EWC Options History — September 2014

In September 2014, EWC traded between $30.69 and $32.95. ATM implied volatility averaged 10.2%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.5% (HV 20d: 8.7%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.31.

Notable Days

  • 2014-09-03: Highest Volume — 3,118 contracts
  • 2014-09-23: Largest IV spike — 29.5% change
  • 2014-09-10: Highest IV Rank — 60.0%
  • 2014-09-23: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.03$30.69$32.95$32.73$30.69
Max Pain$30.67$30.00$33.00$33.00$31.00
ATM IV10.2%7.3%12.2%7.3%11.6%
Expected Move3.6%3.4%3.8%3.4%3.7%
HV 20d8.7%5.6%12.2%7.7%12.2%
HV 60d9.3%8.6%10.4%8.6%10.3%
IV Rank45.2%23.2%60.0%23.2%55.1%
IV Percentile46.2%9.9%71.4%9.9%64.7%
Term Structure1.4%-0.3%2.6%1.9%-0.2%
VWIV12.6%10.6%16.1%12.3%10.6%
Skew 25d3.0%-1.1%4.4%2.5%4.0%
Skew 10d5.8%-0.3%26.8%26.8%3.3%
Call IV 25d9.3%7.5%11.1%7.6%11.1%
Put IV 25d12.3%7.0%15.1%10.0%15.1%
Bid-Ask Spread %71.1565.5575.4473.8171.06
Gamma HHI0.310.220.630.310.25
Net GEX902.7K-216.4K3.2M849.8K-216.4K
Net DEX-5.0M-10.8M3.3M-7.9M3.3M
Net VEX-50.8K-64.8K-39.9K-46.4K-48.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.310.0023.400.030.25
Total Volume426.095133,118148350
Total OI11,455.5248,16312,88510,78411,830

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$32.73$33.007.3%3.4%7.7%23.2%12.3%2.5%1.9%849.8K-7.9M-46.4K0.0373.81N/AN/A14446,3024,482
2014-09-03$32.95$33.007.9%3.5%6.1%27.3%11.5%-0.2%1.7%649.5K-9.3M-47.0K0.0071.83N/AN/A3,11446,2964,486
2014-09-04$32.80$33.007.9%3.5%6.4%27.6%16.1%-1.1%1.4%1.1M-10.8M-64.8K0.0370.77N/AN/A15648,3994,486
2014-09-05$32.84$30.007.5%3.4%5.6%24.3%13.0%3.5%2.4%890.0K-10.5M-59.7K0.0068.43N/AN/A1307,8524,486
2014-09-08$32.42$30.009.6%3.7%7.6%40.0%0.0%4.0%1.5%1.2M-8.1M-56.1K0.3566.60N/AN/A63227,8554,486
2014-09-09$32.49$30.0011.5%3.8%7.0%54.8%13.9%4.4%1.4%1.2M-8.3M-58.1K23.4070.60N/AN/A51177,9084,507
2014-09-10$32.44$30.0012.2%3.7%7.1%60.0%11.6%3.4%1.8%1.3M-7.4M-54.3K0.0070.45N/AN/A6007,9134,546
2014-09-11$32.30$30.0010.6%3.7%7.3%48.0%0.0%4.0%2.3%1.3M-6.7M-51.6K2.0069.91N/AN/A10207,8534,532
2014-09-12$32.18$30.0011.4%3.7%7.4%53.7%11.8%3.0%1.4%1.4M-6.1M-53.6K1.3265.55N/AN/A47627,8434,532
2014-09-15$32.21$30.0011.1%3.7%7.3%51.9%12.9%3.5%1.8%1.5M-6.4M-52.2K0.0469.15N/AN/A2617,8094,587
2014-09-16$32.52$30.009.8%3.4%8.0%42.1%11.6%2.7%2.3%1.1M-8.3M-54.0K3.1567.37N/AN/A26827,8074,586
2014-09-17$32.32$30.0010.8%3.8%8.2%49.7%11.7%2.4%2.0%1.4M-7.4M-51.2K0.0473.19N/AN/A412167,7664,532
2014-09-18$32.47$30.0010.5%3.7%8.3%47.2%11.2%2.7%2.5%1.1M-7.9M-52.3K0.4271.32N/AN/A62267,7994,522
2014-09-19$32.08$30.009.3%3.6%9.3%38.2%11.9%3.8%2.6%3.2M-5.9M-47.4K0.0872.58N/AN/A179157,8034,522
2014-09-22$31.61$30.009.3%3.5%10.6%37.9%13.6%2.0%0.6%369.7K-1.7M-43.1K0.0475.44N/AN/A404185,9442,219
2014-09-23$31.46$30.0012.0%3.8%10.6%58.7%13.4%3.9%-0.3%459.5K-1.5M-41.6K14.3472.98N/AN/A415886,3342,226
2014-09-24$31.43$31.0011.3%3.7%10.4%52.9%11.9%1.8%0.6%386.9K-492.7K-46.1K0.5275.11N/AN/A1991046,3682,754
2014-09-25$30.79$31.0011.0%3.7%11.8%51.2%14.1%4.4%0.1%194.0K1.2M-39.9K21.4872.36N/AN/A962,0626,5512,834
2014-09-26$30.99$31.0010.6%3.7%12.2%48.1%11.6%4.3%0.7%-113.9K2.6M-48.4K1.8173.57N/AN/A801456,6414,816
2014-09-29$30.86$31.0011.8%3.7%12.2%57.3%15.2%4.0%-0.0%-142.8K2.7M-50.2K0.3172.02N/AN/A131406,7214,831
2014-09-30$30.69$31.0011.6%3.7%12.2%55.1%10.6%4.0%-0.2%-216.4K3.3M-48.8K0.2571.06N/AN/A280706,8394,991