EWZ Options History — March 2007

In March 2007, EWZ traded between $383.40 and $443.88. ATM implied volatility averaged 33.4%. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 12.2% (HV 20d: 45.6%). Max pain ranged from $405.00 to $450.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 11.32.

Notable Days

  • 2007-03-15: Highest Volume — 3,774 contracts
  • 2007-03-21: Largest IV drop — 23.8% change
  • 2007-03-02: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$420.51$383.40$443.88$408.87$442.98
Max Pain$445.91$405.00$450.00$405.00$450.00
ATM IV33.4%24.8%40.6%38.2%29.7%
Expected Move9.3%7.1%11.3%11.0%8.5%
HV 20d45.6%37.5%51.2%37.5%38.2%
HV 60d36.1%35.3%36.9%36.6%35.3%
Term Structure-0.5%-5.4%2.2%-3.3%1.7%
VWIV33.2%27.3%41.3%38.1%30.8%
Skew 25d10.1%3.7%16.2%16.2%14.8%
Skew 10d19.2%1.0%26.4%25.6%26.4%
Call IV 25d27.9%20.8%41.3%27.3%24.6%
Put IV 25d38.0%31.8%45.0%43.4%39.5%
Bid-Ask Spread %59.1451.5776.9376.9362.82
Gamma HHI0.360.330.470.360.33
Net GEX-1.4M-8.0M1.8M-1.8M695.1K
Net DEX-55.3M-157.7M163.7M32.4M-142.5M
Net VEX-1.4M-1.6M-1.2M-1.3M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.320.09111.091.348.04
Total Volume1,041.4551293,774584447
Total OI24,286.86421,53326,85322,28125,530

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$408.87$405.0038.2%11.0%37.5%0.0%38.1%16.2%-3.3%-1.8M32.4M-1.3M1.3476.93N/AN/A25033410,34211,939
2007-03-02$394.56$405.0039.4%11.3%38.7%0.0%41.3%3.7%-5.4%-2.7M92.6M-1.3M2.5368.86N/AN/A16942710,49812,270
2007-03-05$383.40$450.0039.7%10.1%39.5%0.0%36.5%7.0%-0.7%-3.5M163.7M-1.2M0.8658.51N/AN/A1,2931,10510,55612,479
2007-03-06$408.87$450.0038.0%10.1%46.5%0.0%35.2%8.3%-1.5%-1.8M18.4M-1.4M2.2851.57N/AN/A19845211,17912,423
2007-03-07$404.64$450.0036.1%9.5%46.5%0.0%31.6%8.5%0.2%-2.4M40.3M-1.4M1.0754.43N/AN/A1,0431,11411,28512,542
2007-03-08$412.65$450.0034.9%9.4%47.0%0.0%33.0%6.9%-0.5%-1.7M-46.2M-1.5M1.9955.15N/AN/A10621112,28013,580
2007-03-09$419.76$450.0034.1%10.0%47.5%0.0%34.6%9.3%-2.2%-410.7K-102.8M-1.5M1.2254.67N/AN/A46556712,32913,567
2007-03-12$421.38$450.0040.4%10.3%47.2%0.0%30.7%9.8%-2.0%-218.6K-119.6M-1.4M1.2454.75N/AN/A72189612,35613,628
2007-03-13$405.09$450.0037.9%10.5%49.0%0.0%33.3%10.2%-2.4%-3.2M13.7M-1.5M0.9055.80N/AN/A96887512,61813,810
2007-03-14$412.47$450.0040.6%10.1%48.1%0.0%37.9%8.9%-1.4%-4.3M-40.4M-1.4M9.5255.82N/AN/A5653612,12913,889
2007-03-15$413.01$450.0035.1%10.1%48.0%0.0%35.6%9.4%-0.8%-5.4M-50.4M-1.4M111.0954.90N/AN/A343,74012,14713,970
2007-03-16$408.24$450.0034.3%9.8%47.9%0.0%34.0%11.7%-0.8%-8.0M-28.6M-1.4M1.3155.00N/AN/A22529612,15014,703
2007-03-19$416.97$450.0034.2%9.8%48.7%0.0%27.3%9.0%-1.3%-1.5M-34.4M-1.5M0.8661.33N/AN/A103889,79511,738
2007-03-20$425.16$450.0032.6%9.3%49.3%0.0%30.3%8.5%1.3%-784.4K-57.9M-1.5M0.2360.62N/AN/A8572009,85711,799
2007-03-21$441.18$450.0024.8%7.1%51.2%0.0%27.7%10.9%2.2%1.8M-153.6M-1.4M17.1763.59N/AN/A771,33010,64511,961
2007-03-22$438.39$450.0027.5%7.9%51.2%0.0%36.0%12.1%1.0%731.1K-137.3M-1.5M6.6158.59N/AN/A12280910,65312,395
2007-03-23$440.55$450.0027.2%7.8%51.2%0.0%29.5%11.0%1.3%609.6K-140.0M-1.5M0.0962.24N/AN/A8407510,70312,527
2007-03-26$443.07$450.0027.4%7.9%51.2%0.0%28.5%11.9%0.6%1.5M-157.7M-1.5M2.5559.93N/AN/A9424011,46512,552
2007-03-27$436.59$450.0027.5%7.9%39.3%0.0%34.7%10.6%0.2%1.0M-132.6M-1.5M49.7955.54N/AN/A837611,42912,794
2007-03-28$429.48$450.0027.0%7.8%39.6%0.0%29.7%9.0%1.5%-364.4K-77.7M-1.6M25.6357.61N/AN/A3999711,42813,124
2007-03-29$443.88$450.0028.5%8.2%40.8%0.0%34.7%13.7%0.4%1.3M-156.0M-1.6M2.6662.48N/AN/A359411,44913,798
2007-03-30$442.98$450.0029.7%8.5%38.2%0.0%30.8%14.8%1.7%695.1K-142.5M-1.6M8.0462.82N/AN/A4939811,42514,105