EWC Options History — November 2011

In November 2011, EWC traded between $24.96 and $28.41. ATM implied volatility averaged 33.2%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 0.7% (HV 20d: 33.9%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.95.

Notable Days

  • 2011-11-08: Highest Volume — 6,938 contracts
  • 2011-11-09: Largest IV spike — 20.1% change
  • 2011-11-01: Highest IV Rank — 56.0%
  • 2011-11-01: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.03$24.96$28.41$27.32$27.46
Max Pain$27.86$27.00$28.00$27.00$28.00
ATM IV33.2%28.3%38.6%38.6%28.3%
Expected Move9.5%8.1%11.1%11.1%8.1%
HV 20d33.9%28.7%38.9%38.9%34.8%
HV 60d34.9%33.9%37.0%37.0%36.7%
IV Rank44.4%33.8%56.0%56.0%33.8%
IV Percentile87.4%73.4%95.6%95.6%73.4%
Term Structure-0.8%-3.6%1.2%-3.4%0.7%
VWIV32.1%26.0%40.5%40.5%26.3%
Skew 25d10.5%6.8%15.3%11.0%8.1%
Skew 10d21.6%9.8%28.6%27.9%14.7%
Call IV 25d28.0%21.3%31.8%31.3%23.7%
Put IV 25d38.5%31.8%42.3%42.3%31.8%
Bid-Ask Spread %21.6114.2532.8421.5114.25
Gamma HHI0.180.140.250.240.14
Net GEX-635.3K-1.4M-269.4K-1.3M-269.4K
Net DEX7.1M837.9K17.0M17.0M1.4M
Net VEX-70.3K-93.7K-54.3K-93.7K-61.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.0010.334.171.05
Total Volume751.571266,938548618
Total OI28,524.90524,02832,96632,95125,315

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$27.32$27.0038.6%11.1%38.9%56.0%40.5%11.0%-3.4%-1.3M17.0M-93.7K4.1721.51N/AN/A1064428,53324,418
2011-11-02$27.68$27.0032.4%9.3%36.5%42.7%31.9%9.8%0.3%-628.1K6.2M-65.9K0.9520.69N/AN/A1651568,59917,043
2011-11-03$28.39$27.0031.6%9.1%36.1%41.0%27.7%15.3%0.2%-773.7K7.6M-78.3K0.0123.97N/AN/A2,236178,70420,877
2011-11-04$28.05$28.0030.8%9.0%35.8%39.3%32.7%10.3%-1.2%-388.0K3.3M-67.1K2.7025.90N/AN/A10528410,40917,157
2011-11-07$28.24$28.0031.6%9.2%33.3%40.9%28.6%11.9%-1.3%-422.8K2.8M-60.1K1.6930.22N/AN/A54918,51417,402
2011-11-08$28.41$28.0028.9%8.7%33.1%35.1%26.0%10.6%-0.3%-270.5K837.9K-54.3K2.8526.97N/AN/A1,8035,1358,54217,271
2011-11-09$27.29$28.0034.7%9.8%35.7%47.7%36.3%11.0%-3.6%-794.8K6.5M-86.1K8.0022.87N/AN/A1814410,23021,998
2011-11-10$27.31$28.0033.9%9.7%35.3%45.9%34.6%10.3%-2.5%-796.9K6.4M-84.8K3.9223.94N/AN/A7127810,21722,103
2011-11-11$27.88$28.0031.3%9.0%35.0%40.4%36.6%11.2%-1.4%-511.8K2.5M-78.8K2.3015.07N/AN/A7116310,25322,252
2011-11-14$27.58$28.0031.4%9.0%33.8%40.5%30.3%11.2%-0.6%-655.6K4.4M-78.7K0.0017.63N/AN/A80010,31822,118
2011-11-15$27.42$28.0034.2%9.8%33.5%46.5%30.2%11.4%-1.6%-630.0K5.0M-76.2K0.3022.06N/AN/A20610,36922,118
2011-11-16$27.28$28.0033.9%9.7%32.5%45.9%28.1%10.6%-0.4%-670.8K5.1M-73.2K0.0217.49N/AN/A314710,37522,118
2011-11-17$26.56$28.0034.5%9.9%34.0%47.4%37.0%10.8%-0.7%-1.4M10.0M-72.9K1.0021.70N/AN/A20520410,66322,125
2011-11-18$26.60$28.0032.2%9.2%33.3%42.3%35.3%9.1%1.2%-988.1K8.3M-71.5K10.3328.11N/AN/A5758910,82022,146
2011-11-21$25.99$28.0034.8%10.0%33.0%47.8%30.1%10.1%0.5%-444.4K9.3M-65.3K0.2521.65N/AN/A338859,70614,322
2011-11-22$26.01$28.0034.1%9.8%32.6%46.3%31.5%9.6%-0.5%-453.2K9.3M-66.1K0.0917.52N/AN/A113109,76514,374
2011-11-23$25.26$28.0036.7%10.5%32.9%52.0%33.1%6.8%0.2%-495.1K11.6M-62.4K0.3018.02N/AN/A116359,82614,374
2011-11-25$24.96$28.0036.2%10.4%28.7%51.0%33.2%8.0%-1.6%-515.1K12.8M-58.8K0.4632.84N/AN/A125589,82314,347
2011-11-28$25.74$28.0033.6%9.6%31.6%45.4%33.6%10.2%-0.8%-500.1K10.0M-59.1K0.3614.46N/AN/A9753499,91214,355
2011-11-29$26.14$28.0032.9%9.4%31.5%43.8%30.0%13.4%0.4%-430.3K7.8M-62.5K0.1816.95N/AN/A1192110,70814,504
2011-11-30$27.46$28.0028.3%8.1%34.8%33.8%26.3%8.1%0.7%-269.4K1.4M-61.3K1.0514.25N/AN/A30131710,82314,492