EWC Options History — March 2016

In March 2016, EWC traded between $22.13 and $24.05. ATM implied volatility averaged 19.4%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 4.0% (HV 20d: 23.4%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.44.

Notable Days

  • 2016-03-18: Highest Volume — 2,824 contracts
  • 2016-03-07: Largest IV spike — 39.2% change
  • 2016-03-07: Highest IV Rank — 61.1%
  • 2016-03-11: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.17$22.13$24.05$22.13$23.76
Max Pain$22.55$22.00$25.00$25.00$23.00
ATM IV19.4%15.1%26.3%21.5%15.1%
Expected Move5.4%4.3%6.2%6.2%4.3%
HV 20d23.4%20.3%29.7%29.7%22.5%
HV 60d28.7%28.4%29.2%29.2%28.4%
IV Rank38.1%24.2%61.1%45.3%24.2%
IV Percentile42.9%4.4%82.9%64.3%4.4%
Term Structure2.0%-0.2%8.5%-0.2%2.6%
VWIV21.0%17.4%27.9%22.1%20.0%
Skew 25d5.3%1.0%11.2%11.2%4.6%
Skew 10d12.3%4.4%24.9%19.5%4.6%
Call IV 25d16.9%14.0%19.9%14.7%14.4%
Put IV 25d22.2%19.0%25.8%25.8%19.0%
Bid-Ask Spread %46.7714.90100.53100.5327.38
Gamma HHI0.430.320.560.340.56
Net GEX-611.1K-1.1M-500.7K-532.8K-602.3K
Net DEX27.2M15.3M36.2M36.2M15.4M
Net VEX-129.6K-141.2K-117.1K-117.1K-135.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.525.210.565.21
Total Volume1,777.51,0112,8241,7751,795
Total OI33,863.22719,22544,53540,23720,037

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$22.13$25.0021.5%6.2%29.7%45.3%22.1%11.2%-0.2%-532.8K36.2M-117.1K0.56100.53N/AN/A1,14063511,61528,622
2016-03-02$22.15$25.0020.8%6.0%27.5%42.8%20.7%8.4%1.6%-500.7K35.5M-118.2K0.5630.64N/AN/A1,22368211,77428,632
2016-03-03$22.37$22.0021.4%5.9%25.7%45.0%21.8%9.2%2.3%-503.1K35.2M-119.8K0.8477.81N/AN/A1,10393011,96328,744
2016-03-04$22.64$22.0018.9%5.2%25.4%36.7%19.6%5.0%2.2%-540.5K34.1M-123.4K0.5257.70N/AN/A1,23464111,96829,043
2016-03-07$23.02$22.0026.3%5.6%25.0%61.1%19.0%5.4%1.5%-559.7K34.5M-120.4K0.6252.64N/AN/A1,18773911,91229,092
2016-03-08$22.66$22.0020.1%6.0%24.7%40.6%23.3%4.7%1.7%-522.8K33.2M-123.5K1.3077.63N/AN/A63682911,92829,123
2016-03-09$23.11$22.0020.2%5.8%23.6%40.9%18.3%4.9%1.9%-556.0K33.3M-124.4K1.2158.38N/AN/A67381611,91929,222
2016-03-10$22.90$22.0020.8%6.0%23.4%42.9%25.3%7.2%1.1%-534.4K32.3M-131.1K1.4955.34N/AN/A1,0661,58412,44129,283
2016-03-11$23.39$22.0021.7%6.2%23.2%45.9%23.7%5.2%0.4%-564.6K31.6M-135.7K1.8346.92N/AN/A43779912,43629,774
2016-03-14$23.27$22.0020.6%5.9%22.1%42.4%26.6%5.7%1.1%-598.4K32.3M-132.3K4.5514.90N/AN/A4662,11812,44929,927
2016-03-15$22.96$22.0020.0%5.7%23.0%40.3%25.3%5.0%0.7%-1.1M35.2M-132.3K3.9223.82N/AN/A5392,11112,22731,156
2016-03-16$23.50$22.0017.5%5.0%20.3%32.1%27.9%7.0%8.5%-1.0M33.9M-133.9K4.2398.12N/AN/A5012,11812,30632,159
2016-03-17$24.05$22.0020.1%5.7%21.2%40.4%19.4%4.3%0.1%-747.9K29.9M-140.8K4.7531.18N/AN/A4362,07112,36632,162
2016-03-18$23.71$22.0018.6%5.3%21.6%35.4%18.4%1.5%1.0%-563.7K30.2M-141.2K3.3648.46N/AN/A6482,17612,41132,124
2016-03-21$23.71$22.0016.3%4.7%21.7%28.1%18.6%4.9%2.5%-554.5K15.8M-135.1K2.2452.06N/AN/A3126992,69216,533
2016-03-22$23.71$22.0016.5%4.7%20.5%28.6%18.5%5.0%3.0%-548.6K15.6M-135.8K2.1424.23N/AN/A3327122,73716,573
2016-03-23$23.20$23.0020.4%5.8%22.7%41.6%19.1%6.5%0.7%-553.0K16.3M-132.8K2.1235.76N/AN/A3397172,79616,633
2016-03-24$23.07$23.0016.8%4.8%22.8%29.7%18.4%1.0%2.8%-598.6K18.2M-128.4K2.6020.38N/AN/A2907542,79316,684
2016-03-28$23.25$23.0018.4%5.3%22.8%34.8%20.4%2.4%2.7%-587.7K17.3M-129.7K2.6333.07N/AN/A2907642,79316,735
2016-03-29$23.47$23.0017.5%5.0%22.9%32.1%19.0%3.8%4.2%-598.9K17.6M-126.1K2.9035.64N/AN/A2858272,79316,742
2016-03-30$23.82$23.0016.0%4.6%22.4%27.1%17.4%4.1%1.5%-567.6K15.3M-134.0K4.0926.35N/AN/A2851,1662,79716,875
2016-03-31$23.76$23.0015.1%4.3%22.5%24.2%20.0%4.6%2.6%-602.3K15.4M-135.2K5.2127.38N/AN/A2891,5062,79717,240