EWC Options History — May 2011

In May 2011, EWC traded between $31.76 and $33.81. ATM implied volatility averaged 20.6%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.8% (HV 20d: 16.8%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2011-05-09: Highest Volume — 581 contracts
  • 2011-05-11: Largest IV spike — 18.3% change
  • 2011-05-06: Highest IV Rank — 32.2%
  • 2011-05-16: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.41$31.76$33.81$33.81$32.90
Max Pain$32.10$31.00$33.00$33.00$32.00
ATM IV20.6%16.8%23.7%16.8%17.4%
Expected Move5.9%4.8%6.6%4.8%5.0%
HV 20d16.8%13.3%18.6%13.3%18.6%
HV 60d16.6%15.0%17.1%15.0%16.9%
IV Rank22.6%11.0%32.2%11.0%13.0%
IV Percentile46.3%16.3%67.5%16.3%20.6%
Term Structure0.3%-0.9%2.2%2.2%0.7%
VWIV19.6%16.3%23.4%17.6%16.3%
Skew 25d5.6%3.5%8.0%4.5%4.8%
Skew 10d9.1%1.4%19.2%7.1%8.4%
Call IV 25d18.0%15.5%20.2%15.5%15.8%
Put IV 25d23.6%20.0%26.5%20.0%20.6%
Bid-Ask Spread %26.4812.8872.4717.2521.30
Gamma HHI0.270.220.360.360.33
Net GEX111.7K-271.6K866.4K866.4K597.9K
Net DEX-778.2K-10.3M3.3M-10.3M-4.0M
Net VEX-60.2K-67.3K-49.4K-65.5K-49.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.092.980.610.11
Total Volume306.33350581469346
Total OI16,859.71415,66718,01116,15016,385

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$33.81$33.0016.8%4.8%13.3%11.0%17.6%4.5%2.2%866.4K-10.3M-65.5K0.6117.25N/AN/A2911788,5407,610
2011-05-03$33.15$33.0019.1%5.5%15.0%18.1%17.2%5.1%0.5%575.4K-5.6M-67.3K1.1412.88N/AN/A1131298,6337,707
2011-05-04$32.76$33.0019.0%5.5%15.2%17.8%18.1%5.6%0.8%391.9K-2.9M-67.1K2.9815.75N/AN/A611828,6727,811
2011-05-05$32.04$33.0021.9%6.3%16.7%26.8%20.0%4.3%0.2%25.4K1.3M-65.1K0.7314.82N/AN/A2201608,6777,929
2011-05-06$32.28$31.0023.7%6.6%17.1%32.2%21.1%6.0%-0.1%115.4K326.9K-66.7K1.2217.16N/AN/A1161418,6978,047
2011-05-09$32.65$31.0020.5%6.2%17.3%22.3%21.9%5.6%1.8%283.8K-2.0M-65.0K2.2832.35N/AN/A1774048,7618,081
2011-05-10$32.79$32.0018.8%5.8%16.7%17.2%21.5%6.3%0.4%327.5K-2.4M-65.4K0.1534.45N/AN/A92148,8368,465
2011-05-11$32.14$32.0022.3%6.5%16.8%27.9%22.4%5.5%-0.3%-57.3K1.3M-64.4K0.2222.81N/AN/A164368,8688,466
2011-05-12$32.04$32.0022.1%6.3%16.8%27.4%20.6%6.2%-0.1%-103.5K1.8M-63.8K0.7335.67N/AN/A2491839,0118,495
2011-05-13$31.77$32.0022.4%6.4%16.9%28.2%23.4%6.1%-0.5%-254.2K3.3M-61.1K2.0925.15N/AN/A1092289,0668,484
2011-05-16$31.76$32.0023.1%6.6%17.0%30.4%19.7%8.0%-0.8%-271.6K3.3M-60.8K0.4635.37N/AN/A176819,1748,693
2011-05-17$31.91$32.0022.8%6.5%16.8%29.5%18.1%7.8%0.3%-250.4K2.8M-60.2K0.9830.25N/AN/A1791759,1478,689
2011-05-18$32.40$32.0021.3%6.1%17.3%24.9%20.2%5.3%0.9%-53.1K-198.1K-59.3K0.1825.49N/AN/A65129,1648,847
2011-05-19$32.47$32.0021.5%6.2%16.4%25.5%17.3%4.9%-0.1%6.8K-790.4K-59.8K2.9828.38N/AN/A421259,1758,826
2011-05-20$32.34$32.0020.6%5.9%16.1%22.8%18.7%5.9%1.2%-45.1K-880.3K-57.1K2.3230.20N/AN/A651519,1828,653
2011-05-23$31.76$32.0021.9%6.3%17.0%26.8%22.3%5.7%-0.9%-209.5K2.2M-55.1K0.2218.14N/AN/A347787,5628,121
2011-05-24$32.09$32.0020.8%6.0%17.5%23.4%19.7%7.7%-0.6%-72.7K384.1K-53.8K1.2824.23N/AN/A2082677,4688,199
2011-05-25$32.42$32.0021.0%6.0%18.0%24.1%19.9%5.3%-0.3%77.1K-264.3K-54.0K0.1119.75N/AN/A340397,4498,401
2011-05-26$32.55$32.0017.6%5.1%18.2%13.5%18.7%3.5%0.3%75.9K-1.4M-51.5K0.6122.29N/AN/A31197,5838,438
2011-05-27$32.58$32.0017.2%4.9%18.2%12.3%17.8%4.5%1.2%318.6K-2.3M-51.8K0.0972.47N/AN/A403377,5948,448
2011-05-31$32.90$32.0017.4%5.0%18.6%13.0%16.3%4.8%0.7%597.9K-4.0M-49.4K0.1121.30N/AN/A313337,9088,477