EWC Options History — December 2011

In December 2011, EWC traded between $25.40 and $27.58. ATM implied volatility averaged 26.7%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 4.4% (HV 20d: 31.1%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 3.10.

Notable Days

  • 2011-12-05: Highest Volume — 2,623 contracts
  • 2011-12-08: Largest IV spike — 20.9% change
  • 2011-12-14: Highest IV Rank — 46.6%
  • 2011-12-14: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.41$25.40$27.58$27.40$26.60
Max Pain$27.10$27.00$28.00$28.00$27.00
ATM IV26.7%19.8%34.2%28.2%19.8%
Expected Move7.5%5.7%8.7%8.1%5.7%
HV 20d31.1%22.2%34.5%34.5%23.1%
HV 60d34.9%31.6%36.7%36.5%31.6%
IV Rank30.3%15.4%46.6%33.6%15.4%
IV Percentile66.3%38.9%88.9%71.8%38.9%
Term Structure2.7%-0.1%6.1%0.4%5.0%
VWIV25.6%19.7%32.6%26.0%22.6%
Skew 25d8.1%5.5%11.7%11.7%8.9%
Skew 10d18.7%9.3%26.4%22.0%18.6%
Call IV 25d22.2%15.4%27.7%19.5%15.4%
Put IV 25d30.3%23.9%36.5%31.1%24.4%
Bid-Ask Spread %27.5210.8097.6314.0711.67
Gamma HHI0.180.100.470.140.19
Net GEX-100.6K-824.9K354.4K-288.5K354.4K
Net DEX3.1M-766.6K11.8M1.6M-766.6K
Net VEX-50.5K-63.6K-42.4K-63.6K-43.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.100.0231.380.403.76
Total Volume373.619562,623202281
Total OI21,503.52413,83426,85825,77515,163

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$27.40$28.0028.2%8.1%34.5%33.6%26.0%11.7%0.4%-288.5K1.6M-63.6K0.4014.07N/AN/A1445811,05014,725
2011-12-02$27.19$28.0028.3%8.1%33.2%33.8%27.2%7.8%0.5%-310.2K2.5M-62.6K0.0231.16N/AN/A8551611,12814,765
2011-12-05$27.41$27.0028.8%8.3%33.1%34.9%25.4%9.0%3.7%-226.6K575.5K-60.1K31.3833.72N/AN/A812,54211,74514,781
2011-12-06$27.42$27.0029.3%8.2%33.0%36.1%27.3%10.3%2.0%-184.2K398.7K-61.1K1.4528.96N/AN/A9313511,78814,717
2011-12-07$27.58$27.0027.1%7.7%33.0%31.3%26.2%8.5%2.0%-197.7K-13.1K-60.9K3.0022.49N/AN/A144211,86314,765
2011-12-08$26.75$27.0032.8%8.7%31.6%43.5%32.6%8.8%3.0%-281.6K4.1M-59.0K1.4023.93N/AN/A8311611,87714,807
2011-12-09$27.11$27.0028.8%8.3%32.0%34.9%28.7%8.7%-0.1%-283.2K2.8M-57.2K5.0220.09N/AN/A6231111,86914,905
2011-12-12$26.55$27.0029.8%8.4%31.8%37.0%32.6%9.0%0.9%-267.7K5.9M-53.5K5.2130.01N/AN/A3417711,84214,976
2011-12-13$26.03$27.0031.0%8.2%32.3%39.6%31.1%10.0%3.3%-322.4K8.2M-51.0K5.6832.25N/AN/A1910811,86214,996
2011-12-14$25.43$27.0034.2%8.7%33.1%46.6%29.9%9.5%2.9%-652.5K11.8M-47.7K1.0020.85N/AN/A818111,76115,041
2011-12-15$25.44$27.0029.2%8.4%33.1%35.8%25.9%7.8%3.9%-824.9K11.7M-45.6K3.0631.86N/AN/A6519911,77815,052
2011-12-16$25.76$27.0024.8%7.1%32.4%26.2%27.8%8.7%6.1%-199.5K9.6M-43.7K1.5125.96N/AN/A11617511,76514,972
2011-12-19$25.40$27.0027.3%7.8%32.7%31.6%24.3%5.8%2.5%5.5K3.1M-42.4K0.1116.50N/AN/A394446,4417,393
2011-12-20$25.62$27.0024.1%6.9%31.9%24.8%21.3%7.0%2.4%76.1K1.9M-43.8K0.0918.68N/AN/A658576,6777,437
2011-12-21$25.86$27.0023.4%6.7%32.1%23.2%23.1%5.8%3.4%150.9K1.3M-45.1K0.2515.86N/AN/A89227,2107,477
2011-12-22$26.28$27.0024.0%6.9%30.7%24.5%23.1%8.7%2.4%242.5K423.9K-44.9K0.0210.80N/AN/A27567,2837,489
2011-12-23$26.40$27.0021.7%6.2%30.2%19.6%19.7%5.8%3.6%285.0K-363.0K-46.0K0.3839.47N/AN/A85327,4627,495
2011-12-27$26.31$27.0022.4%6.4%28.4%21.1%19.7%6.5%2.9%306.3K-268.8K-42.6K0.1497.63N/AN/A103147,4887,515
2011-12-28$25.90$27.0023.5%6.7%28.5%23.4%22.1%5.5%2.8%220.6K885.0K-42.5K1.0721.39N/AN/A28307,5767,511
2011-12-29$26.19$27.0021.3%6.1%22.2%18.7%21.2%6.1%4.2%285.2K493.8K-43.3K0.0930.60N/AN/A111107,5877,540
2011-12-30$26.60$27.0019.8%5.7%23.1%15.4%22.6%8.9%5.0%354.4K-766.6K-43.7K3.7611.67N/AN/A592227,6137,550