EWC Options History — July 2011

In July 2011, EWC traded between $30.94 and $32.61. ATM implied volatility averaged 17.9%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 1.4% (HV 20d: 19.3%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2011-07-08: Highest Volume — 611 contracts
  • 2011-07-11: Largest IV spike — 47.5% change
  • 2011-07-29: Highest IV Rank — 60.9%
  • 2011-07-29: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.87$30.94$32.61$31.90$30.94
Max Pain$30.80$30.00$31.00$31.00$31.00
ATM IV17.9%12.7%23.4%12.7%23.4%
Expected Move5.3%3.6%6.7%3.6%6.7%
HV 20d19.3%16.2%21.7%21.7%18.1%
HV 60d18.8%18.0%19.8%18.7%19.5%
IV Rank29.3%0.0%60.9%0.0%60.9%
IV Percentile33.4%0.0%86.5%0.0%86.5%
Term Structure1.0%-1.6%3.2%3.2%-1.6%
VWIV18.0%12.7%23.1%12.7%23.1%
Skew 25d5.7%3.9%8.3%4.4%5.6%
Skew 10d11.1%3.2%22.0%22.0%10.9%
Call IV 25d15.4%10.8%20.6%10.8%20.6%
Put IV 25d21.1%15.2%26.2%15.2%26.2%
Bid-Ask Spread %17.539.8824.7313.8917.45
Gamma HHI0.230.190.260.190.26
Net GEX32.3K-168.1K161.4K74.5K-168.1K
Net DEX52.4K-2.3M4.3M1.8K4.3M
Net VEX-51.6K-54.0K-49.3K-54.0K-50.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.071.770.520.42
Total Volume212.65761185121
Total OI12,14310,82013,31612,35412,165

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$31.90$31.0012.7%3.6%21.7%0.0%12.7%4.4%3.2%74.5K1.8K-54.0K0.5213.89N/AN/A56295,8446,510
2011-07-05$31.99$30.0014.5%4.7%20.7%9.2%16.9%5.8%1.5%52.5K-1.1M-53.0K0.8523.97N/AN/A1831555,8796,531
2011-07-06$31.84$30.0014.4%4.9%20.8%8.8%16.1%5.3%0.5%50.9K1.2K-52.6K1.0620.95N/AN/A32345,8856,478
2011-07-07$32.03$30.0013.9%4.7%20.6%6.7%15.3%6.0%1.5%45.3K-1.5M-51.5K0.1817.80N/AN/A78145,9176,502
2011-07-08$31.94$30.0013.8%4.8%20.4%6.2%16.4%3.9%1.2%52.0K-577.6K-51.3K0.0716.66N/AN/A570415,9516,503
2011-07-11$31.27$31.0020.3%5.5%20.8%43.0%19.8%4.5%1.3%161.4K2.4M-51.4K0.7020.89N/AN/A122866,2306,533
2011-07-12$31.40$31.0022.3%5.9%20.8%54.7%20.4%5.9%0.1%151.4K1.5M-51.9K0.4224.73N/AN/A3381436,2966,575
2011-07-13$31.82$31.0016.1%5.3%20.3%19.4%16.5%5.4%0.9%88.6K-1.3M-52.1K0.1316.42N/AN/A89126,5256,692
2011-07-14$31.59$31.0019.1%5.5%19.0%36.3%20.7%6.0%0.3%149.0K-368.7K-51.9K1.7714.89N/AN/A22396,5746,702
2011-07-15$31.96$31.0019.0%5.4%18.7%35.7%19.1%6.6%0.7%-133.5K-1.7M-51.3K0.2913.54N/AN/A58176,5846,732
2011-07-18$31.60$31.0019.4%5.6%19.3%38.2%19.8%5.6%1.2%-113.7K2.3M-49.3K0.9214.20N/AN/A1111024,9985,822
2011-07-19$32.10$31.0019.1%5.5%19.9%36.4%17.6%7.0%0.9%-12.1K316.0K-50.5K0.4018.38N/AN/A168685,0895,886
2011-07-20$32.24$31.0018.6%5.3%18.3%33.4%19.1%7.4%1.3%14.3K-355.3K-51.3K0.2012.83N/AN/A147305,2085,942
2011-07-21$32.59$31.0016.1%4.6%18.2%19.2%17.1%4.9%1.5%92.5K-2.3M-50.6K0.0820.63N/AN/A402315,2885,956
2011-07-22$32.61$31.0015.1%4.3%17.4%13.7%16.1%4.6%2.8%143.3K-2.1M-51.7K0.1420.59N/AN/A260375,5515,976
2011-07-25$32.57$31.0016.8%4.8%16.2%23.3%13.8%8.3%0.7%145.4K-2.1M-51.7K0.579.88N/AN/A157905,6896,013
2011-07-26$32.29$31.0018.7%5.4%16.8%34.0%18.6%5.8%1.5%82.5K-1.4M-52.6K0.2118.07N/AN/A47105,8176,059
2011-07-27$31.40$31.0021.7%6.2%19.4%51.3%20.7%5.9%0.6%-102.2K2.2M-50.7K0.5616.74N/AN/A99555,8566,069
2011-07-28$31.36$31.0022.3%6.4%18.2%54.5%20.2%4.7%-0.5%-127.0K2.8M-51.2K0.0918.12N/AN/A182175,9176,116
2011-07-29$30.94$31.0023.4%6.7%18.1%60.9%23.1%5.6%-1.6%-168.1K4.3M-50.3K0.4217.45N/AN/A85366,0556,110