EWC Options History — October 2011

In October 2011, EWC traded between $24.36 and $28.99. ATM implied volatility averaged 31.4%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 8.2% (HV 20d: 39.6%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 16.99.

Notable Days

  • 2011-10-10: Highest Volume — 17,184 contracts
  • 2011-10-31: Largest IV spike — 32.8% change
  • 2011-10-03: Highest IV Rank — 70.7%
  • 2011-10-03: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.91$24.36$28.99$24.56$28.24
Max Pain$27.38$27.00$29.00$29.00$27.00
ATM IV31.4%23.3%45.3%45.3%30.9%
Expected Move9.2%6.7%13.0%13.0%8.9%
HV 20d39.6%34.5%44.1%34.5%36.5%
HV 60d37.2%34.2%39.2%34.4%38.1%
IV Rank40.5%22.9%70.7%70.7%39.5%
IV Percentile86.7%70.6%98.8%98.8%84.9%
Term Structure0.6%-2.5%2.7%-2.5%1.0%
VWIV33.9%24.3%45.0%45.0%31.2%
Skew 25d10.3%7.6%12.6%11.1%9.8%
Skew 10d23.7%16.6%33.3%16.6%20.4%
Call IV 25d27.6%21.2%41.2%41.2%26.3%
Put IV 25d37.9%28.9%52.3%52.3%36.0%
Bid-Ask Spread %22.2914.7630.9724.2526.46
Gamma HHI0.300.200.400.360.21
Net GEX-1.9M-2.7M-748.9K-1.4M-979.5K
Net DEX27.0M4.3M43.5M40.5M9.5M
Net VEX-111.4K-140.8K-81.8K-105.0K-90.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.990.1379.329.0769.29
Total Volume2,639.85719817,1841,7127,591
Total OI38,902.23832,70447,25934,15232,960

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$24.56$29.0045.3%13.0%34.5%70.7%45.0%11.1%-2.5%-1.4M40.5M-105.0K9.0724.25N/AN/A1701,5425,66628,486
2011-10-04$24.36$29.0042.8%12.3%34.5%65.1%38.1%10.1%0.1%-1.5M43.5M-98.3K2.7424.06N/AN/A3048335,78928,825
2011-10-05$25.42$29.0037.8%10.8%37.8%54.4%34.3%9.4%0.9%-1.7M37.2M-109.3K2.7419.97N/AN/A6281,7235,88529,000
2011-10-06$26.19$29.0032.5%9.3%40.1%42.9%32.3%12.0%2.7%-1.6M30.9M-112.3K3.3115.67N/AN/A2237396,49028,278
2011-10-07$25.75$27.0031.7%9.9%39.2%41.1%32.5%12.3%1.4%-1.7M32.9M-108.0K32.3428.23N/AN/A642,0706,60228,266
2011-10-10$26.78$27.0026.0%9.4%42.0%28.8%37.2%12.4%-0.9%-1.7M26.3M-107.2K36.6829.20N/AN/A45616,7286,65229,155
2011-10-11$26.59$27.0027.2%9.2%41.7%31.3%38.4%12.6%0.6%-2.6M37.0M-140.8K1.6722.06N/AN/A951596,95040,309
2011-10-12$27.20$27.0028.3%9.0%42.7%33.8%30.3%11.6%0.9%-2.3M29.7M-136.0K2.5930.97N/AN/A2215736,91137,901
2011-10-13$26.83$27.0030.5%8.7%42.1%38.6%40.1%10.6%0.4%-2.6M34.9M-136.1K0.8724.09N/AN/A1201047,02938,407
2011-10-14$27.51$27.0027.9%8.0%43.3%32.9%28.9%8.3%0.4%-2.6M26.7M-127.5K4.4329.24N/AN/A1054657,13038,408
2011-10-17$26.81$27.0031.3%9.0%43.6%40.2%36.8%10.6%1.1%-2.7M34.3M-128.9K79.3220.99N/AN/A282,2217,13338,698
2011-10-18$27.25$27.0031.1%8.9%44.1%39.8%33.7%10.0%0.6%-2.5M29.9M-128.3K31.9224.86N/AN/A481,5327,13339,566
2011-10-19$26.67$27.0033.4%9.6%42.9%44.8%36.1%11.9%-0.6%-2.4M32.6M-117.9K9.4217.29N/AN/A2061,9407,11536,409
2011-10-20$26.74$27.0034.0%9.8%37.8%46.2%36.2%10.2%0.2%-2.1M30.9M-115.2K60.5728.37N/AN/A694,1797,23836,348
2011-10-21$27.23$27.0032.6%9.4%38.0%43.2%29.7%10.8%0.6%-2.1M26.5M-115.5K5.1917.03N/AN/A2291,1897,28137,122
2011-10-24$27.84$27.0027.6%7.9%38.0%32.3%27.4%10.1%1.3%-1.8M17.7M-101.7K0.6517.22N/AN/A2121375,70928,598
2011-10-25$27.35$27.0032.0%9.2%38.2%41.9%31.7%9.0%0.9%-1.7M19.6M-99.9K0.1318.37N/AN/A360455,89427,516
2011-10-26$27.86$27.0028.7%8.2%36.9%34.7%33.5%8.6%-0.4%-1.7M16.2M-97.3K1.0419.38N/AN/A971016,12327,526
2011-10-27$28.95$27.0024.4%7.0%38.8%25.5%33.4%7.6%1.0%-1.2M6.8M-81.8K2.1414.76N/AN/A2,3825,1096,20327,532
2011-10-28$28.99$27.0023.3%6.7%38.0%22.9%24.3%8.1%2.5%-748.9K4.3M-81.9K0.5815.59N/AN/A2781628,40824,296
2011-10-31$28.24$27.0030.9%8.9%36.5%39.5%31.2%9.8%1.0%-979.5K9.5M-90.5K69.2926.46N/AN/A1087,4838,53124,429