EWZ Options History — January 2007

In January 2007, EWZ traded between $395.55 and $427.68. ATM implied volatility averaged 29.4%. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 0.8% (HV 20d: 28.6%). Max pain ranged from $405.00 to $405.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 6.09.

Notable Days

  • 2007-01-19: Highest Volume — 2,250 contracts
  • 2007-01-25: Largest IV spike — 26.4% change
  • 2007-01-29: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$411.78$395.55$427.68$420.30$425.25
Max Pain$405.00$405.00$405.00$405.00$405.00
ATM IV29.4%24.6%31.8%27.9%27.0%
Expected Move8.5%7.1%9.1%8.0%7.7%
HV 20d28.6%28.2%29.1%29.1%28.2%
Term Structure0.6%-1.9%5.3%0.8%5.3%
VWIV29.4%18.4%37.4%27.8%27.9%
Skew 25d7.4%3.8%15.2%10.1%4.9%
Skew 10d10.7%2.9%20.8%12.8%14.7%
Call IV 25d25.0%17.7%29.6%17.7%22.3%
Put IV 25d32.4%27.2%35.9%27.8%27.3%
Bid-Ask Spread %62.1849.1286.6360.0153.99
Gamma HHI0.430.330.630.410.40
Net GEX-2.3M-5.8M-740.8K-740.8K-2.2M
Net DEX-11.9M-48.1M38.2M-46.3M-48.1M
Net VEX-531.3K-649.5K-394.5K-394.5K-591.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.090.1148.413.193.18
Total Volume593.95342,25036134
Total OI9,502.657,15511,4327,15511,416

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$420.30$405.0027.9%8.0%0.0%0.0%27.8%10.1%0.8%-740.8K-46.3M-394.5K3.1960.01N/AN/A862753,3973,758
2007-01-04$414.90$405.0027.6%7.9%0.0%0.0%27.6%6.5%0.8%-1.1M-30.5M-408.9K0.6986.63N/AN/A113773,4283,788
2007-01-05$400.23$405.0027.5%8.7%0.0%0.0%30.2%6.5%-1.5%-1.6M5.0M-415.8K5.8073.09N/AN/A1387993,5293,802
2007-01-08$405.90$405.0028.2%8.4%0.0%0.0%28.9%6.8%0.5%-1.5M-11.4M-425.5K1.4465.91N/AN/A37543,6293,998
2007-01-09$395.55$405.0028.7%8.2%0.0%0.0%29.1%13.5%0.7%-1.3M9.8M-409.7K1.2570.45N/AN/A2062583,6533,930
2007-01-10$398.43$405.0030.8%9.0%0.0%0.0%32.1%6.4%-0.0%-1.4M6.1M-423.0K4.4666.46N/AN/A3061,3673,8154,179
2007-01-11$402.03$405.0029.8%8.5%0.0%0.0%36.2%7.5%0.8%-2.2M12.8M-552.3K0.1556.47N/AN/A130203,8915,350
2007-01-12$409.50$405.0029.3%8.4%0.0%0.0%29.3%7.7%1.0%-2.2M-12.4M-557.3K20.5560.06N/AN/A132674,0095,333
2007-01-16$404.55$405.0030.4%8.7%0.0%0.0%30.4%3.8%0.4%-4.6M15.4M-534.2K0.6763.96N/AN/A97654,0105,501
2007-01-17$404.82$405.0030.4%8.7%0.0%0.0%37.4%5.2%-0.2%-5.1M10.0M-532.8K16.7556.80N/AN/A1031,7234,0825,596
2007-01-18$402.21$405.0030.2%8.7%0.0%0.0%18.4%12.6%0.3%-5.8M38.2M-560.5K48.4170.07N/AN/A178234,0676,403
2007-01-19$411.93$405.0030.4%8.7%0.0%0.0%30.7%6.6%0.5%-1.6M-23.3M-589.1K0.1149.12N/AN/A2,0332174,0626,820
2007-01-22$413.37$405.0030.8%8.8%0.0%0.0%21.1%15.2%0.6%-1.7M-6.4M-607.6K0.5564.87N/AN/A36203,8206,077
2007-01-23$424.35$405.0031.1%8.9%0.0%0.0%30.1%5.8%0.7%-1.0M-37.3M-585.8K6.1857.79N/AN/A1448903,8386,089
2007-01-24$427.68$405.0024.6%7.1%0.0%0.0%30.0%6.5%1.5%-1.4M-45.5M-573.3K1.3758.13N/AN/A39543,8376,765
2007-01-25$419.31$405.0031.1%8.9%29.1%0.0%30.1%7.5%0.0%-2.2M-16.7M-605.2K2.3155.68N/AN/A34793,8586,778
2007-01-26$423.00$405.0030.4%8.7%28.4%0.0%30.1%4.7%0.3%-1.9M-31.7M-587.5K2.0363.44N/AN/A3998093,8716,827
2007-01-29$413.55$405.0031.8%9.1%28.8%0.0%31.7%6.6%-1.9%-3.1M-4.3M-649.5K1.4659.92N/AN/A32474,2307,202
2007-01-30$418.68$405.0029.4%8.4%28.4%0.0%29.3%4.5%0.6%-2.9M-21.6M-622.3K1.2450.74N/AN/A17214,1917,224
2007-01-31$425.25$405.0027.0%7.7%28.2%0.0%27.9%4.9%5.3%-2.2M-48.1M-591.4K3.1853.99N/AN/A8264,1997,217