EWC Options History — September 2010

In September 2010, EWC traded between $26.64 and $28.03. ATM implied volatility averaged 22.1%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.9% (HV 20d: 18.2%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.21.

Notable Days

  • 2010-09-02: Highest Volume — 3,124 contracts
  • 2010-09-22: Largest IV spike — 25.1% change
  • 2010-09-22: Highest IV Rank — 42.1%
  • 2010-09-08: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.47$26.64$28.03$26.64$28.03
Max Pain$26.67$26.00$27.00$27.00$27.00
ATM IV22.1%19.6%25.6%23.5%19.6%
Expected Move6.4%5.6%7.4%6.7%5.6%
HV 20d18.2%11.8%24.0%23.3%11.8%
HV 60d21.8%19.1%23.8%23.8%19.1%
IV Rank31.7%24.6%42.1%35.9%24.6%
IV Percentile20.7%5.6%43.7%28.6%5.6%
Term Structure2.4%0.7%4.5%2.3%3.7%
VWIV22.6%19.4%27.6%27.6%19.4%
Skew 25d7.1%3.6%10.3%10.3%7.2%
Skew 10d11.9%0.5%23.7%23.7%1.8%
Call IV 25d19.2%13.6%22.4%20.5%17.1%
Put IV 25d26.2%23.1%30.8%30.8%24.4%
Bid-Ask Spread %38.3413.0069.6013.0044.10
Gamma HHI0.290.180.420.180.35
Net GEX105.0K-327.0K388.5K-18.1K388.5K
Net DEX-3.1M-5.4M-242.0K-242.0K-5.1M
Net VEX-23.6K-27.8K-17.9K-25.7K-27.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.210.0066.910.090.20
Total Volume530.667633,124463201
Total OI10,744.4294,70715,44011,4196,989

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$26.64$27.0023.5%6.7%23.3%35.9%27.6%10.3%2.3%-18.1K-242.0K-25.7K0.0913.00N/AN/A423405,7885,631
2010-09-02$26.86$27.0022.5%6.5%23.5%33.0%24.4%4.5%2.5%-369-980.9K-24.0K66.9124.18N/AN/A463,0785,9715,647
2010-09-03$27.23$26.0021.7%6.9%23.8%30.5%21.8%8.0%2.4%-237.5K-1.6M-26.6K0.3430.28N/AN/A226776,0038,314
2010-09-07$27.01$26.0025.2%7.3%24.0%40.9%25.6%7.7%1.4%-327.0K-418.5K-25.7K0.4625.99N/AN/A61286,1218,330
2010-09-08$27.12$26.0022.9%7.4%23.9%34.1%23.2%8.1%1.3%-312.4K-995.3K-24.6K6.9828.91N/AN/A966706,1428,358
2010-09-09$27.19$26.0025.0%7.2%19.8%40.1%24.8%8.0%0.7%-290.6K-1.7M-23.1K3.1430.89N/AN/A28886,2198,380
2010-09-10$27.24$26.0024.5%7.0%19.7%38.7%0.0%7.5%1.6%-213.7K-2.3M-21.6K0.0031.81N/AN/A31616,2368,399
2010-09-13$27.61$26.0021.9%6.3%20.0%31.1%20.9%6.0%2.8%136.4K-4.6M-19.3K0.7832.05N/AN/A1501176,2438,398
2010-09-14$27.69$26.0022.1%6.4%19.9%31.9%24.7%6.8%2.1%324.5K-5.4M-17.9K0.9132.87N/AN/A5174716,2958,343
2010-09-15$27.60$27.0021.3%6.1%17.8%29.6%22.8%7.5%2.7%148.4K-4.4M-20.0K2.0228.39N/AN/A1913856,4038,780
2010-09-16$27.67$27.0019.8%5.7%17.7%25.0%22.7%6.1%4.5%341.5K-4.9M-20.3K0.6238.80N/AN/A133836,4588,841
2010-09-17$27.54$27.0021.5%6.2%16.9%30.0%21.1%6.3%2.4%173.0K-4.3M-19.9K0.0651.25N/AN/A817456,5208,920
2010-09-20$27.78$27.0020.4%5.8%16.5%26.8%19.5%6.2%3.5%210.9K-3.1M-19.6K0.0445.35N/AN/A22183,1991,508
2010-09-21$27.71$27.0020.5%5.9%16.3%27.2%21.9%7.0%2.5%230.7K-3.1M-20.1K0.1658.99N/AN/A583913,4041,512
2010-09-22$27.49$27.0025.6%7.3%14.5%42.1%25.2%7.4%3.8%261.6K-3.4M-24.0K0.8869.60N/AN/A5504823,9301,590
2010-09-23$27.30$27.0024.4%7.0%15.0%38.5%23.8%8.3%1.0%224.7K-2.6M-26.2K1.5139.75N/AN/A1071624,2501,983
2010-09-24$27.80$27.0020.1%5.8%15.9%25.9%20.6%9.9%2.2%266.9K-3.7M-27.3K0.1144.94N/AN/A125144,3282,139
2010-09-27$27.66$27.0021.1%6.0%13.9%28.7%21.4%3.6%2.4%277.7K-3.7M-27.3K2.9440.08N/AN/A16474,4432,142
2010-09-28$27.81$27.0020.4%5.9%13.7%27.0%21.2%7.2%2.8%283.8K-3.7M-26.5K0.0852.09N/AN/A220174,4592,177
2010-09-29$27.89$27.0019.6%5.6%13.4%24.6%19.8%5.0%2.7%336.5K-4.4M-27.8K0.1241.79N/AN/A190234,6522,188
2010-09-30$28.03$27.0019.6%5.6%11.8%24.6%19.4%7.2%3.7%388.5K-5.1M-27.6K0.2044.10N/AN/A167344,7912,198