EWC Options History — February 2016

In February 2016, EWC traded between $19.80 and $21.67. ATM implied volatility averaged 28.3%, placing in the 67.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 5.8% (HV 20d: 34.1%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 5.55.

Notable Days

  • 2016-02-01: Highest Volume — 7,368 contracts
  • 2016-02-09: Largest IV spike — 23.4% change
  • 2016-02-09: Highest IV Rank — 100.0%
  • 2016-02-11: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.95$19.80$21.67$20.84$21.67
Max Pain$24.25$20.00$25.00$20.00$25.00
ATM IV28.3%21.8%38.1%23.6%22.3%
Expected Move8.0%6.3%10.1%6.8%6.4%
HV 20d34.1%29.3%36.9%33.4%29.3%
HV 60d27.8%25.3%29.1%25.3%28.9%
IV Rank67.9%46.3%100.0%53.1%47.8%
IV Percentile86.8%67.1%100.0%77.8%69.0%
Term Structure-0.9%-5.0%3.8%2.2%0.1%
VWIV28.2%23.1%36.2%24.9%25.9%
Skew 25d7.2%2.1%15.6%7.0%2.1%
Skew 10d15.5%6.5%31.7%14.8%6.5%
Call IV 25d24.8%19.8%30.8%20.2%25.3%
Put IV 25d32.0%26.8%44.0%27.2%27.4%
Bid-Ask Spread %89.2355.91101.8968.9699.40
Gamma HHI0.300.270.350.290.31
Net GEX-611.0K-711.4K-492.8K-711.4K-565.4K
Net DEX40.5M36.9M44.4M43.7M37.3M
Net VEX-123.0K-150.4K-103.4K-133.9K-115.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.550.5413.6813.680.68
Total Volume3,539.651,0067,3687,3681,652
Total OI40,724.5539,18442,85841,37640,177

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$20.84$20.0023.6%6.8%33.4%53.1%24.9%7.0%2.2%-711.4K43.7M-133.9K13.6868.96N/AN/A5026,86610,34631,030
2016-02-02$20.27$20.0028.1%8.1%34.4%68.5%26.6%7.7%-0.3%-684.8K44.4M-127.6K9.2755.91N/AN/A6055,60610,39131,094
2016-02-03$20.92$20.0028.1%8.1%36.5%68.3%24.6%5.1%-0.9%-657.1K43.9M-134.2K10.4665.41N/AN/A5535,78410,45531,132
2016-02-04$21.26$25.0026.5%8.1%35.9%62.8%28.6%8.8%-2.4%-674.0K42.1M-150.4K12.4287.81N/AN/A4665,78710,48431,322
2016-02-05$20.97$25.0029.4%7.9%35.2%72.9%28.1%6.9%-2.2%-666.6K41.6M-149.6K13.0091.33N/AN/A4425,74810,51831,464
2016-02-08$20.59$25.0030.9%8.3%35.9%77.6%30.9%10.2%-2.7%-662.7K42.6M-142.5K13.1787.99N/AN/A4325,68910,53231,456
2016-02-09$20.21$25.0038.1%9.8%36.2%100.0%31.3%8.8%-3.7%-654.1K43.0M-140.9K3.8088.99N/AN/A1,4765,60410,53731,460
2016-02-10$19.98$25.0032.4%9.3%36.5%81.2%31.6%8.9%-1.4%-591.9K43.1M-133.9K6.1089.94N/AN/A4983,03611,39331,465
2016-02-11$19.80$25.0035.2%10.1%35.6%90.4%36.2%9.4%-5.0%-545.7K42.5M-103.6K6.3090.21N/AN/A4953,12011,41628,973
2016-02-12$20.41$25.0034.0%9.7%36.9%86.5%31.8%15.6%-3.4%-501.3K41.2M-109.2K5.7991.05N/AN/A5213,01911,40428,977
2016-02-16$20.70$25.0031.1%8.9%34.5%77.0%30.0%7.8%-3.3%-515.6K40.4M-108.6K5.8592.77N/AN/A5163,02111,44428,961
2016-02-17$21.54$25.0029.9%8.6%36.6%72.9%28.0%10.5%-0.7%-494.6K37.3M-121.2K1.0097.61N/AN/A50450211,48428,987
2016-02-18$21.53$25.0023.2%6.6%35.9%50.8%27.8%6.3%3.8%-492.8K36.9M-118.4K1.2797.08N/AN/A50564011,53828,992
2016-02-19$21.30$25.0026.4%7.6%35.1%61.2%28.0%4.0%0.1%-639.4K37.4M-117.7K1.4694.82N/AN/A46267411,54529,088
2016-02-22$21.47$25.0025.4%7.3%33.0%58.1%26.8%4.1%2.7%-629.4K37.6M-117.4K1.6694.49N/AN/A40567410,71428,470
2016-02-23$21.16$25.0026.4%7.6%31.5%61.5%26.7%5.5%-1.3%-651.0K38.7M-112.1K1.5797.13N/AN/A40563510,74528,552
2016-02-24$21.23$25.0028.1%8.0%30.1%66.8%28.1%6.5%-0.1%-616.2K40.3M-103.4K1.46101.89N/AN/A41961310,76128,496
2016-02-25$21.48$25.0024.3%7.0%30.3%54.5%25.1%7.0%1.7%-642.6K39.1M-105.0K1.4895.65N/AN/A41361110,78328,552
2016-02-26$21.65$25.0021.8%6.3%29.3%46.3%23.1%2.4%-0.3%-623.2K37.8M-113.7K0.5496.08N/AN/A1,23066310,79828,555
2016-02-29$21.67$25.0022.3%6.4%29.3%47.8%25.9%2.1%0.1%-565.4K37.3M-115.7K0.6899.40N/AN/A98566711,55128,626