EWC Options History — April 2012

In April 2012, EWC traded between $27.03 and $28.80. ATM implied volatility averaged 19.4%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 0.2% (HV 20d: 19.7%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2012-04-12: Highest Volume — 807 contracts
  • 2012-04-09: Largest IV spike — 31.3% change
  • 2012-04-13: Highest IV Rank — 23.2%
  • 2012-04-10: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.86$27.03$28.80$28.80$28.36
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV19.4%15.8%23.4%15.8%19.1%
Expected Move5.6%4.5%6.9%4.5%5.5%
HV 20d19.7%17.5%21.4%19.2%20.7%
HV 60d16.9%15.6%17.9%15.6%17.5%
IV Rank14.7%6.9%23.2%6.9%13.9%
IV Percentile31.9%11.9%58.3%11.9%29.0%
Term Structure1.1%-1.3%3.3%0.0%1.2%
VWIV18.7%14.5%23.7%15.9%18.5%
Skew 25d5.5%0.7%9.7%4.7%6.3%
Skew 10d7.0%0.3%12.8%6.8%6.4%
Call IV 25d16.0%12.2%20.4%12.2%13.4%
Put IV 25d21.5%14.8%26.1%16.9%19.8%
Bid-Ask Spread %46.4916.6369.4763.3439.74
Gamma HHI0.220.190.280.280.26
Net GEX111.1K-147.8K395.4K389.2K385.8K
Net DEX1.5M-2.2M4.8M-2.2M-1.2M
Net VEX-45.5K-53.2K-40.5K-53.2K-40.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.006.710.360.30
Total Volume202.9531807266152
Total OI16,575.2515,86017,31315,86016,405

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$28.80$28.0015.8%4.5%19.2%6.9%15.9%4.7%0.0%389.2K-2.2M-53.2K0.3663.34N/AN/A195716,5639,297
2012-04-03$28.37$28.0017.1%4.9%17.7%9.5%14.5%0.7%1.7%262.9K-493.2K-51.0K6.7169.47N/AN/A382556,7239,284
2012-04-04$27.87$28.0017.0%4.9%18.8%9.3%16.3%7.5%1.6%63.7K2.0M-48.6K1.9355.59N/AN/A881706,7339,305
2012-04-05$27.71$28.0017.0%4.9%17.7%9.4%15.4%6.5%1.8%6.4K2.6M-47.8K0.7816.63N/AN/A96756,7809,420
2012-04-09$27.46$28.0022.3%6.4%17.8%20.9%18.2%6.6%-1.3%-56.5K3.3M-46.0K1.2625.81N/AN/A54686,8479,414
2012-04-10$27.03$28.0023.4%6.9%18.3%23.1%23.2%5.7%-0.4%-147.8K4.8M-45.4K0.5641.34N/AN/A153856,8659,459
2012-04-11$27.24$28.0023.0%6.4%17.5%22.3%20.8%6.9%1.0%-127.3K4.4M-43.8K0.1357.63N/AN/A3856,8619,500
2012-04-12$27.96$28.0021.4%6.1%19.5%19.0%17.7%7.2%-1.2%97.2K1.3M-47.9K0.0834.83N/AN/A748596,8729,498
2012-04-13$27.44$28.0023.4%6.7%20.2%23.2%22.3%4.4%0.6%8.3K3.0M-46.9K2.2552.85N/AN/A40907,5569,528
2012-04-16$27.41$28.0023.2%6.6%20.0%22.7%23.7%9.7%0.6%-56.5K3.6M-44.5K0.5659.19N/AN/A36207,5469,615
2012-04-17$27.95$28.0019.3%5.5%21.4%14.2%20.2%4.6%1.3%144.2K1.1M-45.7K0.9546.68N/AN/A40387,5759,633
2012-04-18$27.90$28.0020.7%5.9%21.3%17.4%21.5%5.9%0.6%107.1K1.5M-46.2K1.1725.87N/AN/A30357,5939,632
2012-04-19$27.83$28.0019.5%5.6%21.3%14.7%20.0%1.1%1.0%73.3K1.7M-44.9K0.1752.93N/AN/A58107,6199,636
2012-04-20$27.92$28.0018.6%5.3%20.6%12.9%19.0%6.0%1.6%89.8K1.6M-43.6K0.3633.29N/AN/A5431977,6679,646
2012-04-23$27.57$28.0018.5%5.3%20.8%12.6%18.4%6.4%2.0%43.4K2.5M-43.2K6.2124.93N/AN/A241497,0809,250
2012-04-24$27.64$28.0017.8%5.1%19.6%11.0%17.7%5.3%2.9%59.0K2.0M-42.5K0.2257.44N/AN/A96217,0929,379
2012-04-25$28.08$28.0017.8%5.1%20.5%11.1%17.8%3.5%2.6%238.5K-60.8K-43.2K0.7354.25N/AN/A100737,1649,400
2012-04-26$28.11$28.0016.4%4.7%20.2%8.0%15.2%4.6%3.3%246.1K235.3K-43.5K0.0061.65N/AN/A3107,2389,471
2012-04-27$28.45$28.0017.8%5.1%20.7%11.1%16.6%5.6%2.1%395.4K-1.9M-41.0K0.1556.44N/AN/A68107,1429,217
2012-04-30$28.36$28.0019.1%5.5%20.7%13.9%18.5%6.3%1.2%385.8K-1.2M-40.5K0.3039.74N/AN/A117357,1879,218