EWZ Options History — February 2007 In February 2007, EWZ traded between $405.09 and $443.79. ATM implied volatility averaged 26.6%. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.9% (HV 20d: 24.7%). Max pain ranged from $405.00 to $405.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 11.12.
Notable Days 2007-02-13 : Highest Volume — 2,772 contracts2007-02-27 : Largest IV spike — 55.6% change2007-02-27 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $433.17 $405.09 $443.79 $431.91 $412.38 Max Pain $405.00 $405.00 $405.00 $405.00 $405.00 ATM IV 26.6% 18.3% 39.2% 18.3% 37.6% Expected Move 7.8% 5.3% 11.2% 5.3% 10.8% HV 20d 24.7% 19.9% 37.9% 28.0% 37.9% Term Structure 0.5% -3.0% 2.7% 2.7% -3.0% VWIV 30.0% 22.7% 39.3% 32.0% 36.3% Skew 25d 8.1% 4.5% 10.3% 6.6% 6.0% Skew 10d 14.8% 1.6% 21.0% 17.1% 10.2% Call IV 25d 24.4% 20.4% 38.5% 22.9% 34.4% Put IV 25d 32.5% 29.0% 43.0% 29.5% 40.4% Bid-Ask Spread % 66.07 51.90 86.13 52.38 62.33 Gamma HHI 0.40 0.32 0.51 0.38 0.33 Net GEX -1.3M -4.4M 924.0K -1.5M -1.2M Net DEX -58.7M -112.6M 55.1M -61.8M 38.4M Net VEX -825.9K -1.2M -509.0K -563.6K -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 11.12 0.05 116.13 1.42 1.68 Total Volume 1,136.421 76 2,772 195 2,476 Total OI 15,543.842 11,419 21,233 11,419 21,233
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-02-01 $431.91 $405.00 18.3% 5.3% 28.0% 0.0% 32.0% 6.6% 2.7% -1.5M -61.8M -563.6K 1.42 52.38 N/A N/A 80 115 4,195 7,224 2007-02-02 $432.36 $405.00 23.0% 7.2% 27.5% 0.0% 31.9% 10.3% 0.4% -1.7M -59.5M -572.5K 8.61 64.21 N/A N/A 14 122 4,188 7,301 2007-02-05 $436.95 $405.00 23.8% 7.1% 23.6% 0.0% 27.8% 10.2% 0.8% -1.1M -76.7M -514.9K 0.24 74.75 N/A N/A 61 15 4,189 7,364 2007-02-06 $438.03 $405.00 22.7% 7.3% 23.3% 0.0% 22.7% 9.3% 0.5% -1.0M -80.1M -509.0K 52.53 73.31 N/A N/A 37 1,961 4,218 7,344 2007-02-07 $430.92 $405.00 21.4% 7.5% 21.9% 0.0% 31.5% 5.7% 0.6% -3.2M -33.0M -689.9K 2.32 51.90 N/A N/A 26 60 4,241 8,856 2007-02-08 $432.63 $405.00 27.0% 7.8% 21.9% 0.0% 33.2% 9.1% 0.6% -3.0M -34.8M -678.9K 5.08 63.31 N/A N/A 139 708 4,255 8,892 2007-02-09 $426.06 $405.00 32.0% 9.2% 22.9% 0.0% 32.1% 7.9% -2.5% -4.4M -13.1M -750.4K 0.05 67.36 N/A N/A 1,739 82 4,332 9,591 2007-02-12 $420.48 $405.00 31.9% 9.2% 22.8% 0.0% 31.7% 8.6% -1.7% -4.3M -27.6M -849.0K 3.88 66.21 N/A N/A 92 356 5,735 9,606 2007-02-13 $433.62 $405.00 25.8% 7.4% 24.4% 0.0% 31.2% 8.9% 1.3% -1.6M -69.4M -817.5K 116.13 62.35 N/A N/A 24 2,748 5,733 9,824 2007-02-14 $437.13 $405.00 25.1% 7.2% 24.5% 0.0% 25.4% 4.7% 1.1% -1.7M -86.2M -820.4K 0.47 68.45 N/A N/A 297 141 5,737 10,417 2007-02-15 $440.37 $405.00 25.5% 7.3% 24.2% 0.0% 25.7% 9.8% 1.9% -668.2K -86.9M -822.1K 0.53 65.94 N/A N/A 763 407 5,882 10,548 2007-02-16 $441.09 $405.00 25.4% 7.3% 23.1% 0.0% 27.3% 9.1% 1.9% -245.3K -90.2M -870.4K 0.56 67.54 N/A N/A 857 481 6,362 10,899 2007-02-20 $441.18 $405.00 26.2% 7.5% 23.1% 0.0% 32.5% 9.8% 1.4% 526.9K -90.7M -914.7K 0.64 69.98 N/A N/A 275 175 6,486 9,573 2007-02-21 $441.99 $405.00 25.6% 7.3% 21.5% 0.0% 26.2% 10.3% 1.9% 924.0K -106.7M -933.0K 4.01 64.90 N/A N/A 353 1,416 6,705 9,992 2007-02-22 $443.79 $405.00 25.4% 7.3% 21.4% 0.0% 27.1% 8.4% 2.0% 598.9K -112.6M -966.0K 10.44 64.46 N/A N/A 126 1,315 6,869 11,065 2007-02-23 $441.18 $405.00 24.5% 7.0% 20.0% 0.0% 27.9% 7.6% 0.9% -606.6K -79.1M -1.0M 0.86 68.51 N/A N/A 341 293 6,939 10,979 2007-02-26 $443.16 $405.00 25.2% 7.2% 19.9% 0.0% 27.5% 7.6% 0.4% 16.1K -99.8M -984.0K 0.05 61.34 N/A N/A 2,241 119 7,245 10,945 2007-02-27 $405.09 $405.00 39.2% 11.2% 37.6% 0.0% 39.3% 4.5% -2.8% -637.6K 55.1M -1.2M 1.84 86.13 N/A N/A 400 737 9,305 11,064 2007-02-28 $412.38 $405.00 37.6% 10.8% 37.9% 0.0% 36.3% 6.0% -3.0% -1.2M 38.4M -1.2M 1.68 62.33 N/A N/A 924 1,552 9,453 11,780
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