EWC Options History — December 2010

In December 2010, EWC traded between $30.04 and $31.00. ATM implied volatility averaged 19.2%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.2% (HV 20d: 16.0%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.42.

Notable Days

  • 2010-12-27: Highest Volume — 2,661 contracts
  • 2010-12-28: Largest IV drop — 19.0% change
  • 2010-12-10: Highest IV Rank — 29.8%
  • 2010-12-08: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.50$30.04$31.00$30.04$31.00
Max Pain$29.55$27.00$30.00$27.00$30.00
ATM IV19.2%14.9%21.4%21.4%16.8%
Expected Move5.5%4.3%6.2%6.1%4.8%
HV 20d16.0%7.0%21.6%21.2%7.0%
HV 60d16.3%15.5%16.7%16.5%15.5%
IV Rank23.5%10.9%29.8%29.7%16.4%
IV Percentile14.8%1.2%32.5%29.8%3.2%
Term Structure2.6%0.4%4.4%0.6%3.5%
VWIV19.7%15.5%25.8%21.6%16.7%
Skew 25d5.9%3.4%7.8%4.4%7.8%
Skew 10d8.7%-0.9%13.9%13.7%4.9%
Call IV 25d15.9%9.7%19.7%19.7%9.8%
Put IV 25d21.8%17.5%25.5%24.1%17.7%
Bid-Ask Spread %56.7318.92109.2723.4318.92
Gamma HHI0.460.260.610.460.29
Net GEX366.0K-323.0K840.1K687.0K69.3K
Net DEX-7.9M-13.0M-560.1K-9.8M-4.1M
Net VEX-23.1K-29.6K-18.8K-23.9K-24.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.0427.610.110.19
Total Volume409.818262,6619332
Total OI7,278.8184,7568,8217,7485,879

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$30.04$27.0021.4%6.1%21.2%29.7%21.6%4.4%0.6%687.0K-9.8M-23.9K0.1123.43N/AN/A8495,6212,127
2010-12-02$30.44$27.0020.5%5.9%21.6%27.2%21.5%7.6%1.8%704.2K-11.4M-23.2K0.4854.87N/AN/A136655,6872,119
2010-12-03$30.50$27.0021.2%6.1%20.3%29.2%21.3%7.1%0.4%703.4K-11.7M-23.0K1.2933.24N/AN/A17225,7442,170
2010-12-06$30.56$29.0020.3%5.9%20.3%26.5%21.0%6.2%2.1%700.0K-12.0M-21.2K0.2228.01N/AN/A166365,7462,182
2010-12-07$30.41$30.0021.0%6.2%20.3%28.6%20.9%4.0%1.9%742.6K-11.8M-22.0K0.8638.78N/AN/A57495,7862,209
2010-12-08$30.21$30.0021.2%6.2%20.1%29.2%25.8%6.8%2.4%829.1K-11.0M-21.8K1.9733.83N/AN/A35695,7842,194
2010-12-09$30.27$30.0020.7%6.1%20.0%27.8%21.3%5.0%1.8%840.1K-11.2M-21.6K0.5329.29N/AN/A57305,7602,253
2010-12-10$30.50$30.0021.4%6.0%20.1%29.8%20.8%3.9%2.0%818.5K-12.1M-20.1K0.63103.99N/AN/A16105,7632,277
2010-12-13$30.65$30.0018.6%5.6%18.7%21.8%21.6%6.9%2.3%755.7K-13.0M-18.8K1.9533.24N/AN/A2625105,7692,287
2010-12-14$30.63$30.0020.9%5.3%18.7%28.4%19.7%5.0%3.7%741.0K-12.4M-20.6K0.0457.01N/AN/A6835,9822,792
2010-12-15$30.57$30.0018.8%5.4%15.8%22.3%22.4%4.0%2.3%696.3K-12.6M-20.5K0.2482.46N/AN/A3485,9672,795
2010-12-16$30.46$30.0020.3%5.8%16.0%26.5%17.8%7.3%4.4%751.5K-12.4M-19.7K0.2078.65N/AN/A475935,9602,798
2010-12-17$30.38$30.0019.0%5.4%15.1%22.7%18.9%4.4%3.0%65.0K-12.0M-20.2K2.0678.14N/AN/A2865885,9432,878
2010-12-20$30.23$30.0017.9%5.1%14.9%19.6%17.9%3.4%2.5%-85.9K-1.6M-22.2K2.4170.44N/AN/A2696472,6002,156
2010-12-21$30.22$30.0018.8%5.4%14.9%22.1%19.2%6.2%3.2%-103.3K-1.3M-25.8K9.9367.12N/AN/A1271,2612,7872,696
2010-12-22$30.34$30.0018.8%5.4%13.3%22.2%17.1%6.7%2.6%-309.4K-560.1K-29.6K0.0537.41N/AN/A11052,8983,758
2010-12-23$30.50$30.0020.2%5.8%11.8%26.4%19.4%7.4%1.9%-318.5K-979.1K-29.1K0.6548.13N/AN/A2481602,9323,763
2010-12-27$30.46$30.0018.4%5.3%11.3%21.1%18.4%6.6%2.9%-323.0K-1.2M-28.8K27.6171.68N/AN/A932,5683,0463,872
2010-12-28$30.67$30.0014.9%4.3%11.4%10.9%17.9%7.0%3.7%16.8K-3.5M-23.3K0.96109.27N/AN/A52503,0632,565
2010-12-29$30.95$30.0016.0%4.6%11.4%14.1%16.7%7.8%4.1%33.5K-3.7M-24.2K0.1573.22N/AN/A85133,1092,615
2010-12-30$30.93$30.0015.9%4.6%8.3%13.8%15.5%4.2%4.1%37.2K-3.9M-24.0K0.6876.94N/AN/A66453,1802,622
2010-12-31$31.00$30.0016.8%4.8%7.0%16.4%16.7%7.8%3.5%69.3K-4.1M-24.1K0.1918.92N/AN/A2753,2412,638