EWC Options History — August 2011

In August 2011, EWC traded between $26.88 and $31.00. ATM implied volatility averaged 33.9%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 3.5% (HV 20d: 37.4%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 2.24.

Notable Days

  • 2011-08-29: Highest Volume — 1,657 contracts
  • 2011-08-08: Largest IV spike — 50.4% change
  • 2011-08-04: Highest IV Rank — 100.0%
  • 2011-08-08: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.95$26.88$31.00$31.00$29.89
Max Pain$31.13$31.00$32.00$31.00$31.00
ATM IV33.9%23.0%58.9%23.0%26.4%
Expected Move9.3%6.6%13.0%6.6%7.6%
HV 20d37.4%17.9%44.8%17.9%44.4%
HV 60d27.0%19.0%30.2%19.0%30.1%
IV Rank55.5%29.8%100.0%58.4%29.8%
IV Percentile96.0%84.1%100.0%84.1%92.5%
Term Structure-2.5%-9.4%1.6%-0.6%0.7%
VWIV30.8%17.0%41.1%23.6%26.3%
Skew 25d10.5%3.9%15.6%4.4%10.1%
Skew 10d22.8%-1.6%43.0%3.1%21.9%
Call IV 25d28.2%20.7%38.1%22.5%21.9%
Put IV 25d38.7%25.6%48.8%26.9%32.0%
Bid-Ask Spread %26.5212.6654.7522.8720.34
Gamma HHI0.230.140.340.270.16
Net GEX-243.8K-378.2K75.1K-199.3K-352.4K
Net DEX9.5M4.1M13.3M4.1M5.9M
Net VEX-39.1K-49.7K-31.3K-49.7K-40.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.0715.250.090.57
Total Volume527.2171191,657241378
Total OI13,822.95712,24515,72212,24514,026

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$31.00$31.0023.0%6.6%17.9%58.4%23.6%4.4%-0.6%-199.3K4.1M-49.7K0.0922.87N/AN/A221206,1066,139
2011-08-02$30.24$31.0024.8%7.1%19.6%68.6%25.2%3.9%-0.9%-281.1K6.3M-46.4K0.6414.60N/AN/A2191416,2496,157
2011-08-03$30.39$31.0023.8%6.8%19.8%63.1%21.3%4.9%-0.6%-357.2K7.1M-44.8K0.9512.66N/AN/A1141086,3056,264
2011-08-04$28.93$31.0031.4%9.0%25.6%100.0%31.6%4.4%-3.2%-280.7K10.7M-37.8K0.6818.40N/AN/A1731186,3316,356
2011-08-05$28.43$32.0039.1%9.8%26.0%100.0%32.8%9.6%-6.7%-242.0K11.4M-35.0K1.3032.57N/AN/A1842396,3676,439
2011-08-08$26.88$32.0058.9%13.0%31.1%100.0%38.1%10.8%-9.4%-132.7K12.0M-31.4K1.1054.75N/AN/A2202426,4676,563
2011-08-09$28.38$32.0045.5%10.7%38.0%71.1%34.9%13.6%-6.0%-231.6K11.6M-34.6K1.7333.12N/AN/A4517796,5796,639
2011-08-10$27.93$31.0049.7%11.2%37.5%80.2%39.5%15.6%-5.9%-221.1K11.6M-36.2K0.3440.71N/AN/A3531196,9076,997
2011-08-11$29.07$31.0035.2%10.1%41.0%48.8%30.2%14.7%-4.2%-234.5K9.3M-43.9K0.0730.39N/AN/A885617,0867,070
2011-08-12$29.02$31.0033.3%9.6%40.6%44.7%30.6%11.8%-3.4%-176.6K8.7M-44.4K0.4934.33N/AN/A80397,6267,121
2011-08-15$29.69$31.0029.3%8.4%41.6%36.0%31.5%11.5%-1.5%-282.3K7.4M-44.1K0.3834.07N/AN/A237897,6737,149
2011-08-16$29.26$31.0031.4%9.0%41.2%40.6%34.0%11.8%-2.7%-217.6K8.7M-41.4K3.9633.53N/AN/A1335277,8617,221
2011-08-17$29.44$31.0030.4%8.7%41.3%38.4%29.8%9.9%-1.5%-273.7K8.3M-43.8K0.3826.94N/AN/A88337,8617,730
2011-08-18$28.23$31.0036.8%10.6%42.9%52.3%34.9%11.8%-4.7%-149.9K12.0M-36.7K0.7130.50N/AN/A1541107,8717,674
2011-08-19$27.80$31.0037.7%10.8%42.9%54.3%41.1%13.6%-4.6%75.1K13.2M-34.7K0.3026.71N/AN/A3361017,9787,744
2011-08-22$27.90$31.0037.3%10.7%43.0%53.3%38.3%13.0%-2.2%-263.4K13.3M-31.3K0.9218.38N/AN/A2732516,1617,314
2011-08-23$28.62$31.0031.8%9.1%44.6%41.4%17.0%12.3%-1.0%-335.7K11.9M-36.7K6.0820.55N/AN/A975906,3657,539
2011-08-24$28.76$31.0030.9%8.8%44.0%39.3%31.2%11.0%1.1%-307.5K10.6M-36.6K0.0723.93N/AN/A306206,4507,213
2011-08-25$28.52$31.0034.4%9.8%44.0%46.9%31.9%12.3%-1.7%-272.7K10.6M-37.1K11.2119.48N/AN/A911,0206,6137,215
2011-08-26$28.70$31.0031.0%8.9%44.0%39.7%33.8%10.4%1.6%-228.7K8.7M-34.7K0.4822.67N/AN/A157766,6396,435
2011-08-29$29.29$31.0030.3%8.7%44.8%38.2%27.9%10.8%-0.1%-263.2K7.3M-36.3K15.2520.52N/AN/A1021,5556,7076,485
2011-08-30$29.55$31.0027.0%7.8%44.2%31.1%22.9%9.0%0.2%-378.2K7.5M-41.6K3.9317.87N/AN/A1295076,7407,496
2011-08-31$29.89$31.0026.4%7.6%44.4%29.8%26.3%10.1%0.7%-352.4K5.9M-40.6K0.5720.34N/AN/A2401386,8307,196