EWC Options History — June 2011

In June 2011, EWC traded between $30.00 and $31.97. ATM implied volatility averaged 20.6%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.8% (HV 20d: 19.7%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 4.37.

Notable Days

  • 2011-06-17: Highest Volume — 2,525 contracts
  • 2011-06-06: Largest IV spike — 19.8% change
  • 2011-06-17: Highest IV Rank — 45.1%
  • 2011-06-17: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.96$30.00$31.97$31.97$31.67
Max Pain$32.77$31.00$34.00$32.00$31.00
ATM IV20.6%13.5%24.4%20.8%13.5%
Expected Move5.9%3.9%7.0%6.0%3.9%
HV 20d19.7%17.4%21.7%20.0%21.5%
HV 60d17.4%16.6%18.7%17.7%18.7%
IV Rank28.3%1.0%45.1%23.5%1.0%
IV Percentile50.6%0.8%81.3%51.2%0.8%
Term Structure0.8%-1.1%3.1%-0.5%3.1%
VWIV22.1%15.3%45.6%21.3%15.3%
Skew 25d5.9%3.2%8.1%6.0%3.2%
Skew 10d11.3%1.7%19.4%10.4%1.7%
Call IV 25d17.8%12.5%21.7%18.9%12.5%
Put IV 25d23.7%15.7%27.6%24.9%15.7%
Bid-Ask Spread %21.8410.2944.6519.5414.42
Gamma HHI0.330.190.850.230.19
Net GEX-806.0K-2.9M3.0K-197.4K3.0K
Net DEX6.6M1.3M13.9M1.4M1.3M
Net VEX-44.8K-54.6K-35.8K-50.9K-54.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.370.0155.361.010.49
Total Volume574.955762,525169251
Total OI14,577.4558,81418,12116,58012,206

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$31.97$32.0020.8%6.0%20.0%23.5%21.3%6.0%-0.5%-197.4K1.4M-50.9K1.0119.54N/AN/A84858,0778,503
2011-06-02$31.94$32.0021.0%6.0%19.6%24.0%20.5%7.1%-1.1%-301.4K1.9M-48.6K1.1924.04N/AN/A59708,1088,576
2011-06-03$31.85$33.0018.7%5.9%18.0%16.8%21.5%5.7%0.8%-422.5K2.4M-47.8K0.7230.69N/AN/A102738,1428,644
2011-06-06$31.32$34.0022.4%6.4%18.7%28.2%20.1%4.8%-0.1%-783.7K5.0M-45.6K55.3616.17N/AN/A281,5508,1408,715
2011-06-07$31.36$34.0021.2%6.0%18.1%32.0%19.3%5.5%0.3%-953.2K6.0M-48.4K0.5116.73N/AN/A2311188,1329,600
2011-06-08$31.08$34.0021.9%6.3%18.1%34.9%20.5%5.7%0.3%-1.1M8.2M-48.4K0.3824.81N/AN/A79308,2499,681
2011-06-09$31.39$34.0021.1%6.0%17.4%31.6%20.4%5.5%0.6%-961.5K5.9M-47.2K2.2122.41N/AN/A471048,2769,707
2011-06-10$30.84$34.0021.8%6.3%18.3%34.6%24.0%5.6%0.2%-1.4M9.5M-46.6K1.9020.00N/AN/A49938,3079,709
2011-06-13$30.71$34.0020.9%6.0%18.2%30.9%20.8%6.2%1.6%-1.6M11.1M-42.5K2.2421.45N/AN/A42948,2989,783
2011-06-14$31.27$34.0020.4%5.9%19.5%29.0%20.3%6.7%0.5%-1.2M6.4M-40.9K0.0922.86N/AN/A172168,2969,748
2011-06-15$30.63$34.0022.0%6.3%20.6%35.5%23.4%5.5%0.4%-1.8M11.1M-40.8K5.3321.01N/AN/A12648,3739,748
2011-06-16$30.30$34.0024.3%7.0%19.8%44.7%34.5%8.0%0.3%-2.3M13.9M-36.9K0.3530.34N/AN/A3041078,2359,745
2011-06-17$30.24$32.0024.4%7.0%19.7%45.1%24.3%6.0%-0.8%-2.9M12.0M-35.8K5.8126.64N/AN/A3712,1548,4079,714
2011-06-20$30.33$32.0022.7%6.5%19.8%38.0%22.6%7.4%0.6%-246.7K6.8M-37.4K1.4524.43N/AN/A1482153,8244,990
2011-06-21$31.05$31.0019.5%5.6%21.1%25.2%45.6%6.3%1.3%-255.7K5.3M-41.3K0.3014.72N/AN/A1,2903873,9595,167
2011-06-22$30.78$34.0018.5%5.3%20.8%21.3%18.3%5.4%0.3%-241.8K5.3M-43.4K1.0212.41N/AN/A2262313,8535,404
2011-06-23$30.43$33.0021.4%6.1%20.5%33.1%19.7%7.8%1.5%-279.4K6.7M-42.4K0.0618.04N/AN/A310204,0475,534
2011-06-24$30.00$32.0021.2%6.1%20.7%32.3%19.2%3.8%0.7%-267.8K7.0M-42.7K0.0112.32N/AN/A48974,2105,552
2011-06-27$30.15$31.0020.0%5.7%20.9%27.1%20.2%5.0%2.3%-218.5K7.1M-40.9K15.5732.62N/AN/A1001,5574,6355,549
2011-06-28$30.67$31.0018.3%5.3%21.7%20.6%18.0%8.1%2.2%-269.6K6.7M-50.0K0.0410.29N/AN/A502204,7276,485
2011-06-29$31.25$31.0016.4%4.7%20.9%12.9%15.8%4.3%2.2%-75.1K3.6M-52.4K0.1344.65N/AN/A673855,1576,492
2011-06-30$31.67$31.0013.5%3.9%21.5%1.0%15.3%3.2%3.1%3.0K1.3M-54.6K0.4914.42N/AN/A168835,7096,497