EWC Options History — November 2015

In November 2015, EWC traded between $22.60 and $24.29. ATM implied volatility averaged 19.5%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.4% (HV 20d: 18.0%). Max pain ranged from $24.00 to $27.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 5.51.

Notable Days

  • 2015-11-12: Highest Volume — 11,246 contracts
  • 2015-11-09: Largest IV spike — 36.3% change
  • 2015-11-09: Highest IV Rank — 48.5%
  • 2015-11-13: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.35$22.60$24.29$23.98$23.27
Max Pain$26.25$24.00$27.00$24.00$26.00
ATM IV19.5%17.3%24.0%18.2%18.1%
Expected Move5.5%4.9%6.3%5.2%5.2%
HV 20d18.0%16.3%20.0%18.3%16.3%
HV 60d23.1%20.6%24.5%24.4%20.6%
IV Rank28.7%19.9%48.5%26.2%20.3%
IV Percentile56.9%35.7%86.9%46.8%40.5%
Term Structure0.2%-1.2%2.0%0.4%0.3%
VWIV20.2%11.2%31.6%18.9%14.1%
Skew 25d5.5%2.6%8.6%2.9%7.2%
Skew 10d9.6%2.5%17.3%3.2%4.7%
Call IV 25d17.1%10.0%20.9%20.5%10.0%
Put IV 25d22.6%17.2%26.6%23.4%17.2%
Bid-Ask Spread %27.8012.3152.8931.8952.89
Gamma HHI0.540.420.590.550.59
Net GEX-4.9M-5.7M-3.6M-4.6M-5.7M
Net DEX85.0M62.4M98.4M69.5M90.9M
Net VEX-220.2K-274.3K-169.0K-274.3K-174.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.511.5111.245.511.51
Total Volume4,354.354111,2465,081251
Total OI78,582.776,03281,92680,28276,053

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$23.98$24.0018.2%5.2%18.3%26.2%18.9%2.9%0.4%-4.6M69.5M-274.3K5.5131.89N/AN/A7814,30013,62566,657
2015-11-03$24.29$24.0017.3%4.9%18.4%22.7%15.4%4.9%1.8%-4.8M62.4M-271.2K6.3832.66N/AN/A6804,33913,67966,648
2015-11-04$23.98$24.0018.1%5.2%18.3%25.7%18.5%2.6%0.4%-4.9M66.8M-271.7K5.2430.60N/AN/A6993,66013,68166,654
2015-11-05$23.77$27.0018.7%5.2%17.8%28.3%20.4%5.4%0.5%-4.8M73.1M-267.7K4.6344.63N/AN/A7983,69213,68966,667
2015-11-06$23.52$27.0017.6%5.2%17.7%24.1%21.3%5.1%0.3%-4.8M80.1M-253.5K4.6142.88N/AN/A2311,06513,80066,644
2015-11-09$23.41$27.0024.0%6.1%17.6%48.5%19.0%5.5%-1.1%-4.9M84.5M-246.6K5.4624.78N/AN/A8043713,98867,326
2015-11-10$23.32$27.0022.1%6.1%17.6%41.0%19.8%5.7%-1.0%-4.9M87.2M-240.3K3.6119.78N/AN/A8202,96414,02667,581
2015-11-11$23.38$27.0021.8%6.2%17.1%40.0%20.0%8.6%-1.2%-5.2M86.4M-243.2K3.4913.56N/AN/A8202,85814,23767,689
2015-11-12$22.79$27.0020.7%5.9%18.8%32.6%21.1%6.7%0.1%-4.3M98.4M-208.5K8.6612.31N/AN/A1,16410,08214,27467,215
2015-11-13$22.60$27.0022.0%6.3%18.8%37.7%31.6%5.7%-0.2%-3.6M95.1M-203.8K5.4615.06N/AN/A1,0725,85414,34162,726
2015-11-16$23.03$27.0020.1%5.8%20.0%30.2%19.5%5.3%-0.5%-4.4M93.6M-192.4K2.1623.51N/AN/A14731814,36662,756
2015-11-17$23.02$27.0019.6%5.6%19.7%28.0%29.0%3.7%0.6%-4.2M88.6M-207.5K5.4227.31N/AN/A1,0865,89014,48362,730
2015-11-18$23.22$27.0019.6%5.6%18.9%28.2%18.1%6.0%0.1%-4.8M88.7M-205.3K5.4333.97N/AN/A1,0855,89114,49162,777
2015-11-19$23.39$27.0019.3%5.5%18.1%26.9%19.2%5.1%2.0%-5.4M85.4M-210.1K5.9840.27N/AN/A9805,85914,49362,782
2015-11-20$23.24$26.0018.9%5.4%18.2%25.1%20.5%5.2%1.2%-5.2M85.7M-206.4K6.7234.51N/AN/A8525,72414,59262,796
2015-11-23$23.07$26.0018.5%5.3%18.0%23.6%18.6%5.9%0.5%-5.0M90.8M-184.8K2.5016.18N/AN/A389514,12561,944
2015-11-24$23.27$26.0019.0%5.5%17.9%24.3%11.2%6.4%-0.3%-5.4M89.1M-189.1K4.8618.51N/AN/A73414,14861,895
2015-11-25$23.27$26.0018.3%5.2%16.5%21.1%22.4%6.0%0.3%-5.6M89.7M-185.6K11.2419.19N/AN/A5085,70914,13661,908
2015-11-27$23.11$26.0018.0%5.2%16.6%19.9%24.2%5.2%0.3%-4.9M94.3M-169.0K11.2421.49N/AN/A5085,70914,13661,896
2015-11-30$23.27$26.0018.1%5.2%16.3%20.3%14.1%7.2%0.3%-5.7M90.9M-174.2K1.5152.89N/AN/A10015114,13661,917