EWC Options History — April 2011

In April 2011, EWC traded between $32.76 and $34.29. ATM implied volatility averaged 16.3%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.6% (HV 20d: 15.6%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2011-04-12: Highest Volume — 947 contracts
  • 2011-04-12: Largest IV spike — 31.3% change
  • 2011-04-12: Highest IV Rank — 27.2%
  • 2011-04-13: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.64$32.76$34.29$33.93$33.70
Max Pain$32.50$32.00$33.00$33.00$33.00
ATM IV16.3%13.4%20.5%14.4%15.0%
Expected Move4.9%4.1%5.8%4.1%4.3%
HV 20d15.6%13.3%19.0%19.0%13.7%
HV 60d15.4%14.9%15.9%15.1%15.1%
IV Rank11.6%3.2%27.2%9.5%5.5%
IV Percentile12.9%1.2%42.1%1.2%4.8%
Term Structure1.8%0.2%4.0%3.2%2.9%
VWIV17.1%14.6%20.6%14.8%15.5%
Skew 25d5.0%3.8%7.5%4.0%5.5%
Skew 10d9.3%3.3%15.8%10.9%7.6%
Call IV 25d14.9%11.1%17.6%11.5%13.7%
Put IV 25d20.0%15.5%23.0%15.5%19.2%
Bid-Ask Spread %19.6911.7029.9813.7322.16
Gamma HHI0.370.250.520.430.35
Net GEX897.1K403.9K1.6M1.0M860.0K
Net DEX-9.7M-16.2M-4.0M-11.2M-9.8M
Net VEX-68.2K-72.5K-62.0K-64.1K-69.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.014.570.261.04
Total Volume410.6114947219237
Total OI15,763.7514,59717,82514,59715,962

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$33.93$33.0014.4%4.1%19.0%9.5%14.8%4.0%3.2%1.0M-11.2M-64.1K0.2613.73N/AN/A174457,8896,708
2011-04-04$34.00$32.0014.7%5.1%18.3%10.3%16.3%4.4%1.9%1.1M-11.7M-62.7K0.0924.69N/AN/A236227,9786,746
2011-04-05$34.20$32.0015.7%5.2%18.3%13.2%16.5%5.1%1.7%1.1M-13.3M-62.0K0.0829.41N/AN/A620508,1266,761
2011-04-06$34.21$32.0013.4%5.1%18.2%6.6%17.1%4.2%1.3%1.4M-14.0M-63.2K0.2416.60N/AN/A6671578,4556,771
2011-04-07$33.97$32.0014.5%5.0%15.3%9.8%17.6%4.4%2.4%1.3M-13.5M-67.1K0.0129.98N/AN/A59788,9096,796
2011-04-08$34.29$32.0013.8%5.2%15.4%7.7%18.0%4.4%0.9%1.6M-16.2M-66.2K0.0118.25N/AN/A47959,3576,804
2011-04-11$33.76$32.0015.6%5.2%16.5%13.0%17.6%4.1%1.5%1.5M-12.0M-68.4K0.6522.69N/AN/A117769,3796,806
2011-04-12$33.12$32.0020.5%5.7%16.9%27.2%20.1%5.4%1.2%677.6K-6.9M-67.7K4.5723.63N/AN/A1707779,3966,837
2011-04-13$33.17$32.0019.0%5.8%16.4%17.8%19.3%5.5%0.2%754.5K-6.9M-70.6K4.5025.61N/AN/A1637339,4567,546
2011-04-14$33.19$32.0019.5%5.6%14.8%19.4%17.9%4.6%0.6%620.7K-6.8M-72.5K0.2422.77N/AN/A114279,5868,139
2011-04-15$33.11$32.0018.6%5.3%14.8%16.6%17.4%4.7%1.0%650.7K-7.0M-71.8K0.7524.93N/AN/A2331749,6828,143
2011-04-18$32.76$33.0019.2%5.5%13.3%18.3%20.6%6.5%0.7%403.9K-4.0M-70.9K2.4016.88N/AN/A2095017,9776,719
2011-04-19$33.11$33.0018.2%5.2%13.8%15.3%17.0%5.7%1.4%484.1K-5.8M-71.9K0.1118.44N/AN/A193227,9757,040
2011-04-20$33.58$33.0015.7%4.5%14.7%7.4%16.0%3.8%2.5%673.8K-8.6M-71.1K0.9517.34N/AN/A1851768,0747,056
2011-04-21$33.84$33.0014.3%4.1%14.9%3.2%14.6%3.8%4.0%758.8K-9.7M-68.7K0.9812.32N/AN/A2052008,1707,110
2011-04-25$33.62$33.0015.7%4.5%15.0%7.6%16.7%4.5%2.1%706.4K-8.8M-69.6K0.8013.20N/AN/A107868,2897,270
2011-04-26$33.72$33.0015.9%4.6%14.7%8.2%16.6%5.2%1.6%780.7K-9.2M-68.4K0.2411.70N/AN/A92228,3537,348
2011-04-27$33.73$33.0015.9%4.6%14.6%8.3%16.8%7.5%2.3%813.4K-8.9M-69.6K0.6515.30N/AN/A75498,4177,366
2011-04-28$33.71$33.0015.4%4.4%13.7%6.6%15.9%7.3%2.8%790.2K-9.2M-67.7K1.0314.14N/AN/A1031068,4667,413
2011-04-29$33.70$33.0015.0%4.3%13.7%5.5%15.5%5.5%2.9%860.0K-9.8M-69.2K1.0422.16N/AN/A1161218,4737,489