EWC Options History — October 2012

In October 2012, EWC traded between $28.02 and $29.06. ATM implied volatility averaged 16.4%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.3% (HV 20d: 13.1%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2012-10-22: Highest Volume — 478 contracts
  • 2012-10-23: Largest IV spike — 16.4% change
  • 2012-10-31: Highest IV Rank — 29.0%
  • 2012-10-10: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.57$28.02$29.06$28.70$28.49
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV16.4%13.8%19.4%15.5%19.4%
Expected Move4.8%4.0%5.7%4.4%5.5%
HV 20d13.1%11.1%14.7%14.4%13.4%
HV 60d13.8%13.0%14.2%14.2%13.0%
IV Rank17.8%8.3%29.0%11.7%29.0%
IV Percentile21.1%2.8%48.4%10.3%48.4%
Term Structure2.2%0.3%3.6%2.6%0.8%
VWIV16.5%13.9%18.9%16.5%17.2%
Skew 25d4.1%-3.7%9.2%-3.7%1.7%
Skew 10d4.9%-0.2%9.8%3.3%1.9%
Call IV 25d14.4%10.7%17.1%14.5%15.6%
Put IV 25d18.5%10.9%20.7%10.9%17.3%
Bid-Ask Spread %27.3313.86102.53102.5361.02
Gamma HHI0.420.380.570.380.41
Net GEX810.6K561.6K1.3M714.1K713.7K
Net DEX-16.9M-20.8M-13.2M-17.7M-16.3M
Net VEX-66.8K-75.1K-56.3K-73.3K-56.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.0022.100.050.14
Total Volume102.4292478204123
Total OI18,956.09517,98819,32318,81218,605

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$28.70$28.0015.5%4.4%14.4%11.7%16.5%-3.7%2.6%714.1K-17.7M-73.3K0.05102.53N/AN/A1941011,5437,269
2012-10-02$28.73$28.0015.6%4.5%14.4%12.0%15.5%4.6%1.9%771.0K-18.1M-72.7K0.0013.86N/AN/A14011,6727,279
2012-10-03$28.53$28.0014.2%4.1%14.7%8.5%13.9%2.9%2.9%763.9K-16.5M-75.1K0.0014.12N/AN/A3011,6677,279
2012-10-04$28.96$28.0013.9%4.0%14.1%8.8%14.0%5.5%3.6%793.2K-19.2M-72.7K22.1016.11N/AN/A1022111,6707,279
2012-10-05$28.90$28.0013.8%4.4%12.9%8.3%15.3%3.1%2.8%814.9K-19.0M-72.8K0.3519.95N/AN/A652311,6807,429
2012-10-08$28.83$28.0014.2%4.8%12.8%9.8%0.0%4.1%2.7%863.6K-18.5M-71.2K2.1028.11N/AN/A102111,7407,442
2012-10-09$28.63$28.0015.1%4.8%13.0%13.4%16.3%4.4%3.4%829.7K-18.1M-68.4K1.2421.99N/AN/A293611,7387,463
2012-10-10$28.37$28.0016.9%5.7%13.4%20.0%0.0%5.2%1.9%816.3K-15.8M-70.7K0.0031.95N/AN/A4011,7577,497
2012-10-11$28.52$28.0016.0%4.6%11.9%16.6%0.0%4.0%3.2%889.1K-17.0M-68.1K0.0019.51N/AN/A2011,7617,497
2012-10-12$28.36$28.0017.5%5.0%11.2%22.1%17.2%2.8%2.5%870.0K-15.4M-70.7K0.1722.13N/AN/A781311,7617,497
2012-10-15$28.44$28.0019.3%5.5%11.1%28.8%0.0%7.5%1.0%901.9K-15.8M-70.2K0.0026.41N/AN/A49011,7867,487
2012-10-16$28.70$28.0016.3%4.7%11.7%17.8%18.9%9.2%1.4%991.8K-18.1M-62.9K0.0127.26N/AN/A281311,7777,487
2012-10-17$29.06$28.0016.6%4.8%12.6%18.9%0.0%6.6%2.7%1.1M-20.8M-62.8K0.3124.35N/AN/A963011,8387,485
2012-10-18$28.92$28.0015.8%4.5%12.6%15.7%15.8%3.1%2.5%1.3M-20.0M-62.4K1.2527.01N/AN/A162011,8087,472
2012-10-19$28.57$28.0015.4%4.4%13.3%14.6%15.9%5.5%2.9%882.9K-17.8M-59.7K0.0022.38N/AN/A97011,8047,492
2012-10-22$28.56$28.0015.7%4.5%13.0%15.4%16.7%5.4%0.3%561.6K-15.7M-62.4K0.0322.12N/AN/A4641410,6317,357
2012-10-23$28.13$28.0018.3%5.2%13.8%24.9%18.2%2.9%2.0%610.5K-13.8M-64.1K1.0819.58N/AN/A525611,0957,371
2012-10-24$28.02$28.0018.7%5.4%13.8%26.6%18.6%3.6%1.2%601.1K-13.2M-63.4K0.8917.77N/AN/A282511,1097,407
2012-10-25$28.30$28.0018.6%5.3%13.3%26.3%16.8%5.7%1.0%656.8K-14.9M-60.7K0.0418.18N/AN/A24111,1337,428
2012-10-26$28.19$28.0018.0%5.1%13.1%23.8%17.2%2.5%2.4%629.5K-14.1M-61.5K2.0017.67N/AN/A132611,1577,429
2012-10-31$28.49$28.0019.4%5.5%13.4%29.0%17.2%1.7%0.8%713.7K-16.3M-56.3K0.1461.02N/AN/A1081511,1557,450