EWC Options History — October 2010

In October 2010, EWC traded between $28.15 and $29.40. ATM implied volatility averaged 20.0%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.2% (HV 20d: 14.8%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2010-10-26: Highest Volume — 869 contracts
  • 2010-10-14: Largest IV spike — 59.2% change
  • 2010-10-27: Highest IV Rank — 35.5%
  • 2010-10-27: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.78$28.15$29.40$28.33$28.92
Max Pain$27.95$27.00$28.00$27.00$28.00
ATM IV20.0%13.3%23.4%19.6%20.8%
Expected Move6.0%5.6%6.7%5.6%6.0%
HV 20d14.8%11.7%16.9%12.0%16.6%
HV 60d18.1%17.2%19.3%19.1%17.8%
IV Rank25.8%6.1%35.5%24.4%28.0%
IV Percentile15.4%0.4%40.9%5.2%20.2%
Term Structure1.0%0.1%2.3%1.7%0.4%
VWIV21.5%18.0%24.3%18.0%20.6%
Skew 25d6.0%3.9%10.7%3.9%5.4%
Skew 10d11.2%1.6%17.5%3.5%14.4%
Call IV 25d18.6%15.3%19.8%17.9%18.5%
Put IV 25d24.5%21.8%26.3%21.8%23.9%
Bid-Ask Spread %45.9323.4182.4857.2436.81
Gamma HHI0.380.320.620.360.37
Net GEX469.3K335.4K775.7K430.7K506.0K
Net DEX-6.8M-9.9M-4.5M-6.0M-6.6M
Net VEX-26.3K-29.5K-24.5K-27.6K-29.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.001.320.940.33
Total Volume179338693352
Total OI7,006.1435,7217,6947,0787,503

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$28.33$27.0019.6%5.6%12.0%24.4%18.0%3.9%1.7%430.7K-6.0M-27.6K0.9457.24N/AN/A17164,8862,192
2010-10-04$28.15$28.0020.7%6.5%11.7%27.8%22.0%6.6%0.7%436.9K-5.4M-27.0K0.5729.95N/AN/A46264,8922,204
2010-10-05$28.72$28.0018.9%5.8%12.8%22.6%21.1%8.3%1.2%427.1K-6.8M-26.0K0.0153.17N/AN/A46334,9282,208
2010-10-06$28.90$28.0019.0%5.8%12.8%22.8%20.8%5.5%1.8%500.2K-7.8M-26.0K0.2724.49N/AN/A116315,0252,208
2010-10-07$28.55$28.0018.6%5.9%14.0%21.6%23.3%7.0%1.5%490.7K-6.9M-26.8K0.5523.54N/AN/A97535,1002,237
2010-10-08$28.91$28.0016.0%6.2%14.4%14.2%22.0%5.4%0.1%589.9K-8.1M-26.1K0.4332.19N/AN/A82355,1602,270
2010-10-11$29.00$28.0020.8%5.6%13.9%28.1%21.9%6.4%2.3%595.5K-8.4M-25.5K1.0223.41N/AN/A58595,2232,284
2010-10-12$29.01$28.0020.3%5.9%13.9%26.6%21.6%5.1%1.4%590.9K-8.6M-25.3K1.1133.08N/AN/A45505,2392,287
2010-10-13$29.40$28.0013.3%6.1%14.2%6.1%21.9%4.0%0.8%460.3K-9.9M-24.7K0.0032.79N/AN/A13205,2592,329
2010-10-14$29.27$28.0021.1%6.0%14.5%28.9%20.9%5.4%1.0%518.5K-9.6M-24.8K0.5143.65N/AN/A108555,3212,329
2010-10-15$29.08$28.0021.3%6.1%14.6%29.3%21.5%4.9%1.5%775.7K-9.0M-25.1K0.1449.27N/AN/A6395,3142,380
2010-10-18$29.01$28.0021.2%6.1%14.6%29.1%20.6%7.3%1.0%338.5K-5.9M-24.5K0.4163.66N/AN/A128534,1441,577
2010-10-19$28.41$28.0022.8%6.5%16.7%33.8%22.2%6.7%1.4%335.4K-4.5M-24.6K0.9639.01N/AN/A1611544,2411,608
2010-10-20$28.81$28.0020.5%5.9%16.9%27.2%18.8%5.8%0.7%355.3K-5.4M-25.8K0.0136.27N/AN/A18824,3651,730
2010-10-21$28.64$28.0019.9%5.7%16.8%25.4%23.5%7.0%1.3%381.3K-5.2M-26.2K1.3269.99N/AN/A1181564,5111,732
2010-10-22$28.59$28.0020.1%5.8%15.8%26.0%21.0%4.1%1.2%364.1K-5.0M-26.6K0.2437.74N/AN/A59144,5451,881
2010-10-25$28.88$28.0020.6%5.9%15.9%27.5%20.6%5.1%1.2%394.6K-5.9M-26.4K0.2580.75N/AN/A113284,5971,895
2010-10-26$28.81$28.0020.8%6.0%15.9%28.2%20.9%5.2%0.5%399.3K-5.8M-26.3K0.0182.48N/AN/A858114,7061,894
2010-10-27$28.47$28.0023.4%6.7%16.6%35.5%22.9%10.7%0.1%477.6K-5.3M-28.8K0.8975.19N/AN/A35315,5371,905
2010-10-28$28.60$28.0020.9%6.0%16.6%28.4%24.3%5.6%0.1%487.3K-5.9M-29.3K0.4239.82N/AN/A24105,5471,936
2010-10-29$28.92$28.0020.8%6.0%16.6%28.0%20.6%5.4%0.4%506.0K-6.6M-29.5K0.3336.81N/AN/A39135,5571,946