EWC Options History — July 2012

In July 2012, EWC traded between $25.44 and $26.60. ATM implied volatility averaged 20.1%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 4.1% (HV 20d: 24.1%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2012-07-27: Highest Volume — 6,274 contracts
  • 2012-07-05: Largest IV spike — 42.5% change
  • 2012-07-12: Highest IV Rank — 24.9%
  • 2012-07-10: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.99$25.44$26.60$25.95$26.29
Max Pain$25.14$25.00$26.00$26.00$25.00
ATM IV20.1%16.0%24.3%20.0%20.3%
Expected Move5.9%4.6%7.2%5.7%5.8%
HV 20d24.1%18.4%27.5%26.6%18.9%
HV 60d22.1%21.7%22.9%22.3%21.7%
IV Rank15.6%6.7%24.9%15.8%16.1%
IV Percentile29.5%7.5%56.0%31.0%31.0%
Term Structure1.3%-3.4%4.7%0.3%0.1%
VWIV21.3%18.3%26.2%18.8%18.3%
Skew 25d6.0%2.4%12.2%12.2%3.9%
Skew 10d8.8%3.2%18.5%15.9%6.3%
Call IV 25d17.2%12.0%20.2%12.0%18.2%
Put IV 25d23.3%19.5%28.1%24.2%22.1%
Bid-Ask Spread %68.1235.57111.4967.4570.70
Gamma HHI0.250.210.300.210.26
Net GEX165.1K-51.7K381.5K138.2K294.3K
Net DEX708.2K-5.0M4.3M1.4M-2.7M
Net VEX-99.2K-149.5K-70.9K-77.4K-111.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.0016.600.630.00
Total Volume787.143136,27413113
Total OI21,079.28616,80528,87616,80523,483

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$25.95$26.0020.0%5.7%26.6%15.8%0.0%12.2%0.3%138.2K1.4M-77.4K0.6367.45N/AN/A858,6058,200
2012-07-03$26.59$26.0016.0%4.6%27.4%6.7%18.8%6.4%3.2%381.5K-2.5M-79.3K0.2362.65N/AN/A79188,6138,205
2012-07-05$26.49$26.0022.8%6.5%26.4%21.5%22.8%2.4%-0.5%350.7K-2.2M-79.0K0.95111.49N/AN/A20198,6618,187
2012-07-06$25.96$25.0020.2%6.5%27.5%15.8%24.7%8.7%0.6%190.8K813.6K-76.1K0.3353.39N/AN/A111378,6638,206
2012-07-09$25.89$25.0019.6%6.2%27.4%14.7%23.9%6.5%0.8%132.7K1.6M-73.9K1.3135.57N/AN/A16218,6888,213
2012-07-10$25.55$25.0021.9%7.2%27.1%19.5%26.2%9.2%-3.4%-9.8K3.0M-70.9K0.9653.75N/AN/A2,4752,3748,6898,232
2012-07-11$25.69$25.0019.1%6.5%26.6%13.5%0.0%6.0%-0.8%72.9K2.6M-103.1K5.1179.55N/AN/A4623511,07710,538
2012-07-12$25.44$25.0024.3%7.0%26.8%24.9%24.4%11.2%0.4%-51.7K4.3M-102.2K1.8570.98N/AN/A132411,09210,731
2012-07-13$25.75$25.0020.5%5.9%27.1%16.5%19.8%5.0%1.7%117.7K2.2M-102.9K0.1175.02N/AN/A19211,09810,751
2012-07-16$25.76$25.0022.9%6.6%26.9%21.8%0.0%5.9%0.9%84.6K2.7M-101.0K1.2981.59N/AN/A172211,10810,750
2012-07-17$25.92$25.0020.3%5.8%27.0%16.1%20.4%4.9%3.8%163.2K1.8M-102.1K0.1071.67N/AN/A1351411,11910,771
2012-07-18$26.00$25.0019.8%5.7%25.9%15.1%22.4%4.7%2.6%207.4K746.5K-102.3K1.0075.37N/AN/A1,0091,01011,25410,770
2012-07-19$26.27$25.0017.9%5.1%26.2%10.9%23.4%4.7%4.7%277.3K-1.3M-110.0K16.6066.13N/AN/A58312,21311,751
2012-07-20$26.03$25.0017.1%4.9%19.7%9.1%18.3%3.4%3.8%372.5K644.8K-107.4K0.4859.68N/AN/A2049812,21411,756
2012-07-23$25.75$25.0018.7%5.4%20.1%12.7%22.6%5.0%2.9%12.3K2.8M-104.4K0.5370.96N/AN/A47024710,80510,532
2012-07-24$25.48$25.0023.3%6.7%19.7%22.6%20.7%4.9%1.2%-25.8K4.0M-106.3K0.3961.47N/AN/A963711,25410,744
2012-07-25$25.65$25.0019.1%5.5%19.7%13.6%19.1%4.7%2.4%4.1K3.8M-103.7K0.0070.51N/AN/A332011,32110,781
2012-07-26$26.13$25.0019.1%5.5%20.6%13.4%19.1%6.9%1.9%125.1K-44.1K-107.7K0.0154.58N/AN/A7171011,29710,781
2012-07-27$26.53$25.0018.1%5.2%20.9%11.3%19.4%5.2%1.6%302.3K-3.9M-111.7K1.0585.82N/AN/A3,0613,21311,84510,791
2012-07-30$26.60$25.0020.3%5.8%18.4%16.0%18.4%4.6%-0.2%326.5K-5.0M-149.5K0.1052.22N/AN/A1051014,89813,978
2012-07-31$26.29$25.0020.3%5.8%18.9%16.1%18.3%3.9%0.1%294.3K-2.7M-111.8K0.0070.70N/AN/A113012,28811,195