EWC Options History — June 2012

In June 2012, EWC traded between $24.80 and $26.41. ATM implied volatility averaged 23.0%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 0.7% (HV 20d: 22.2%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 3.98.

Notable Days

  • 2012-06-14: Highest Volume — 7,111 contracts
  • 2012-06-13: Largest IV spike — 44.6% change
  • 2012-06-01: Highest IV Rank — 35.3%
  • 2012-06-04: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.45$24.80$26.41$24.85$25.84
Max Pain$25.48$25.00$28.00$28.00$26.00
ATM IV23.0%15.8%29.0%29.0%18.9%
Expected Move6.9%5.4%8.6%8.3%5.4%
HV 20d22.2%18.2%27.1%19.1%26.6%
HV 60d20.3%18.9%22.3%19.3%22.3%
IV Rank22.3%6.8%35.3%35.3%13.5%
IV Percentile45.9%7.5%70.6%70.6%23.4%
Term Structure1.5%-0.3%4.4%0.5%2.5%
VWIV24.4%19.2%32.6%28.3%19.2%
Skew 25d8.0%0.1%16.3%0.1%9.8%
Skew 10d15.7%2.8%27.3%2.8%12.1%
Call IV 25d20.2%12.2%29.4%29.4%12.2%
Put IV 25d28.2%22.1%34.1%29.5%22.1%
Bid-Ask Spread %60.6333.0982.7153.2754.53
Gamma HHI0.290.210.440.340.21
Net GEX-516.9K-1.2M213.2K-722.5K112.6K
Net DEX7.7M-207.5K13.5M12.6M1.7M
Net VEX-58.9K-78.7K-22.5K-25.8K-78.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.980.1060.491.831.65
Total Volume900317,111473328
Total OI19,334.04814,99829,29518,46616,659

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$24.85$28.0029.0%8.3%19.1%35.3%28.3%0.1%0.5%-722.5K12.6M-25.8K1.8353.27N/AN/A1673067,31711,149
2012-06-04$24.80$25.0027.3%8.6%18.2%31.6%32.6%6.2%-0.3%-790.5K13.5M-22.5K60.4967.86N/AN/A372,2387,43511,087
2012-06-05$25.18$25.0027.7%8.5%19.4%32.6%27.2%16.3%0.0%-871.5K12.4M-26.0K0.9563.58N/AN/A38367,45911,673
2012-06-06$25.76$25.0024.7%7.3%20.5%26.0%26.4%10.3%2.2%-889.5K9.7M-26.6K1.8252.14N/AN/A38697,48111,650
2012-06-07$25.70$25.0021.8%7.2%20.5%19.8%23.5%6.9%2.1%-966.5K9.8M-25.5K0.9349.19N/AN/A2,1772,0237,49011,685
2012-06-08$25.51$25.0022.5%6.8%20.5%21.3%23.9%8.7%2.3%-1.0M11.4M-53.7K1.2048.33N/AN/A3203849,60313,700
2012-06-11$25.10$25.0027.1%8.1%21.1%31.3%26.7%5.5%0.5%-1.1M13.4M-54.3K1.0951.87N/AN/A70769,88414,005
2012-06-12$25.52$25.0015.8%7.1%21.1%6.8%24.8%11.3%1.3%-1.2M11.5M-55.2K2.1833.09N/AN/A1613519,94414,077
2012-06-13$25.44$25.0022.9%8.1%20.5%22.1%28.0%13.7%1.8%-1.2M11.7M-57.8K2.0971.62N/AN/A7816310,09914,328
2012-06-14$25.57$25.0024.7%7.1%20.4%26.0%23.8%8.1%1.9%-1.2M11.0M-56.8K1.4660.86N/AN/A2,8884,22310,13714,427
2012-06-15$25.77$25.0022.7%6.5%20.3%21.6%24.3%8.6%1.6%-1.2M11.0M-76.4K1.4376.37N/AN/A12417712,70416,591
2012-06-18$25.86$25.0020.9%6.0%20.2%17.8%22.9%8.3%2.2%23.2K3.2M-74.7K0.1063.61N/AN/A611597,5577,441
2012-06-19$26.41$25.0020.6%5.9%20.3%17.3%21.1%6.4%1.9%213.2K398.6K-78.7K0.5359.30N/AN/A3671948,1027,488
2012-06-20$26.34$25.0019.7%5.6%20.2%15.2%21.5%8.8%4.4%176.3K-207.5K-78.5K0.7076.90N/AN/A1471038,3467,648
2012-06-21$25.12$26.0023.9%6.9%26.5%24.3%24.7%7.2%0.5%-16.0K4.0M-75.2K1.3382.71N/AN/A1041388,3697,723
2012-06-22$25.30$26.0022.2%6.4%26.6%20.6%24.2%8.3%1.4%-22.4K4.2M-74.1K1.9646.73N/AN/A1472888,3897,837
2012-06-25$24.92$26.0022.5%6.4%27.1%21.3%20.1%4.8%1.5%-98.5K5.4M-74.1K0.4366.46N/AN/A54238,5008,103
2012-06-26$25.07$26.0021.5%6.2%26.7%19.0%21.5%6.0%2.0%-74.1K5.0M-74.4K0.7067.57N/AN/A53378,5198,113
2012-06-27$25.24$26.0023.0%6.6%25.4%22.4%23.1%6.9%0.9%-40.3K4.5M-74.7K0.5571.83N/AN/A20118,5208,140
2012-06-28$25.09$26.0022.8%6.5%25.5%22.0%0.0%5.7%0.6%-82.3K5.0M-73.5K0.1855.33N/AN/A61118,5268,110
2012-06-29$25.84$26.0018.9%5.4%26.6%13.5%19.2%9.8%2.5%112.6K1.7M-78.4K1.6554.53N/AN/A1242048,5388,121