%12.4%1.4%142.2K-720.6K-30.7K0.7230.09N/AN/A36265,5345,104
2010-08-11$25.90$27.0028.2%8.4%23.2%49.5%27.3%8.7%0.5%-6.9K2.6M-28.0K0.1717.93N/AN/A5395,5415,101
2010-08-12$25.80$27.0028.7%8.2%23.1%51.0%29.7%6.7%1.3%-34.6K3.1M-26.7K0.4720.19N/AN/A53255,5555,110
2010-08-13$25.77$27.0030.3%8.7%20.4%55.7%27.4%9.3%0.1%-30.5K2.9M-26.6K0.1835.80N/AN/A164305,5645,123
2010-08-16$25.73$27.0028.7%8.2%20.4%51.1%28.8%8.8%0.9%-74.7K3.4M-24.4K0.5250.70N/AN/A86455,4805,152
2010-08-17$26.46$27.0027.7%7.9%21.7%47.9%26.7%7.7%2.2%93.7K1.0M-25.9K0.1818.54N/AN/A171305,4955,191
2010-08-18$26.68$27.0024.8%7.1%20.9%39.7%23.1%7.1%2.5%158.4K140.6K-25.7K0.1224.25N/AN/A203255,5705,211
2010-08-19$26.31$27.0027.7%7.9%20.2%48.0%28.2%7.8%1.5%-7.5K1.4M-25.1K0.1930.76N/AN/A5881095,7595,202
2010-08-20$26.09$27.0027.3%7.8%20.3%46.8%27.9%8.5%2.1%18.0K1.7M-25.7K0.6022.50N/AN/A80486,2565,256
2010-08-23$25.94$27.0027.5%7.9%20.1%47.5%27.9%8.5%0.6%-64.2K2.2M-23.5K0.7219.79N/AN/A1631185,3134,864
2010-08-24$25.43$27.0030.2%8.7%21.2%55.3%27.2%8.1%-1.3%-108.2K3.7M-22.8K3.4454.47N/AN/A1635605,3814,982
2010-08-25$25.57$27.0026.7%7.7%21.3%45.2%28.8%6.2%1.7%-191.8K4.2M-22.7K1.2725.77N/AN/A67855,4145,523
2010-08-26$25.64$27.0026.0%7.5%21.2%43.2%28.4%7.2%2.1%-177.1K3.7M-23.1K0.5622.12N/AN/A118665,4495,576
2010-08-27$26.32$27.0027.9%8.0%23.3%48.7%26.9%6.9%0.2%-131.9K1.7M-24.4K1.1531.12N/AN/A2302645,5165,626
2010-08-30$26.21$27.0027.0%7.7%22.2%45.9%24.9%9.3%1.8%-103.6K1.6M-23.6K0.4121.82N/AN/A2461005,6245,545
2010-08-31$26.10$27.0025.9%7.4%22.2%42.9%29.4%7.6%2.8%-111.5K2.1M-23.4K1.7337.86N/AN/A37645,7595,582