EWC Options History — January 2017

In January 2017, EWC traded between $26.26 and $27.59. ATM implied volatility averaged 12.3%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.6% (HV 20d: 13.0%). Max pain ranged from $22.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.33.

Notable Days

  • 2017-01-04: Highest Volume — 20,043 contracts
  • 2017-01-26: Largest IV spike — 55.9% change
  • 2017-01-03: Highest IV Rank — 17.9%
  • 2017-01-03: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.97$26.26$27.59$26.26$27.19
Max Pain$26.55$22.00$27.00$25.00$27.00
ATM IV12.3%8.3%15.3%15.3%13.6%
Expected Move3.7%2.4%4.4%4.4%3.9%
HV 20d13.0%10.6%14.1%12.1%14.1%
HV 60d12.4%11.7%13.2%11.7%13.0%
IV Rank10.1%0.0%17.9%17.9%14.0%
IV Percentile11.2%0.0%29.4%29.4%21.0%
Term Structure1.6%-0.2%7.0%1.7%0.9%
VWIV13.4%10.5%16.0%16.0%13.2%
Skew 25d6.2%2.0%9.9%8.7%2.0%
Skew 10d11.0%2.1%36.0%11.2%2.1%
Call IV 25d9.7%7.3%12.0%10.3%10.8%
Put IV 25d16.0%11.7%20.5%19.0%12.7%
Bid-Ask Spread %67.8629.85106.4896.1246.03
Gamma HHI0.400.300.470.300.44
Net GEX2.5M749.7K3.6M749.7K2.9M
Net DEX-21.3M-28.8M-12.1M-12.1M-22.9M
Net VEX-140.7K-154.7K-122.4K-151.0K-132.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.042.870.041.86
Total Volume6,020.551,05820,04320,0031,639
Total OI40,470.432,26445,46243,10032,764

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$26.26$25.0015.3%4.4%12.1%17.9%16.0%8.7%1.7%749.7K-12.1M-151.0K0.0496.12N/AN/A19,29870520,49222,608
2017-01-04$26.75$25.0012.6%3.6%13.7%10.6%13.2%9.9%7.0%1.6M-17.3M-154.7K0.04101.83N/AN/A19,34869520,50022,609
2017-01-05$26.96$22.0010.8%4.1%14.0%5.9%14.0%9.3%-0.2%2.6M-21.1M-139.5K0.1895.42N/AN/A10,4451,86620,51022,624
2017-01-06$26.88$27.0011.6%4.2%13.5%7.9%14.6%9.2%0.3%2.3M-19.9M-148.7K0.1165.04N/AN/A10,3961,15220,71923,878
2017-01-09$26.69$27.0012.8%4.0%13.5%11.2%13.8%7.8%1.0%1.9M-17.9M-148.6K0.1438.09N/AN/A10,3451,45320,71924,048
2017-01-10$26.78$27.009.2%3.8%13.5%1.5%16.0%8.4%0.5%2.4M-19.3M-153.6K0.13106.48N/AN/A10,3191,39220,71924,587
2017-01-11$26.98$27.0013.1%3.8%13.8%12.0%13.1%5.3%2.0%2.3M-20.2M-146.4K0.1336.76N/AN/A10,2951,35720,72724,594
2017-01-12$27.00$27.0014.0%4.0%13.4%14.4%14.0%6.8%1.1%2.5M-21.6M-153.2K1.0276.02N/AN/A1,2561,28220,72724,601
2017-01-13$27.15$27.0013.9%4.0%10.7%14.2%13.2%7.2%0.0%2.8M-23.6M-144.5K1.0277.28N/AN/A1,2521,28320,75224,625
2017-01-17$27.16$27.0013.0%3.7%10.6%11.7%13.2%8.3%1.7%2.7M-23.9M-146.1K2.8729.85N/AN/A4621,32420,77624,642
2017-01-18$26.66$27.0011.3%3.2%12.7%7.2%13.4%5.0%2.8%2.6M-21.0M-144.2K2.2889.60N/AN/A5851,33320,78124,625
2017-01-19$26.60$27.0012.9%3.7%12.6%11.4%14.0%5.1%1.2%2.3M-16.8M-136.2K2.2360.65N/AN/A5851,30320,79624,656
2017-01-20$26.81$27.0012.8%3.7%12.7%11.2%13.4%3.9%0.4%2.6M-18.8M-137.8K2.21101.84N/AN/A6051,33720,79624,666
2017-01-23$26.86$27.0012.7%3.6%11.7%10.8%13.9%7.4%0.6%2.6M-18.7M-136.3K1.9836.66N/AN/A35570320,07012,194
2017-01-24$27.33$27.0011.4%3.3%12.9%7.4%10.5%5.4%2.1%3.6M-25.9M-122.4K1.8758.97N/AN/A41176820,07512,204
2017-01-25$27.59$27.008.3%2.4%12.9%0.0%10.5%3.9%3.2%3.3M-28.8M-124.1K2.4240.28N/AN/A36588320,14212,346
2017-01-26$27.44$27.0012.9%3.7%13.2%12.2%11.9%4.4%1.5%2.9M-27.5M-132.2K2.1969.47N/AN/A36579920,15612,454
2017-01-27$27.26$27.0011.3%3.2%13.6%8.0%12.5%4.3%3.4%2.9M-26.3M-130.8K2.1452.77N/AN/A37379920,15612,451
2017-01-30$27.03$27.0013.0%3.7%14.1%12.5%13.6%2.7%0.7%2.9M-22.7M-130.6K1.6578.10N/AN/A48279620,16812,451
2017-01-31$27.19$27.0013.6%3.9%14.1%14.0%13.2%2.0%0.9%2.9M-22.9M-132.1K1.8646.03N/AN/A5741,06520,31812,446