EWC Options History — September 2012

In September 2012, EWC traded between $27.52 and $29.39. ATM implied volatility averaged 15.8%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.8% (HV 20d: 13.0%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 4.27.

Notable Days

  • 2012-09-11: Highest Volume — 2,216 contracts
  • 2012-09-13: Largest IV spike — 45.4% change
  • 2012-09-26: Highest IV Rank — 18.3%
  • 2012-09-10: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.61$27.52$29.39$27.53$28.49
Max Pain$27.21$26.00$28.00$27.00$28.00
ATM IV15.8%11.6%17.7%16.8%17.6%
Expected Move4.7%4.0%5.4%4.8%5.0%
HV 20d13.0%9.6%14.9%11.3%14.5%
HV 60d17.4%14.8%19.4%19.4%14.8%
IV Rank12.7%0.3%18.3%15.7%17.9%
IV Percentile12.3%0.4%25.4%13.5%25.4%
Term Structure2.9%0.9%5.3%1.8%1.3%
VWIV17.0%13.8%19.3%19.3%16.9%
Skew 25d4.6%1.3%10.0%3.5%2.3%
Skew 10d5.6%2.2%14.4%4.0%3.6%
Call IV 25d13.7%8.9%16.4%15.4%13.2%
Put IV 25d18.3%14.5%21.0%18.9%15.5%
Bid-Ask Spread %38.8616.7871.9856.4822.63
Gamma HHI0.520.370.730.560.38
Net GEX1.6M550.9K2.5M1.5M680.7K
Net DEX-31.2M-48.7M-14.2M-16.1M-15.1M
Net VEX-85.9K-116.8K-69.9K-116.8K-81.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.270.0271.790.400.65
Total Volume355.316202,21656129
Total OI31,858.15817,94638,17035,05218,691

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$27.53$27.0016.8%4.8%11.3%15.7%19.3%3.5%1.8%1.5M-16.1M-116.8K0.4056.48N/AN/A401620,06914,983
2012-09-05$27.52$27.0017.2%4.9%9.6%16.7%0.0%3.6%1.9%1.5M-15.7M-115.0K0.3353.84N/AN/A15520,10414,979
2012-09-06$28.06$27.0014.9%4.3%11.5%10.0%15.6%6.1%3.3%2.4M-26.9M-108.1K0.7969.34N/AN/A524120,11914,983
2012-09-07$28.54$26.0014.3%4.3%12.5%8.1%18.6%8.4%4.7%2.3M-35.4M-94.1K0.3745.87N/AN/A33012220,13114,999
2012-09-10$28.43$26.0017.2%5.4%12.7%16.9%19.2%6.6%1.7%2.4M-34.3M-93.3K1.6638.84N/AN/A8213620,18815,028
2012-09-11$28.56$26.0013.6%4.8%12.2%6.2%16.9%4.7%3.1%2.3M-36.1M-91.0K1.0938.04N/AN/A1,0591,15720,24315,092
2012-09-12$28.58$26.0011.6%4.9%12.2%0.3%18.4%3.2%2.8%2.5M-36.8M-92.5K0.6332.64N/AN/A161021,21016,214
2012-09-13$29.09$26.0016.9%4.8%13.3%15.9%17.0%10.0%2.5%1.9M-44.1M-80.2K0.9671.98N/AN/A827921,22616,213
2012-09-14$29.39$26.0017.2%4.9%12.9%16.8%16.8%5.1%2.8%1.4M-48.7M-69.9K0.0737.16N/AN/A3292421,25116,235
2012-09-17$29.17$28.0017.4%5.0%13.4%17.5%17.9%4.1%2.4%1.6M-47.2M-72.6K0.8736.59N/AN/A13411721,39516,256
2012-09-18$29.12$28.0015.6%4.5%13.5%12.0%17.0%2.9%3.9%1.5M-46.7M-71.9K71.7937.46N/AN/A141,00521,24416,363
2012-09-19$29.11$28.0015.8%4.5%13.5%12.7%15.9%4.3%3.5%1.5M-43.8M-77.4K0.0244.16N/AN/A222520,75917,367
2012-09-20$28.98$28.0015.0%4.3%13.7%10.3%15.4%2.1%4.7%1.8M-42.1M-77.8K0.1931.51N/AN/A1062020,83317,337
2012-09-21$28.88$28.0014.1%4.0%13.2%7.7%13.8%2.4%5.3%2.0M-42.2M-72.7K0.1733.35N/AN/A4898420,73417,257
2012-09-24$28.66$28.0014.8%4.2%13.7%9.7%17.9%6.7%2.9%550.9K-15.8M-76.8K0.0216.78N/AN/A6391010,7457,201
2012-09-25$28.42$28.0017.1%4.9%14.1%16.6%15.7%1.3%0.9%657.9K-15.6M-78.7K0.1122.61N/AN/A66711,3557,211
2012-09-26$28.31$28.0017.7%5.1%14.2%18.3%17.0%4.2%2.3%636.3K-14.2M-81.5K0.1926.45N/AN/A641211,4097,218
2012-09-27$28.70$28.0015.3%4.4%14.9%11.3%16.4%6.7%3.6%693.1K-16.5M-79.3K0.7422.67N/AN/A191411,4487,215
2012-09-28$28.49$28.0017.6%5.0%14.5%17.9%16.9%2.3%1.3%680.7K-15.1M-81.6K0.6522.63N/AN/A785111,4677,224