EWC Options History — February 2012

In February 2012, EWC traded between $28.00 and $29.10. ATM implied volatility averaged 18.2%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.7% (HV 20d: 13.5%). Max pain ranged from $27.00 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 0.68.

Notable Days

  • 2012-02-13: Highest Volume — 4,179 contracts
  • 2012-02-09: Largest IV spike — 27.9% change
  • 2012-02-15: Highest IV Rank — 21.4%
  • 2012-02-15: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.56$28.00$29.10$28.36$29.02
Max Pain$27.45$27.00$28.00$28.00$28.00
ATM IV18.2%14.5%22.6%19.0%17.0%
Expected Move5.4%4.2%6.5%5.4%4.9%
HV 20d13.5%11.5%14.8%14.4%11.6%
HV 60d22.6%17.9%25.2%25.2%17.9%
IV Rank11.9%4.1%21.4%13.7%9.3%
IV Percentile24.8%4.8%53.6%29.8%15.9%
Term Structure2.3%0.3%3.8%2.8%1.6%
VWIV18.2%14.5%22.7%19.2%17.1%
Skew 25d7.2%1.7%10.2%1.7%8.7%
Skew 10d13.4%1.0%21.4%2.3%13.7%
Call IV 25d14.4%10.2%17.6%15.2%12.0%
Put IV 25d21.6%15.8%26.8%16.8%20.7%
Bid-Ask Spread %24.3012.4836.0920.5924.26
Gamma HHI0.270.230.340.230.33
Net GEX795.0K546.8K1.1M546.8K1.0M
Net DEX-6.3M-8.4M-4.1M-5.4M-8.2M
Net VEX-43.5K-53.8K-33.1K-36.5K-48.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.002.460.052.46
Total Volume447.45344,179583757
Total OI16,890.5514,13219,49514,13218,456

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$28.36$28.0019.0%5.4%14.4%13.7%19.2%1.7%2.8%546.8K-5.4M-36.5K0.0520.59N/AN/A557267,4126,720
2012-02-02$28.46$28.0017.4%5.0%14.3%10.3%17.9%2.1%3.5%628.2K-5.8M-36.1K0.4315.21N/AN/A35157,8776,730
2012-02-03$28.78$27.0015.0%4.9%14.3%5.0%18.3%6.5%3.8%693.7K-6.9M-35.5K0.7918.22N/AN/A52417,9076,732
2012-02-06$28.61$27.0016.2%5.5%13.9%7.6%16.0%5.6%1.8%644.0K-6.4M-35.3K0.8516.90N/AN/A71607,8926,756
2012-02-07$28.50$27.0019.2%6.2%14.1%14.1%16.1%7.5%1.4%639.4K-5.8M-34.4K0.0017.82N/AN/A21717,8776,796
2012-02-08$28.51$27.0016.2%5.3%13.6%7.7%21.1%6.9%2.7%685.9K-6.1M-34.4K0.5225.63N/AN/A154808,0526,797
2012-02-09$28.44$27.0020.8%6.0%13.4%17.5%19.6%4.9%1.8%693.9K-5.9M-34.3K0.2136.09N/AN/A62138,1396,870
2012-02-10$28.00$27.0021.7%6.2%14.8%19.6%22.7%9.6%2.4%613.5K-4.1M-34.2K1.9226.82N/AN/A1052028,1796,877
2012-02-13$28.14$27.0021.8%6.3%14.5%19.8%22.4%8.6%1.0%679.9K-4.5M-33.1K0.9821.70N/AN/A2,1062,0738,2327,003
2012-02-14$28.03$28.0020.8%6.0%14.5%17.5%20.6%8.4%2.7%776.8K-4.3M-53.1K0.4025.54N/AN/A431710,2258,996
2012-02-15$28.09$28.0022.6%6.5%13.9%21.4%21.9%8.2%0.4%777.9K-5.0M-53.8K0.5518.12N/AN/A221210,2538,997
2012-02-16$28.48$28.0021.7%6.2%14.6%19.6%17.4%10.2%1.0%830.6K-6.5M-52.5K0.5525.78N/AN/A37120410,2509,005
2012-02-17$28.38$28.0019.8%5.7%14.6%15.5%20.3%7.7%3.0%857.9K-6.1M-52.2K0.3312.48N/AN/A2097010,3089,187
2012-02-21$28.75$27.0016.2%4.7%14.0%7.7%16.6%8.5%2.4%816.5K-7.0M-51.5K0.4127.07N/AN/A2971219,5828,482
2012-02-22$28.87$28.0016.3%4.7%13.0%7.8%15.3%8.5%2.4%882.5K-7.3M-51.7K0.2726.70N/AN/A191519,5848,492
2012-02-23$29.00$28.0014.9%4.3%11.7%4.9%14.8%8.2%3.5%979.1K-7.9M-48.4K0.1729.02N/AN/A229389,6428,531
2012-02-24$28.90$27.0014.9%4.3%11.5%4.8%15.3%7.6%3.7%981.4K-7.7M-49.8K0.0735.57N/AN/A11489,7598,535
2012-02-27$28.85$27.0014.5%4.2%11.6%4.1%14.5%8.3%3.7%997.4K-7.4M-47.4K0.5326.73N/AN/A76409,7718,540
2012-02-28$29.10$27.0017.4%5.0%11.5%10.3%16.4%6.7%0.3%1.1M-8.4M-48.0K2.1735.67N/AN/A661439,8138,555
2012-02-29$29.02$28.0017.0%4.9%11.6%9.3%17.1%8.7%1.6%1.0M-8.2M-48.5K2.4624.26N/AN/A2195389,7828,674