EWC Options History — November 2010

In November 2010, EWC traded between $28.65 and $30.15. ATM implied volatility averaged 21.6%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.4% (HV 20d: 17.2%). 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 15 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2010-11-18: Highest Volume — 574 contracts
  • 2010-11-12: Largest IV spike — 28.2% change
  • 2010-11-29: Highest IV Rank — 41.0%
  • 2010-11-29: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.47$28.65$30.15$29.03$29.33
Max Pain$27.19$27.00$28.00$28.00$27.00
ATM IV21.6%17.0%25.3%23.6%25.2%
Expected Move6.3%5.4%7.2%6.8%7.2%
HV 20d17.2%14.9%19.9%16.4%19.6%
HV 60d16.4%15.7%17.7%17.7%16.0%
IV Rank30.4%17.0%41.0%36.3%40.8%
IV Percentile30.3%2.0%60.3%43.7%59.5%
Term Structure0.5%-3.3%2.7%-2.0%-1.0%
VWIV22.0%16.2%27.9%22.1%27.9%
Skew 25d6.7%3.6%10.4%4.9%5.1%
Skew 10d10.0%-0.3%21.6%1.9%3.5%
Call IV 25d18.5%12.0%22.1%19.2%22.1%
Put IV 25d25.2%21.4%29.5%24.1%27.2%
Bid-Ask Spread %55.4822.5795.5595.5522.57
Gamma HHI0.380.360.400.370.40
Net GEX640.1K559.2K763.8K563.9K614.9K
Net DEX-8.3M-11.5M-5.6M-7.1M-7.0M
Net VEX-24.9K-28.8K-22.4K-28.5K-24.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.078.000.510.45
Total Volume205.90518574230439
Total OI7,636.9056,8038,1737,5377,412

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$29.03$28.0023.6%6.8%16.4%36.3%22.1%4.9%-2.0%563.9K-7.1M-28.5K0.5195.55N/AN/A152785,5961,941
2010-11-02$29.22$28.0021.5%6.2%15.0%30.2%16.2%6.1%0.5%599.9K-7.9M-28.8K0.0847.48N/AN/A9075,6601,965
2010-11-03$29.28$28.0022.0%6.3%14.9%31.6%22.0%3.6%-3.3%623.0K-8.0M-27.3K0.5783.44N/AN/A70405,6671,970
2010-11-04$29.93$28.0018.8%5.4%15.9%22.3%19.9%9.4%0.8%645.2K-10.5M-25.6K0.8438.86N/AN/A1631375,6891,983
2010-11-05$30.01$27.0018.0%5.7%15.5%19.9%22.2%5.5%1.9%597.7K-10.6M-26.6K0.9863.65N/AN/A1911885,7282,006
2010-11-08$30.15$27.0017.0%5.9%15.5%17.0%19.3%5.2%2.0%658.3K-11.5M-23.9K0.2238.49N/AN/A89205,7941,932
2010-11-09$29.85$27.0018.4%6.3%16.0%21.1%18.6%5.9%0.4%630.5K-10.5M-25.2K0.7951.85N/AN/A114905,7881,944
2010-11-10$30.06$27.0018.2%5.8%15.6%20.4%21.2%7.4%1.9%692.9K-10.9M-23.6K0.6747.71N/AN/A51345,7851,997
2010-11-11$29.96$27.0019.6%5.6%15.5%24.6%20.1%6.3%1.8%677.6K-10.4M-24.6K0.5957.98N/AN/A73435,7972,004
2010-11-12$29.39$27.0025.2%7.2%16.9%40.7%25.4%6.4%-0.4%639.1K-8.5M-26.0K1.4066.89N/AN/A25355,8231,999
2010-11-15$29.37$27.0023.7%6.8%16.9%36.5%23.5%6.1%1.4%714.1K-8.6M-24.7K2.4441.06N/AN/A431055,8432,019
2010-11-16$28.65$27.0022.8%6.5%17.6%33.8%23.9%7.7%2.5%628.7K-5.6M-23.6K2.4560.76N/AN/A621525,8552,117
2010-11-17$28.72$27.0023.9%6.9%16.9%37.2%22.2%7.0%0.4%635.2K-5.9M-23.9K0.5342.78N/AN/A86465,8632,154
2010-11-18$29.24$27.0022.6%6.5%17.9%33.3%20.8%4.9%1.8%760.2K-7.7M-24.3K0.3957.02N/AN/A4131615,8562,154
2010-11-19$29.55$27.0020.0%5.7%18.2%25.7%20.8%5.2%2.7%763.8K-8.7M-24.5K1.2730.03N/AN/A51655,8912,282
2010-11-22$29.55$27.0021.2%6.1%17.9%29.2%20.9%9.2%0.5%612.0K-7.6M-22.4K1.8791.77N/AN/A1292415,1071,696
2010-11-23$29.05$27.0023.1%6.6%19.0%34.8%23.5%7.9%0.8%559.2K-6.0M-23.9K1.2257.85N/AN/A921125,2131,883
2010-11-24$29.62$27.0019.6%5.6%19.6%24.6%23.0%5.9%0.5%635.8K-7.8M-23.5K0.1191.30N/AN/A286325,2361,949
2010-11-26$29.38$27.0023.9%6.8%19.9%36.9%25.5%10.0%-1.1%592.6K-7.2M-25.1K8.0040.19N/AN/A2165,4031,979
2010-11-29$29.44$27.0025.3%7.2%19.5%41.0%22.9%10.4%-1.4%597.5K-7.2M-24.0K0.0737.82N/AN/A9475,4011,994
2010-11-30$29.33$27.0025.2%7.2%19.6%40.8%27.9%5.1%-1.0%614.9K-7.0M-24.0K0.4522.57N/AN/A3021375,4112,001