EWC Options History — September 2011

In September 2011, EWC traded between $25.43 and $29.85. ATM implied volatility averaged 33.6%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 3.0% (HV 20d: 30.6%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 6.65.

Notable Days

  • 2011-09-09: Highest Volume — 4,719 contracts
  • 2011-09-14: Largest IV drop — 31.1% change
  • 2011-09-30: Highest IV Rank — 64.0%
  • 2011-09-30: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.70$25.43$29.85$29.85$25.49
Max Pain$29.19$29.00$31.00$31.00$29.00
ATM IV33.6%25.4%42.2%26.8%42.2%
Expected Move9.6%7.7%12.1%7.7%12.1%
HV 20d30.6%23.9%40.6%40.5%33.1%
HV 60d31.4%30.0%33.7%30.0%33.7%
IV Rank45.2%27.5%64.0%30.6%64.0%
IV Percentile94.5%88.1%98.8%92.5%98.8%
Term Structure-0.0%-3.9%3.5%1.0%-0.7%
VWIV33.1%21.5%42.8%24.0%41.9%
Skew 25d10.9%6.5%13.4%8.8%12.1%
Skew 10d26.0%11.6%34.2%20.2%29.4%
Call IV 25d28.7%23.1%36.2%23.4%36.2%
Put IV 25d39.7%31.8%48.3%32.3%48.3%
Bid-Ask Spread %29.7316.7067.1317.0523.11
Gamma HHI0.300.150.380.150.34
Net GEX-782.5K-1.5M-318.8K-334.9K-1.5M
Net DEX18.3M5.1M35.3M5.1M35.3M
Net VEX-74.2K-118.4K-36.6K-42.2K-118.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.650.1426.730.145.52
Total Volume1,663.4291004,719117202
Total OI22,081.8114,35733,97214,35733,972

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$29.85$31.0026.8%7.7%40.5%30.6%24.0%8.8%1.0%-334.9K5.1M-42.2K0.1417.05N/AN/A103147,0547,303
2011-09-02$29.32$31.0030.8%8.8%40.6%39.2%27.7%6.5%0.4%-318.8K7.0M-39.6K0.6417.76N/AN/A61397,0907,304
2011-09-06$28.97$29.0035.3%9.7%34.9%49.0%39.0%11.6%-2.0%-326.6K8.5M-36.6K5.4367.13N/AN/A703807,1407,328
2011-09-07$29.54$29.0028.3%8.3%30.1%33.7%29.1%11.6%-0.1%-412.9K7.0M-37.8K2.2035.05N/AN/A821807,1697,676
2011-09-08$29.34$29.0031.7%9.0%29.5%41.2%33.3%11.2%-1.3%-406.9K7.3M-37.7K8.2143.60N/AN/A1951,6007,1957,704
2011-09-09$28.44$29.0039.8%10.9%28.3%58.7%35.5%12.3%-3.9%-403.9K11.2M-41.4K4.8050.52N/AN/A8143,9057,3418,855
2011-09-12$27.99$29.0038.1%10.6%28.8%55.0%38.2%13.4%-3.8%-586.7K16.8M-58.2K11.7230.57N/AN/A1762,0627,96412,756
2011-09-13$28.26$29.0036.9%10.2%27.6%52.3%30.2%13.3%-2.3%-722.3K17.8M-69.0K1.3830.27N/AN/A771067,94414,790
2011-09-14$28.32$29.0025.4%9.3%27.3%27.5%30.7%10.6%0.6%-773.0K17.7M-66.4K8.5227.70N/AN/A1841,5677,94014,798
2011-09-15$28.89$29.0027.3%7.8%28.2%31.6%21.5%9.6%3.4%-829.7K16.4M-72.1K2.5828.73N/AN/A571478,00715,979
2011-09-16$28.68$29.0026.7%7.7%23.9%30.4%27.0%8.2%3.5%-800.6K17.1M-70.5K17.7128.01N/AN/A1793,1708,05215,972
2011-09-19$28.10$29.0030.4%8.7%24.4%38.3%27.3%10.6%1.2%-698.6K13.0M-83.1K0.3218.46N/AN/A204664,37314,450
2011-09-20$28.08$29.0028.3%8.1%24.4%33.7%25.9%9.0%1.6%-714.8K13.0M-82.9K1.1723.08N/AN/A9761,1464,55014,514
2011-09-21$27.08$29.0032.1%9.2%25.8%42.2%29.7%9.7%1.4%-755.7K17.3M-86.6K26.7326.38N/AN/A1133,0205,05615,658
2011-09-22$25.64$29.0039.0%11.2%31.4%56.9%40.1%11.8%-0.9%-806.1K26.0M-88.8K5.9160.12N/AN/A3852,2755,13218,122
2011-09-23$25.43$29.0039.6%11.4%31.4%58.4%40.6%10.9%0.4%-925.9K29.2M-94.4K2.6518.96N/AN/A1,2653,3515,15820,291
2011-09-26$26.03$29.0037.0%10.6%32.9%52.6%39.6%11.8%0.6%-1.2M29.5M-105.6K2.4518.80N/AN/A1423485,15123,639
2011-09-27$26.52$29.0033.3%9.5%32.7%44.6%31.3%12.0%-0.3%-1.3M26.4M-110.8K1.6516.70N/AN/A1362245,25523,967
2011-09-28$25.76$29.0038.9%11.2%33.3%56.8%42.8%13.0%0.2%-1.2M30.7M-104.9K20.8720.74N/AN/A1453,0265,30724,084
2011-09-29$25.92$29.0036.9%10.6%33.0%52.4%39.4%11.9%0.6%-1.4M32.6M-110.3K9.0421.62N/AN/A2732,4675,44326,235
2011-09-30$25.49$29.0042.2%12.1%33.1%64.0%41.9%12.1%-0.7%-1.5M35.3M-118.4K5.5223.11N/AN/A311715,65428,318