EWC Options History — January 2013

In January 2013, EWC traded between $28.62 and $29.38. ATM implied volatility averaged 12.4%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.8% (HV 20d: 10.5%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2013-01-16: Highest Volume — 1,424 contracts
  • 2013-01-10: Largest IV spike — 24.2% change
  • 2013-01-03: Highest IV Rank — 14.6%
  • 2013-01-03: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.99$28.62$29.38$28.87$28.87
Max Pain$28.57$28.00$29.00$28.00$29.00
ATM IV12.4%10.6%14.3%12.5%11.7%
Expected Move3.7%3.3%4.1%3.6%3.3%
HV 20d10.5%7.9%11.2%10.5%7.9%
HV 60d12.2%11.3%13.0%13.0%11.3%
IV Rank7.8%0.0%14.6%5.2%5.2%
IV Percentile2.9%0.0%7.9%0.8%2.4%
Term Structure1.1%-0.2%2.5%2.4%1.9%
VWIV12.8%11.4%15.5%11.4%11.7%
Skew 25d3.6%-1.4%7.8%-1.4%3.5%
Skew 10d6.0%1.6%22.7%20.7%4.7%
Call IV 25d10.1%5.9%13.3%11.1%10.6%
Put IV 25d13.7%9.5%16.5%9.7%14.1%
Bid-Ask Spread %24.9010.7659.2312.0712.15
Gamma HHI0.450.310.560.450.51
Net GEX520.1K331.7K675.4K560.4K547.5K
Net DEX-5.4M-8.1M-3.2M-5.6M-3.2M
Net VEX-17.2K-18.7K-15.6K-17.5K-17.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.005.780.130.37
Total Volume142.04851,42424467
Total OI4,980.3334,4575,8844,7384,921

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$28.87$28.0012.5%3.6%10.5%5.2%11.4%-1.4%2.4%560.4K-5.6M-17.5K0.1312.07N/AN/A216283,6481,090
2013-01-03$28.62$28.0014.3%4.1%11.1%14.6%14.4%2.1%-0.2%574.8K-4.9M-18.7K0.3415.53N/AN/A86293,7801,104
2013-01-04$28.78$28.0012.8%3.9%11.2%6.5%15.5%4.0%1.4%572.1K-5.5M-18.5K0.2018.22N/AN/A2043,8481,133
2013-01-07$28.72$28.0011.6%3.9%11.2%0.3%0.0%2.4%1.1%629.8K-5.5M-17.6K0.0816.80N/AN/A6353,8681,133
2013-01-08$28.70$28.0011.0%3.9%11.2%0.0%13.7%6.3%0.6%641.8K-5.6M-17.5K0.0014.22N/AN/A503,8711,138
2013-01-09$28.78$28.0010.6%3.7%10.9%0.0%0.0%5.6%1.3%675.4K-5.9M-16.7K0.0014.36N/AN/A2703,8761,138
2013-01-10$29.03$28.0013.2%3.8%11.1%12.9%13.2%7.8%1.2%429.9K-6.6M-16.5K0.1010.76N/AN/A3943,8971,138
2013-01-11$29.05$28.0012.3%3.5%10.8%8.5%12.4%2.2%2.5%398.9K-6.7M-16.3K0.8014.77N/AN/A44353,9221,142
2013-01-14$29.12$28.0013.2%3.8%10.7%12.8%13.2%3.1%0.9%338.4K-6.9M-16.0K2.8015.22N/AN/A15423,9561,173
2013-01-15$29.18$29.0012.9%3.7%10.5%11.5%13.0%3.3%0.8%331.7K-6.9M-15.6K0.0038.96N/AN/A503,9611,193
2013-01-16$29.04$29.0012.9%3.7%10.6%11.5%13.0%2.3%0.8%332.7K-6.7M-15.8K0.0144.41N/AN/A1,412123,9601,193
2013-01-17$29.16$29.0012.2%3.5%10.1%7.7%12.3%2.5%2.0%550.5K-8.0M-17.5K3.2046.66N/AN/A20644,6291,171
2013-01-18$29.19$29.0012.0%3.4%10.1%6.6%12.0%6.1%1.3%546.8K-8.1M-17.5K0.6159.23N/AN/A49304,6491,235
2013-01-22$29.38$29.0012.2%3.5%10.3%7.8%11.8%5.0%1.0%540.3K-4.7M-16.7K2.2924.83N/AN/A491123,3331,124
2013-01-23$29.11$29.0012.1%3.5%10.7%7.1%12.1%1.5%0.6%526.8K-4.1M-17.4K1.3319.69N/AN/A30403,3821,216
2013-01-24$29.08$29.0011.5%3.3%10.7%4.5%11.5%4.8%1.4%531.5K-3.9M-17.8K1.7927.05N/AN/A14253,3981,252
2013-01-25$28.98$29.0011.8%3.4%10.7%5.6%0.0%3.3%0.3%545.4K-3.5M-17.2K0.5651.07N/AN/A72403,4121,272
2013-01-28$29.00$29.0012.8%3.7%10.7%10.6%12.8%4.1%0.5%535.4K-3.7M-17.9K1.1218.11N/AN/A17193,4841,312
2013-01-29$29.16$29.0013.4%3.8%10.3%13.6%0.0%6.3%0.3%543.8K-4.2M-17.8K0.6132.70N/AN/A76463,5001,324
2013-01-30$29.06$29.0013.0%3.7%9.4%11.7%12.9%0.6%0.2%568.7K-3.9M-17.8K5.7816.06N/AN/A181043,5331,278
2013-01-31$28.87$29.0011.7%3.3%7.9%5.2%11.7%3.5%1.9%547.5K-3.2M-17.9K0.3712.15N/AN/A49183,5411,380