EWC Options History — January 2012

In January 2012, EWC traded between $26.90 and $28.35. ATM implied volatility averaged 20.2%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.0% (HV 20d: 20.3%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.67.

Notable Days

  • 2012-01-25: Highest Volume — 2,543 contracts
  • 2012-01-18: Largest IV drop — 12.7% change
  • 2012-01-17: Highest IV Rank — 22.6%
  • 2012-01-11: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.62$26.90$28.35$27.40$28.11
Max Pain$26.65$25.00$28.00$27.00$28.00
ATM IV20.2%18.0%23.1%21.4%19.9%
Expected Move6.0%5.2%6.8%6.1%5.7%
HV 20d20.3%17.1%25.5%25.4%17.3%
HV 60d28.7%25.7%31.6%31.6%25.7%
IV Rank16.4%11.6%22.6%18.8%15.7%
IV Percentile38.8%22.6%56.7%47.6%36.1%
Term Structure2.4%1.3%3.7%2.1%1.7%
VWIV20.5%16.1%24.4%20.7%20.6%
Skew 25d6.3%4.6%11.4%5.2%5.9%
Skew 10d10.6%3.3%17.3%14.8%4.7%
Call IV 25d17.6%13.5%21.1%17.2%16.7%
Put IV 25d23.9%20.6%27.3%22.4%22.5%
Bid-Ask Spread %21.6114.2445.2615.5016.98
Gamma HHI0.240.190.320.190.23
Net GEX546.6K349.6K771.2K470.4K464.4K
Net DEX-4.3M-7.1M-2.1M-3.9M-4.3M
Net VEX-38.8K-45.6K-33.2K-42.8K-36.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.670.0421.310.470.05
Total Volume410.45592,543428292
Total OI15,320.313,34416,50315,34414,059

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$27.40$27.0021.4%6.1%25.4%18.8%20.7%5.2%2.1%470.4K-3.9M-42.8K0.4715.50N/AN/A2921367,6467,698
2012-01-04$27.35$27.0022.7%6.5%25.3%21.6%23.1%6.4%3.6%487.0K-4.3M-45.6K0.3814.24N/AN/A6562517,9067,683
2012-01-05$27.18$27.0021.9%6.3%25.4%19.9%20.5%5.3%2.5%485.1K-3.5M-44.1K19.5615.14N/AN/A91767,7587,659
2012-01-06$26.90$25.0019.9%6.7%25.5%15.7%24.4%6.9%1.3%492.5K-2.1M-42.8K0.9120.74N/AN/A80737,7647,783
2012-01-09$26.98$25.0020.4%6.7%23.0%16.7%21.2%5.7%1.6%523.3K-2.2M-41.3K1.2321.99N/AN/A1091347,7697,828
2012-01-10$27.33$25.0018.8%6.7%23.0%13.2%19.7%7.4%1.3%631.7K-4.2M-40.1K0.6418.53N/AN/A2281467,8687,929
2012-01-11$27.20$26.0020.4%6.8%21.7%16.8%21.0%7.4%1.6%593.9K-3.5M-40.0K0.0430.43N/AN/A8538,0628,053
2012-01-12$27.34$26.0022.1%6.3%20.3%20.5%20.5%5.5%2.6%704.5K-4.2M-40.1K0.3745.26N/AN/A75288,1248,053
2012-01-13$27.13$26.0021.6%6.2%18.3%19.4%23.1%7.5%2.9%700.3K-2.9M-39.9K1.0332.53N/AN/A29308,1948,068
2012-01-17$27.29$26.0023.1%6.6%18.3%22.6%22.7%4.8%1.3%771.2K-4.3M-37.3K0.9828.46N/AN/A1101088,2198,081
2012-01-18$27.63$27.0020.2%5.8%18.3%16.3%22.6%11.4%2.0%669.5K-6.2M-35.7K2.2931.50N/AN/A31718,2748,166
2012-01-19$27.79$27.0018.5%5.3%17.1%12.6%18.6%6.0%3.3%702.6K-7.1M-35.0K0.8218.52N/AN/A38318,2798,166
2012-01-20$27.75$27.0019.2%5.5%17.1%14.1%19.2%4.6%2.5%647.1K-7.0M-34.3K0.4521.05N/AN/A148678,3068,197
2012-01-23$28.24$27.0018.6%5.3%17.7%12.7%19.9%5.9%3.4%349.6K-4.2M-33.2K0.4514.78N/AN/A9084136,1627,182
2012-01-24$27.86$27.0020.0%5.7%18.2%15.9%19.6%5.3%2.6%374.1K-3.7M-37.4K1.1614.26N/AN/A2232587,0137,531
2012-01-25$28.35$27.0018.0%5.2%18.9%11.6%17.0%7.2%3.7%449.5K-4.7M-37.7K21.3121.52N/AN/A1142,4297,2017,731
2012-01-26$28.19$27.0018.5%5.3%19.0%12.6%16.1%5.6%3.2%469.0K-4.7M-38.5K0.3716.42N/AN/A153567,3046,626
2012-01-27$28.26$28.0019.1%5.5%17.7%13.9%18.4%5.8%2.5%483.1K-4.7M-37.1K0.3418.15N/AN/A113387,3356,666
2012-01-30$28.07$28.0020.5%5.9%17.9%16.9%20.6%6.3%1.6%462.2K-4.1M-37.3K0.5816.20N/AN/A43257,3826,681
2012-01-31$28.11$28.0019.9%5.7%17.3%15.7%0.0%5.9%1.7%464.4K-4.3M-36.4K0.0516.98N/AN/A277157,3546,705