EWC Options History — August 2012

In August 2012, EWC traded between $25.90 and $27.80. ATM implied volatility averaged 16.7%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.3% (HV 20d: 15.4%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.18.

Notable Days

  • 2012-08-29: Highest Volume — 8,600 contracts
  • 2012-08-16: Largest IV spike — 42.0% change
  • 2012-08-31: Highest IV Rank — 23.5%
  • 2012-08-01: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.20$25.90$27.80$26.17$27.50
Max Pain$26.04$25.00$27.00$25.00$27.00
ATM IV16.7%11.5%20.8%20.8%19.4%
Expected Move5.0%4.2%6.0%6.0%5.6%
HV 20d15.4%11.3%17.1%16.7%11.3%
HV 60d20.9%19.4%22.1%21.7%19.4%
IV Rank12.5%0.0%23.5%17.3%23.5%
IV Percentile13.5%0.0%34.9%34.9%32.9%
Term Structure2.9%0.5%5.1%0.5%3.0%
VWIV16.8%14.0%20.6%20.6%18.5%
Skew 25d4.7%-2.9%9.4%4.8%7.5%
Skew 10d7.6%-1.6%14.7%7.7%11.9%
Call IV 25d14.3%10.7%19.8%19.3%14.6%
Put IV 25d19.0%14.4%24.1%24.1%22.1%
Bid-Ask Spread %53.5728.20123.51123.5161.28
Gamma HHI0.360.260.550.260.55
Net GEX902.9K143.9K1.5M233.4K1.5M
Net DEX-12.4M-18.9M881.8K-2.0M-16.4M
Net VEX-111.2K-124.5K-102.3K-111.5K-122.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.006.501.942.41
Total Volume615.52258,60013858
Total OI26,462.17423,59035,07723,59035,077

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$26.17$25.0020.8%6.0%16.7%17.3%20.6%4.8%0.5%233.4K-2.0M-111.5K1.94123.51N/AN/A479112,39511,195
2012-08-02$25.90$26.0019.5%5.6%17.1%14.4%19.7%2.0%1.1%143.9K881.8K-109.9K0.0071.28N/AN/A0512,40411,286
2012-08-03$26.40$26.0015.3%4.4%16.9%5.2%15.2%1.1%2.9%323.5K-2.9M-108.9K0.2368.31N/AN/A731712,40411,291
2012-08-06$26.46$26.0020.3%5.5%16.9%16.1%17.3%4.8%3.7%344.5K-3.5M-107.1K0.7259.62N/AN/A181312,42511,289
2012-08-07$26.94$26.0019.1%5.5%17.0%13.4%18.7%6.3%3.1%487.2K-7.5M-107.0K0.0049.61N/AN/A2,709312,43911,278
2012-08-08$26.85$26.0018.7%5.0%17.1%15.7%17.8%4.4%5.1%718.6K-9.6M-121.4K0.0838.83N/AN/A1181015,09111,278
2012-08-09$27.07$26.0016.9%5.2%16.6%10.7%17.1%6.4%4.9%790.2K-11.5M-119.6K1.1950.81N/AN/A273215,12011,281
2012-08-10$27.19$26.0014.0%5.1%16.3%3.5%16.7%4.7%4.5%832.6K-12.1M-119.5K3.1546.84N/AN/A134115,14211,301
2012-08-13$26.99$26.0017.6%5.4%16.7%14.6%0.0%1.1%2.6%814.9K-10.7M-117.3K0.2059.99N/AN/A15315,15511,315
2012-08-14$27.11$26.0013.9%5.3%16.6%3.2%14.0%3.4%3.1%792.5K-12.1M-116.8K1.8658.69N/AN/A499115,15311,312
2012-08-15$27.26$26.0011.5%5.2%16.7%0.0%16.2%4.8%3.2%919.5K-12.9M-116.6K0.0754.93N/AN/A56415,19111,334
2012-08-16$27.65$26.0016.4%4.7%17.0%14.3%16.0%7.6%3.9%949.1K-17.1M-109.6K0.6065.17N/AN/A17710615,06810,868
2012-08-17$27.71$26.0015.1%4.3%16.4%10.5%15.2%7.8%4.3%1.0M-18.9M-105.8K0.4159.02N/AN/A27111015,23010,872
2012-08-20$27.76$26.0015.8%4.5%15.6%12.6%15.1%9.4%1.6%1.1M-17.7M-106.0K0.1028.20N/AN/A3423415,03910,639
2012-08-21$27.80$26.0015.6%4.5%14.7%12.0%16.6%6.0%1.0%1.1M-18.5M-103.9K0.0929.70N/AN/A4714215,19010,614
2012-08-22$27.74$26.0014.9%4.3%14.8%10.1%15.5%8.2%2.5%1.2M-18.1M-105.8K2.0046.25N/AN/A265215,64810,627
2012-08-23$27.50$26.0017.8%5.1%14.4%18.6%17.0%6.3%1.7%1.2M-15.9M-106.5K0.1242.92N/AN/A1001215,65810,659
2012-08-24$27.63$26.0014.8%4.2%13.6%9.7%15.6%2.9%3.9%1.3M-17.4M-106.5K6.5030.59N/AN/A85215,68110,655
2012-08-27$27.59$26.0016.3%4.7%13.7%14.1%17.6%2.7%2.0%1.2M-16.7M-104.7K0.3135.14N/AN/A321015,68510,687
2012-08-28$27.58$26.0014.8%4.3%12.8%9.9%14.4%1.5%4.3%1.4M-17.1M-102.3K2.7360.82N/AN/A113015,70710,687
2012-08-29$27.55$26.0017.3%5.0%12.6%17.1%18.1%6.3%1.8%1.2M-16.3M-103.7K1.0049.91N/AN/A4,3044,29615,70510,702
2012-08-30$27.25$27.0018.5%5.3%12.6%20.7%18.5%-2.9%2.8%1.0M-11.2M-124.5K0.3040.59N/AN/A1374119,86714,986
2012-08-31$27.50$27.0019.4%5.6%11.3%23.5%0.0%7.5%3.0%1.5M-16.4M-122.8K2.4161.28N/AN/A174120,06715,010