EWC Options History — January 2011

In January 2011, EWC traded between $30.72 and $31.49. ATM implied volatility averaged 17.7%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 7.6% (HV 20d: 10.2%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2011-01-31: Highest Volume — 5,145 contracts
  • 2011-01-13: Largest IV spike — 35.4% change
  • 2011-01-19: Highest IV Rank — 28.6%
  • 2011-01-19: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.08$30.72$31.49$31.25$31.29
Max Pain$30.85$30.00$31.00$30.00$31.00
ATM IV17.7%14.8%21.0%17.7%17.7%
Expected Move5.3%4.4%6.0%5.1%5.1%
HV 20d10.2%7.5%13.0%7.5%13.0%
HV 60d14.9%14.4%15.3%15.3%14.9%
IV Rank19.1%10.7%28.6%18.9%19.0%
IV Percentile10.2%1.2%34.9%4.4%7.9%
Term Structure1.0%-6.7%4.3%2.6%1.7%
VWIV18.2%14.7%21.7%15.8%17.2%
Skew 25d5.2%-4.3%8.2%5.9%5.0%
Skew 10d6.5%-0.1%14.8%3.0%5.9%
Call IV 25d15.3%10.6%17.9%13.5%15.0%
Put IV 25d20.4%11.9%24.5%19.4%20.0%
Bid-Ask Spread %88.1652.28137.7852.2899.26
Gamma HHI0.320.260.470.270.31
Net GEX282.0K-29.1K556.6K121.6K435.9K
Net DEX-5.2M-6.8M-3.4M-4.9M-6.3M
Net VEX-22.4K-23.8K-19.3K-23.1K-21.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.022.832.831.00
Total Volume437.65225,1452415,145
Total OI6,182.455,2187,2965,9015,584

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$31.25$30.0017.7%5.1%7.5%18.9%15.8%5.9%2.6%121.6K-4.9M-23.1K2.8352.28N/AN/A631783,2582,643
2011-01-04$30.92$30.0017.0%4.9%8.6%16.9%17.2%8.1%3.5%40.2K-3.9M-23.3K0.5871.48N/AN/A52303,2782,808
2011-01-05$30.98$30.0016.8%4.8%8.3%16.4%14.7%6.6%4.3%65.3K-4.1M-23.6K0.7164.13N/AN/A14103,3042,815
2011-01-06$30.83$31.0016.7%4.8%8.1%16.2%16.7%5.5%2.9%38.2K-3.7M-23.8K0.4775.07N/AN/A1573,2952,825
2011-01-07$30.85$31.0014.9%5.6%8.1%10.9%21.4%7.0%0.2%3.9K-3.8M-23.2K0.6055.79N/AN/A25153,3072,827
2011-01-10$30.73$31.0015.8%5.8%7.9%13.6%21.7%5.6%-0.2%-29.1K-3.4M-22.6K2.2559.40N/AN/A40903,3322,831
2011-01-11$31.18$31.0015.4%5.7%9.3%12.2%18.0%8.1%0.5%136.7K-4.8M-21.8K0.1885.88N/AN/A55103,3622,911
2011-01-12$31.44$31.0014.8%5.6%9.6%10.7%17.5%4.7%0.7%424.7K-5.7M-19.7K0.0380.97N/AN/A435133,3862,911
2011-01-13$31.24$31.0020.1%5.8%9.9%25.9%20.0%4.6%0.7%192.3K-5.1M-21.6K1.1175.69N/AN/A56623,4872,914
2011-01-14$31.32$31.0019.0%5.4%9.8%22.7%18.1%8.2%-6.7%445.4K-5.6M-19.3K0.02137.78N/AN/A658153,5212,973
2011-01-18$31.49$31.0020.0%5.7%9.8%25.6%18.2%5.0%0.5%413.9K-6.8M-23.4K0.4496.89N/AN/A78344,1372,988
2011-01-19$31.13$31.0021.0%6.0%10.6%28.6%21.7%7.4%-0.6%483.2K-6.3M-23.0K0.6394.15N/AN/A62394,1823,010
2011-01-20$30.85$31.0020.2%5.8%11.2%26.2%21.0%3.9%0.6%368.9K-5.2M-22.8K0.1988.90N/AN/A110214,2283,019
2011-01-21$30.92$31.0019.3%5.5%11.2%23.8%19.4%6.4%1.0%556.6K-5.6M-23.2K1.8267.56N/AN/A601094,2563,040
2011-01-24$31.00$31.0018.5%5.3%11.1%21.4%16.5%7.5%1.7%361.8K-5.5M-22.0K0.4086.54N/AN/A160643,6771,541
2011-01-25$30.72$31.0017.8%5.1%11.6%19.3%20.0%5.3%0.6%357.8K-4.9M-22.7K0.6697.97N/AN/A112743,8121,576
2011-01-26$31.23$31.0018.1%5.2%12.8%20.1%17.8%-4.3%0.4%424.5K-6.2M-21.9K0.23134.27N/AN/A77183,8951,639
2011-01-27$31.18$31.0018.3%5.3%12.4%20.8%15.2%4.5%2.1%403.6K-6.0M-22.9K0.38114.58N/AN/A47183,9151,620
2011-01-28$31.01$31.0015.5%4.4%12.6%12.6%15.6%-1.4%3.9%394.7K-5.9M-22.4K0.05124.52N/AN/A650323,9141,628
2011-01-31$31.29$31.0017.7%5.1%13.0%19.0%17.2%5.0%1.7%435.9K-6.3M-21.6K1.0099.26N/AN/A2,5672,5783,9241,660