EWC Options History — May 2012

In May 2012, EWC traded between $25.12 and $28.52. ATM implied volatility averaged 24.3%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 5.3% (HV 20d: 19.0%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 10.12.

Notable Days

  • 2012-05-16: Highest Volume — 1,479 contracts
  • 2012-05-02: Largest IV spike — 28.7% change
  • 2012-05-18: Highest IV Rank — 38.6%
  • 2012-05-18: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.24$25.12$28.52$28.52$25.32
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV24.3%14.9%30.5%14.9%25.9%
Expected Move7.0%4.3%8.8%4.3%7.4%
HV 20d19.0%17.0%21.4%19.9%19.3%
HV 60d18.7%17.3%19.6%17.3%19.0%
IV Rank25.1%4.8%38.6%4.8%28.5%
IV Percentile55.1%4.8%75.0%4.8%61.1%
Term Structure0.3%-3.0%3.9%3.9%3.3%
VWIV24.9%16.1%30.8%16.1%27.5%
Skew 25d7.5%-5.3%17.3%4.4%8.4%
Skew 10d11.3%-5.9%22.0%11.2%10.1%
Call IV 25d20.4%9.1%26.3%13.9%22.0%
Put IV 25d27.9%18.3%34.1%18.3%30.4%
Bid-Ask Spread %38.1615.0763.9355.7128.50
Gamma HHI0.280.190.360.270.36
Net GEX-340.5K-726.1K484.7K484.7K-726.1K
Net DEX7.2M-2.1M11.1M-2.1M10.7M
Net VEX-31.0K-41.6K-25.8K-41.6K-25.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.120.24146.900.2410.96
Total Volume418.091641,47967610
Total OI17,147.72716,39818,15916,50017,940

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$28.52$28.0014.9%4.3%19.9%4.8%16.1%4.4%3.9%484.7K-2.1M-41.6K0.2455.71N/AN/A54137,2579,243
2012-05-02$28.26$28.0019.1%5.5%19.5%14.0%27.0%10.9%1.5%359.8K-911.3K-39.2K2.2058.66N/AN/A20447,3119,243
2012-05-03$27.68$28.0019.0%5.5%19.9%13.8%19.1%0.5%1.5%80.7K1.9M-38.9K8.4763.93N/AN/A342887,3189,268
2012-05-04$27.11$28.0021.5%6.6%21.1%19.0%22.2%6.9%-1.0%-141.2K4.4M-35.4K3.2729.50N/AN/A1394547,3359,274
2012-05-07$27.20$28.0022.6%6.6%20.9%21.5%22.5%5.1%-1.0%-120.2K4.1M-33.2K5.5527.27N/AN/A663667,3439,055
2012-05-08$26.66$28.0022.1%6.9%21.4%20.4%23.9%7.8%-0.5%-256.9K6.0M-31.1K2.5620.85N/AN/A2807177,3859,095
2012-05-09$26.51$28.0023.9%6.9%21.2%24.3%24.9%6.1%0.1%-237.6K6.3M-32.6K1.5436.62N/AN/A3094767,4999,175
2012-05-10$26.61$28.0023.1%6.6%18.7%22.6%23.5%6.6%0.9%-269.3K6.0M-32.2K2.3618.48N/AN/A741757,6009,228
2012-05-11$26.59$28.0023.7%6.8%17.7%23.8%23.8%7.0%-0.1%-306.5K6.4M-32.6K1.3748.76N/AN/A1171607,6709,398
2012-05-14$26.06$28.0026.3%7.6%18.9%29.6%24.8%5.8%-0.8%-355.3K7.6M-29.6K1.5515.07N/AN/A44687,7769,268
2012-05-15$25.68$28.0028.3%8.1%17.4%33.9%23.6%-5.3%-3.0%-380.8K8.8M-27.8K2.5149.30N/AN/A802017,8039,277
2012-05-16$25.49$28.0030.2%8.6%17.4%37.9%27.4%7.9%-2.3%-373.3K9.1M-29.2K146.9047.04N/AN/A101,4697,8639,442
2012-05-17$25.27$28.0030.1%8.6%17.5%37.7%30.5%7.0%-1.8%-465.8K10.5M-29.2K7.8946.53N/AN/A473717,87110,206
2012-05-18$25.12$28.0030.5%8.8%17.2%38.6%30.8%7.8%-1.5%-470.2K11.1M-29.1K2.1726.30N/AN/A841827,90610,253
2012-05-21$25.63$28.0023.9%6.9%19.2%24.3%23.4%8.0%0.5%-559.0K9.7M-26.7K0.5021.74N/AN/A5852946,47510,016
2012-05-22$25.51$28.0023.8%6.8%19.0%24.0%26.5%8.4%-0.4%-571.9K9.7M-28.5K11.0443.71N/AN/A252767,02010,122
2012-05-23$25.73$28.0025.0%7.2%18.2%26.8%28.3%17.3%1.9%-582.1K9.3M-29.5K1.6437.85N/AN/A1322177,04310,397
2012-05-24$25.68$28.0024.9%7.1%18.1%26.4%27.4%8.9%1.3%-602.0K9.5M-29.1K4.4722.13N/AN/A572557,12210,460
2012-05-25$25.54$28.0024.2%6.9%17.0%24.9%25.5%12.7%1.8%-630.5K9.8M-28.5K4.3242.89N/AN/A281217,13010,533
2012-05-29$25.88$28.0023.2%6.6%18.3%22.7%23.1%14.0%1.7%-683.2K9.0M-27.0K0.8743.28N/AN/A78687,15410,623
2012-05-30$25.26$28.0028.2%8.1%19.1%33.7%27.0%8.5%0.7%-684.0K10.8M-26.0K0.2955.42N/AN/A85257,20810,645
2012-05-31$25.32$28.0025.9%7.4%19.3%28.5%27.5%8.4%3.3%-726.1K10.7M-25.8K10.9628.50N/AN/A515597,29210,648