EWC Options History — November 2012

In November 2012, EWC traded between $26.94 and $28.69. ATM implied volatility averaged 18.2%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.7% (HV 20d: 14.5%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2012-11-19: Highest Volume — 1,400 contracts
  • 2012-11-14: Largest IV spike — 26.6% change
  • 2012-11-14: Highest IV Rank — 36.0%
  • 2012-11-14: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.90$26.94$28.69$28.69$28.11
Max Pain$26.19$26.00$28.00$28.00$26.00
ATM IV18.2%16.2%20.6%16.2%18.0%
Expected Move5.3%4.6%6.0%4.6%5.2%
HV 20d14.5%12.8%16.0%13.7%15.0%
HV 60d13.6%12.8%14.5%13.1%14.3%
IV Rank26.8%17.2%36.0%17.2%28.7%
IV Percentile39.1%18.3%61.5%18.3%41.3%
Term Structure0.2%-1.2%1.8%1.4%-1.2%
VWIV20.4%16.9%32.7%18.7%32.7%
Skew 25d6.0%-0.4%8.9%5.1%8.9%
Skew 10d8.5%-2.3%16.1%3.0%13.7%
Call IV 25d14.7%10.5%18.2%13.8%11.5%
Put IV 25d20.7%15.3%23.4%18.8%20.4%
Bid-Ask Spread %19.8910.3661.2161.2125.90
Gamma HHI0.530.390.680.410.68
Net GEX674.8K319.6K879.4K762.7K879.4K
Net DEX-13.4M-18.4M-5.0M-17.9M-17.7M
Net VEX-50.3K-56.4K-39.8K-53.2K-42.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.008.310.100.29
Total Volume225.762101,40026590
Total OI19,295.90518,40519,97018,62119,970

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$28.69$28.0016.2%4.6%13.7%17.2%18.7%5.1%1.4%762.7K-17.9M-53.2K0.1061.21N/AN/A2402511,1617,460
2012-11-02$28.39$28.0017.6%5.0%14.0%22.5%0.0%-0.4%1.8%783.0K-16.4M-56.1K0.1117.53N/AN/A18211,4017,445
2012-11-05$28.32$26.0020.2%5.8%12.8%34.3%0.0%5.1%-1.0%772.0K-15.7M-54.6K0.0918.52N/AN/A47411,4127,447
2012-11-06$28.48$26.0020.0%5.7%13.0%33.7%0.0%5.9%-0.7%818.0K-16.9M-54.1K0.0018.16N/AN/A47011,4587,448
2012-11-07$28.09$26.0018.8%5.8%13.8%28.8%27.5%6.4%-0.8%700.2K-13.5M-55.3K0.4112.95N/AN/A2058511,5057,448
2012-11-08$27.82$26.0019.6%5.8%14.0%32.1%20.6%5.6%0.6%630.9K-11.9M-56.4K8.3115.79N/AN/A1613311,5717,533
2012-11-09$27.85$26.0017.8%5.5%13.7%24.8%18.3%5.3%1.6%590.6K-11.8M-56.0K0.0116.86N/AN/A776611,5267,648
2012-11-12$27.88$26.0017.7%5.2%13.5%24.6%17.7%5.3%1.6%610.8K-12.5M-52.7K0.0014.72N/AN/A14011,7247,653
2012-11-13$27.71$26.0016.3%5.3%13.5%18.9%19.8%4.3%1.4%559.1K-11.4M-52.9K0.0018.82N/AN/A01011,7207,653
2012-11-14$27.17$26.0020.6%6.0%14.9%36.0%21.3%4.2%0.3%374.9K-6.5M-53.5K0.8916.84N/AN/A565011,7207,663
2012-11-15$26.94$26.0020.5%5.9%14.5%35.6%21.2%6.5%0.4%321.4K-5.0M-54.2K3.0015.42N/AN/A4714111,6857,693
2012-11-16$27.10$26.0019.8%5.7%13.7%32.7%18.8%4.6%0.2%319.6K-5.5M-51.4K0.2114.84N/AN/A2254811,7247,786
2012-11-19$27.64$26.0017.2%4.9%16.0%22.6%17.6%8.4%0.7%507.6K-10.5M-47.1K0.3513.86N/AN/A1,04036010,6747,731
2012-11-20$27.62$26.0016.9%4.9%15.5%21.5%20.9%8.1%1.1%685.6K-11.5M-50.6K2.8010.36N/AN/A10930511,6837,752
2012-11-21$27.78$26.0017.2%4.9%15.8%22.5%17.3%7.9%1.1%730.1K-13.7M-49.7K1.2515.05N/AN/A121511,7917,775
2012-11-23$28.18$26.0018.0%5.2%15.8%25.8%17.6%7.7%-1.0%795.6K-17.9M-42.5K4.5819.82N/AN/A125511,7937,785
2012-11-26$28.09$26.0017.4%5.0%15.8%23.4%22.4%8.8%-1.0%827.1K-16.3M-44.5K0.9312.81N/AN/A615711,8017,795
2012-11-27$27.88$26.0017.3%5.0%15.6%22.8%16.9%7.7%0.0%810.0K-14.8M-44.5K0.4820.53N/AN/A482311,8427,803
2012-11-28$28.05$26.0018.1%5.2%15.7%26.5%18.7%7.4%-1.0%820.2K-15.6M-44.4K0.2433.34N/AN/A1664011,8567,826
2012-11-29$28.18$26.0017.7%5.1%15.3%27.2%19.8%3.2%-0.9%871.4K-18.4M-39.8K0.3824.33N/AN/A1114211,9967,857
2012-11-30$28.11$26.0018.0%5.2%15.0%28.7%32.7%8.9%-1.2%879.4K-17.7M-42.4K0.2925.90N/AN/A702012,0757,895