EWC Options History — December 2016

In December 2016, EWC traded between $26.05 and $27.22. ATM implied volatility averaged 13.8%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.6% (HV 20d: 12.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 9.86.

Notable Days

  • 2016-12-16: Highest Volume — 48,219 contracts
  • 2016-12-21: Largest IV spike — 49.1% change
  • 2016-12-13: Highest IV Rank — 21.8%
  • 2016-12-01: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.45$26.05$27.22$26.12$26.11
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV13.8%8.6%18.5%16.8%13.6%
Expected Move3.8%2.5%4.8%4.8%3.9%
HV 20d12.2%9.6%13.3%13.3%12.1%
HV 60d13.1%11.7%15.2%15.2%11.7%
IV Rank10.6%0.0%21.8%16.9%13.1%
IV Percentile16.0%0.0%46.0%32.9%14.3%
Term Structure2.1%-1.4%7.5%-1.4%3.1%
VWIV13.5%8.2%16.7%16.7%14.0%
Skew 25d5.5%-1.3%15.9%4.8%6.6%
Skew 10d10.4%0.8%40.9%5.3%9.3%
Call IV 25d10.6%7.8%15.0%11.0%10.2%
Put IV 25d16.1%9.8%26.3%15.8%16.8%
Bid-Ask Spread %65.6017.82101.1363.8289.56
Gamma HHI0.490.300.920.560.30
Net GEX1.4M-1.8M6.7M1.3M733.3K
Net DEX-18.0M-41.8M-7.3M-12.0M-11.8M
Net VEX-132.7K-167.4K-80.3K-139.6K-157.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.860.0322.6511.320.03
Total Volume23,41419,41448,21924,06719,956
Total OI96,190.95242,950136,418135,76643,081

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$26.12$25.0016.8%4.8%13.3%16.9%16.7%4.8%-1.4%1.3M-12.0M-139.6K11.3263.82N/AN/A1,95422,11321,276114,490
2016-12-02$26.24$25.0014.6%4.2%13.2%10.9%14.6%2.1%0.4%1.3M-13.6M-126.1K11.2417.82N/AN/A1,96622,10521,274114,456
2016-12-05$26.33$25.0016.8%4.6%12.8%17.2%16.3%8.6%1.3%1.5M-15.2M-127.7K22.6582.52N/AN/A97622,10521,289114,456
2016-12-06$26.36$25.0012.2%4.2%12.2%4.0%15.3%7.3%2.3%-188.3K-16.1M-115.3K22.6357.96N/AN/A97722,11421,288114,455
2016-12-07$26.66$25.0015.8%3.4%12.5%14.3%16.1%11.3%7.5%2.2M-20.8M-131.3K22.4243.50N/AN/A98822,14921,287114,445
2016-12-08$26.86$25.0012.7%4.3%12.6%5.6%15.6%5.0%1.2%2.4M-25.8M-122.9K22.44101.13N/AN/A98822,16921,353114,480
2016-12-09$26.93$25.0013.0%3.6%12.2%6.4%13.3%7.2%3.2%3.9M-29.8M-112.1K18.0288.00N/AN/A1,23022,16921,375114,500
2016-12-12$26.98$25.0015.2%3.7%9.6%12.5%13.9%6.8%3.4%4.7M-33.5M-104.5K18.0240.83N/AN/A1,23022,17021,594114,500
2016-12-13$27.22$25.0018.5%3.7%9.7%21.8%12.9%15.9%3.9%6.7M-41.8M-80.3K19.1151.11N/AN/A1,17322,41121,594114,500
2016-12-14$26.62$25.0014.3%4.1%12.4%10.0%16.1%-1.3%-0.1%1.8M-24.8M-106.6K19.1185.76N/AN/A1,17322,41721,596114,798
2016-12-15$26.53$25.0012.5%3.6%12.5%5.1%14.5%2.4%0.4%205.4K-20.9M-94.4K18.9361.25N/AN/A1,18422,41621,596114,816
2016-12-16$26.60$25.0012.5%3.6%12.5%5.0%13.1%4.8%2.2%-1.8M-20.6M-93.2K0.8738.25N/AN/A25,80322,41621,601114,817
2016-12-19$26.46$25.0012.5%3.6%12.8%4.8%12.4%3.2%1.6%667.5K-13.2M-163.7K0.0459.09N/AN/A18,60281220,94322,514
2016-12-20$26.62$25.008.6%2.5%11.3%0.0%8.2%10.3%5.9%2.4M-18.4M-140.0K0.0452.45N/AN/A20,17081320,92522,512
2016-12-21$26.29$25.0012.8%3.7%12.3%11.2%11.5%2.4%2.4%579.1K-13.5M-167.4K0.0493.09N/AN/A20,17081320,47122,515
2016-12-22$26.19$25.0012.4%3.5%12.3%10.0%11.1%2.4%1.7%397.9K-9.7M-164.8K0.0451.31N/AN/A20,16373820,47122,479
2016-12-23$26.08$25.0010.2%2.9%12.4%4.3%9.0%1.8%2.2%673.1K-10.6M-158.0K0.0457.47N/AN/A20,16970520,47122,580
2016-12-27$26.07$25.0014.3%4.1%12.4%15.2%12.9%1.0%2.0%403.7K-10.0M-160.6K0.0460.67N/AN/A20,07170520,48122,583
2016-12-28$26.05$25.0014.8%4.2%12.4%16.5%13.3%6.0%1.0%107.7K-7.3M-162.3K0.0381.25N/AN/A20,07163520,48522,583
2016-12-29$26.16$25.0015.4%4.4%12.0%18.2%13.7%7.1%0.6%335.1K-8.5M-158.8K0.03100.84N/AN/A20,07063520,48622,594
2016-12-30$26.11$25.0013.6%3.9%12.1%13.1%14.0%6.6%3.1%733.3K-11.8M-157.0K0.0389.56N/AN/A19,28866820,48722,594