EWC Options History — December 2012

In December 2012, EWC traded between $28.00 and $28.76. ATM implied volatility averaged 16.5%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 5.5% (HV 20d: 10.9%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.68.

Notable Days

  • 2012-12-17: Highest Volume — 36,211 contracts
  • 2012-12-11: Largest IV drop — 20.0% change
  • 2012-12-10: Highest IV Rank — 36.6%
  • 2012-12-05: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.33$28.00$28.76$28.05$28.40
Max Pain$27.25$26.00$28.00$26.00$28.00
ATM IV16.5%13.9%19.8%18.4%16.9%
Expected Move4.7%3.9%5.4%5.3%4.8%
HV 20d10.9%7.2%14.6%14.6%9.0%
HV 60d13.0%12.3%14.3%14.3%12.7%
IV Rank23.4%10.7%36.6%30.1%28.4%
IV Percentile25.0%4.0%60.7%43.3%29.8%
Term Structure0.9%-0.9%2.2%-0.7%-0.1%
VWIV17.2%9.4%27.6%23.6%16.9%
Skew 25d3.9%1.5%6.4%2.1%3.7%
Skew 10d8.9%3.1%16.9%7.8%7.1%
Call IV 25d14.6%12.3%18.1%16.9%15.0%
Put IV 25d18.5%16.9%21.3%19.0%18.8%
Bid-Ask Spread %30.2113.88107.5223.1115.76
Gamma HHI0.580.350.740.690.50
Net GEX672.5K-335.1K1.2M890.4K505.2K
Net DEX-13.6M-26.2M-2.8M-17.6M-4.0M
Net VEX-25.3K-38.9K-17.5K-38.0K-18.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.0035.310.970.13
Total Volume2,013.6536,2116189
Total OI14,613.74,37020,20920,0264,650

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$28.05$26.0018.4%5.3%14.6%30.1%23.6%2.1%-0.7%890.4K-17.6M-38.0K0.9723.11N/AN/A313012,1117,915
2012-12-04$28.00$26.0018.8%5.4%14.6%32.1%19.6%3.9%-0.9%861.9K-17.1M-38.9K0.8313.88N/AN/A242012,1377,945
2012-12-05$28.10$26.0019.0%5.4%14.5%33.0%27.6%1.5%-0.6%875.5K-18.1M-37.4K2.0028.98N/AN/A112212,1557,961
2012-12-06$28.13$26.0018.4%5.3%13.7%30.2%18.4%6.3%-0.4%1.0M-17.9M-35.4K0.1115.92N/AN/A971112,1667,960
2012-12-07$28.15$27.0017.5%5.0%13.2%26.4%16.6%3.3%1.7%987.2K-19.4M-32.6K0.6014.52N/AN/A251512,2357,970
2012-12-10$28.41$27.0019.8%5.0%13.5%36.6%17.7%4.2%0.6%1.0M-22.1M-28.2K35.3115.41N/AN/A1656512,2397,970
2012-12-11$28.54$27.0015.9%4.7%13.6%19.1%20.2%5.0%1.1%1.0M-23.9M-26.2K0.0523.41N/AN/A3071512,2307,500
2012-12-12$28.76$27.0013.9%3.9%13.5%10.7%16.1%6.4%1.3%1.0M-26.1M-25.4K1.0046.88N/AN/A858512,5157,515
2012-12-13$28.62$27.0014.5%4.1%11.2%13.0%14.6%4.5%1.8%1.1M-25.3M-25.2K0.1042.29N/AN/A41412,5147,597
2012-12-14$28.50$27.0016.7%4.8%10.7%23.0%0.0%3.3%1.6%1.2M-23.9M-25.8K0.2520.99N/AN/A4112,5457,598
2012-12-17$28.62$27.0014.3%4.1%10.7%12.1%9.4%4.7%1.6%1.2M-26.2M-21.2K0.0019.85N/AN/A36,1496212,5447,598
2012-12-18$28.38$28.0015.6%4.5%9.3%21.3%15.5%3.8%1.9%-335.1K-2.8M-17.5K0.1459.70N/AN/A1,6942363,6687,622
2012-12-19$28.43$28.0015.5%4.5%9.3%21.1%15.4%4.8%1.7%-6.0K-4.6M-20.6K0.1427.19N/AN/A4974,6017,752
2012-12-20$28.48$28.0016.6%4.8%9.1%26.7%16.6%4.5%0.5%135.6K-4.8M-20.3K0.5938.24N/AN/A71424,6367,755
2012-12-21$28.32$28.0014.9%4.3%8.0%17.8%15.1%3.6%2.2%-19.2K-4.5M-19.9K0.09107.52N/AN/A136124,6417,785
2012-12-24$28.26$28.0015.5%4.4%8.0%20.8%14.6%3.1%1.0%495.1K-3.7M-18.6K2.4937.53N/AN/A671673,480890
2012-12-26$28.21$28.0014.8%4.3%7.5%17.5%0.0%2.4%1.1%527.3K-3.6M-18.8K8.3318.53N/AN/A3253,5471,056
2012-12-27$28.20$28.0015.8%4.5%7.2%22.3%15.3%4.4%1.0%506.1K-3.5M-18.9K0.0019.76N/AN/A3903,5501,081
2012-12-28$28.00$28.0016.3%4.7%7.4%25.4%16.4%3.4%1.2%473.0K-3.2M-18.7K0.5014.70N/AN/A1053,5591,081
2012-12-31$28.40$28.0016.9%4.8%9.0%28.4%16.9%3.7%-0.1%505.2K-4.0M-18.5K0.1315.76N/AN/A79103,5691,081