EWC Options History — March 2012

In March 2012, EWC traded between $27.91 and $29.32. ATM implied volatility averaged 17.1%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.1% (HV 20d: 17.0%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.17.

Notable Days

  • 2012-03-20: Highest Volume — 3,298 contracts
  • 2012-03-07: Largest IV spike — 24.3% change
  • 2012-03-07: Highest IV Rank — 25.2%
  • 2012-03-06: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.52$27.91$29.32$29.32$28.34
Max Pain$28.27$27.00$29.00$27.00$28.00
ATM IV17.1%12.9%24.3%17.5%17.0%
Expected Move4.8%3.7%6.1%5.0%4.9%
HV 20d17.0%11.7%19.6%11.7%19.0%
HV 60d16.9%15.3%19.0%17.9%15.3%
IV Rank9.6%0.5%25.2%10.5%9.4%
IV Percentile18.3%0.4%61.1%17.9%17.9%
Term Structure2.3%0.4%4.6%0.4%1.6%
VWIV16.6%12.7%20.8%16.6%17.0%
Skew 25d5.5%-0.2%11.3%11.3%4.6%
Skew 10d7.2%1.6%14.6%10.0%6.6%
Call IV 25d13.5%8.8%18.2%8.8%14.2%
Put IV 25d19.0%12.5%24.4%20.1%18.7%
Bid-Ask Spread %43.4516.3471.2525.1164.08
Gamma HHI0.280.220.400.380.24
Net GEX592.0K150.3K1.2M1.2M219.3K
Net DEX-3.3M-9.7M541.8K-9.7M241.9K
Net VEX-48.3K-55.9K-39.8K-50.8K-52.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.170.1642.114.480.16
Total Volume364.864243,29815929
Total OI17,286.31811,74819,54218,85215,833

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$29.32$27.0017.5%5.0%11.7%10.5%16.6%11.3%0.4%1.2M-9.7M-50.8K4.4825.11N/AN/A291309,9258,927
2012-03-02$29.05$27.0017.0%4.9%12.3%9.4%15.5%0.3%2.1%1.1M-8.1M-50.5K0.7616.34N/AN/A97749,9518,982
2012-03-05$28.63$29.0018.5%5.2%12.9%12.6%19.5%5.0%2.8%893.3K-5.9M-48.5K3.2758.75N/AN/A309810,0199,035
2012-03-06$27.91$29.0019.6%6.1%15.6%14.9%20.8%5.5%1.8%460.4K-2.1M-45.7K0.5434.80N/AN/A29215910,0119,105
2012-03-07$27.99$29.0024.3%5.8%15.6%25.2%19.6%7.4%2.2%528.0K-2.4M-47.2K0.5734.17N/AN/A352010,1169,251
2012-03-08$28.48$29.0022.7%5.6%16.9%21.8%17.8%5.9%2.5%806.2K-5.0M-47.9K1.0537.02N/AN/A11011510,1299,259
2012-03-09$28.59$29.0018.5%4.7%17.0%12.7%16.2%4.7%3.8%880.0K-5.8M-47.1K0.2743.23N/AN/A701910,2139,283
2012-03-12$28.34$29.0017.9%5.4%16.3%11.2%18.1%8.2%2.2%727.9K-4.2M-43.9K0.4132.42N/AN/A933810,2229,298
2012-03-13$28.79$29.0016.3%4.6%17.1%7.9%17.0%5.6%1.9%1.1M-6.4M-42.3K0.4971.25N/AN/A884310,1689,326
2012-03-14$28.32$29.0017.9%5.2%18.1%11.2%17.7%7.1%1.7%627.3K-3.6M-43.6K0.5639.53N/AN/A814510,0929,369
2012-03-15$28.53$28.0015.6%4.5%18.3%6.3%16.0%8.0%3.8%776.9K-4.2M-42.2K0.7243.42N/AN/A574110,1419,401
2012-03-16$28.72$28.0013.6%3.9%17.8%2.1%15.2%7.7%4.6%1.2M-5.1M-41.3K0.9551.98N/AN/A666310,1119,404
2012-03-19$28.76$28.0013.5%3.9%17.7%1.7%13.7%1.5%2.6%362.4K-3.4M-39.8K0.3759.84N/AN/A3091135,2706,478
2012-03-20$28.53$28.0012.9%3.7%17.3%0.5%12.7%6.8%4.1%358.6K-1.8M-42.3K3.3749.47N/AN/A7542,5445,5616,553
2012-03-21$28.55$28.0014.7%4.2%17.3%4.4%14.7%5.1%1.9%261.7K-1.3M-54.2K0.4144.05N/AN/A92386,2839,090
2012-03-22$28.11$28.0017.4%5.0%17.9%10.3%17.1%4.7%1.7%150.3K541.8K-55.9K42.1158.44N/AN/A371,5586,3429,118
2012-03-23$28.37$28.0017.9%5.1%18.3%11.4%15.8%5.3%0.5%221.6K-178.7K-54.8K4.9024.48N/AN/A211036,3699,118
2012-03-26$28.87$28.0013.6%3.9%19.4%2.0%14.0%7.1%2.3%367.8K-2.7M-54.0K0.4553.80N/AN/A160726,3699,153
2012-03-27$28.63$28.0015.5%4.4%19.4%6.1%15.8%2.8%1.7%321.1K-2.2M-54.4K1.4053.39N/AN/A10146,5059,149
2012-03-28$28.36$28.0018.0%5.2%19.6%11.6%17.4%-0.2%2.4%217.8K-352.0K-52.8K1.5032.42N/AN/A12186,5159,163
2012-03-29$28.30$28.0016.8%4.8%19.1%9.0%16.5%5.9%1.5%203.8K503.4K-51.6K0.9227.82N/AN/A1301206,5129,180
2012-03-30$28.34$28.0017.0%4.9%19.0%9.4%17.0%4.6%1.6%219.3K241.9K-52.0K0.1664.08N/AN/A2546,5389,295