EWC Options History — March 2011

In March 2011, EWC traded between $31.63 and $33.98. ATM implied volatility averaged 19.2%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.3% (HV 20d: 16.8%). Max pain ranged from $29.00 to $33.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.90.

Notable Days

  • 2011-03-16: Highest Volume — 2,226 contracts
  • 2011-03-21: Largest IV drop — 20.1% change
  • 2011-03-16: Highest IV Rank — 43.3%
  • 2011-03-16: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.04$31.63$33.98$33.48$33.61
Max Pain$32.04$29.00$33.00$29.00$33.00
ATM IV19.2%14.5%26.1%19.4%14.5%
Expected Move5.6%4.2%7.5%5.6%4.2%
HV 20d16.8%12.1%20.5%13.6%18.7%
HV 60d13.6%11.6%15.3%11.6%15.1%
IV Rank23.2%9.8%43.3%24.1%9.8%
IV Percentile29.2%1.2%76.2%26.6%1.2%
Term Structure1.5%-1.0%3.9%0.1%3.9%
VWIV19.1%14.8%26.4%18.1%15.7%
Skew 25d5.4%2.3%7.6%5.9%6.0%
Skew 10d9.4%0.9%19.2%5.5%11.1%
Call IV 25d16.6%11.1%23.1%15.0%12.1%
Put IV 25d22.0%17.8%29.6%20.9%18.1%
Bid-Ask Spread %33.6012.7475.9175.4515.61
Gamma HHI0.320.240.420.370.40
Net GEX519.9K303.4K871.2K519.9K871.2K
Net DEX-10.1M-16.1M-5.8M-14.4M-9.1M
Net VEX-56.1K-66.1K-49.4K-51.9K-66.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.028.530.500.32
Total Volume521.739832,226214160
Total OI12,750.56510,13014,53011,96414,530

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$33.48$29.0019.4%5.6%13.6%24.1%18.1%5.9%0.1%519.9K-14.4M-51.9K0.5075.45N/AN/A143717,4324,532
2011-03-02$33.63$29.0016.8%4.8%12.1%16.5%17.2%6.4%1.9%531.4K-14.7M-51.0K0.2219.75N/AN/A228517,4644,603
2011-03-03$33.89$29.0015.5%4.5%12.2%12.7%16.2%6.9%3.1%510.0K-15.6M-51.0K0.7317.83N/AN/A48357,6404,654
2011-03-04$33.98$33.0015.3%5.2%12.1%11.9%17.4%4.5%2.4%506.4K-16.1M-49.4K0.2122.58N/AN/A121267,6674,639
2011-03-07$33.53$33.0016.7%5.4%13.4%16.2%19.8%5.8%1.1%576.0K-14.8M-50.7K0.2123.85N/AN/A220467,7454,648
2011-03-08$33.40$33.0019.3%5.9%13.5%23.6%19.8%4.3%1.2%554.5K-14.1M-52.0K0.3527.72N/AN/A96347,8054,664
2011-03-09$33.22$33.0020.2%5.9%13.8%26.3%19.0%5.1%0.9%592.7K-13.3M-51.8K2.2031.55N/AN/A871917,8444,680
2011-03-10$32.35$33.0023.0%6.6%16.8%34.3%22.1%6.7%0.2%537.1K-9.5M-54.0K0.2826.61N/AN/A6821947,8964,810
2011-03-11$32.59$32.0019.9%5.7%16.9%25.3%20.7%6.3%2.0%485.0K-10.5M-53.8K0.1029.87N/AN/A176178,0224,973
2011-03-14$32.45$32.0023.2%6.7%17.0%35.0%23.4%7.0%0.9%491.3K-9.8M-52.8K0.2027.17N/AN/A247508,0314,970
2011-03-15$31.92$32.0023.1%6.6%17.7%34.8%23.5%7.6%-1.0%483.9K-7.6M-52.0K0.6257.62N/AN/A1851148,1055,017
2011-03-16$31.63$32.0026.1%7.5%18.0%43.3%26.4%6.5%-0.8%482.4K-6.4M-51.4K0.5955.11N/AN/A1,3988288,1455,061
2011-03-17$32.31$32.0022.2%6.4%18.9%32.1%20.6%4.8%2.4%311.2K-10.7M-56.9K0.1175.91N/AN/A582648,8545,265
2011-03-18$32.48$32.0022.9%6.6%18.9%34.1%21.0%6.1%-0.1%391.6K-11.7M-56.4K0.3829.22N/AN/A4071568,8805,227
2011-03-21$33.18$32.0018.3%5.2%20.5%20.7%19.4%5.2%1.9%339.6K-5.8M-55.9K1.0060.04N/AN/A5375385,7554,375
2011-03-22$33.15$32.0018.4%5.3%19.7%21.0%18.3%4.5%2.2%303.4K-5.8M-59.6K1.8958.80N/AN/A2935546,1884,911
2011-03-23$33.25$32.0018.2%5.2%19.7%20.4%15.2%5.0%2.2%337.2K-6.3M-59.9K0.0232.23N/AN/A596146,4085,386
2011-03-24$33.31$32.0017.6%5.1%19.7%18.9%14.8%4.3%2.4%549.3K-7.6M-61.0K0.0315.62N/AN/A672186,9545,396
2011-03-25$33.13$33.0018.8%5.4%18.8%22.3%18.5%2.3%1.2%639.2K-7.2M-63.2K1.7428.20N/AN/A1282237,5535,414
2011-03-28$32.88$33.0018.3%5.2%18.1%20.6%18.3%4.2%0.4%563.0K-5.9M-62.5K0.2812.74N/AN/A172487,6235,636
2011-03-29$33.07$33.0017.9%5.1%18.2%19.5%18.0%3.1%2.2%620.0K-6.4M-61.4K8.5315.35N/AN/A1231,0497,7255,680
2011-03-30$33.54$33.0014.9%4.3%18.9%11.0%16.9%5.7%2.8%762.3K-8.5M-66.0K0.2913.86N/AN/A294847,7496,707
2011-03-31$33.61$33.0014.5%4.2%18.7%9.8%15.7%6.0%3.9%871.2K-9.1M-66.1K0.3215.61N/AN/A121397,8216,709