EWZ Options History — April 2007

In April 2007, EWZ traded between $446.22 and $487.80. ATM implied volatility averaged 27.2%. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.3% (HV 20d: 23.9%). Max pain ranged from $405.00 to $450.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 4.92.

Notable Days

  • 2007-04-11: Highest Volume — 3,366 contracts
  • 2007-04-09: Largest IV spike — 16.0% change
  • 2007-04-10: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$471.83$446.22$487.80$446.22$473.04
Max Pain$447.75$405.00$450.00$450.00$450.00
ATM IV27.2%25.1%30.8%28.2%27.3%
Expected Move7.8%7.2%8.8%8.1%7.8%
HV 20d23.9%17.2%35.9%35.9%18.7%
HV 60d33.9%33.2%35.2%35.2%33.4%
Term Structure1.2%-1.7%3.6%1.6%2.6%
VWIV30.4%25.5%37.4%28.6%37.4%
Skew 25d10.1%6.4%14.3%14.3%10.8%
Skew 10d19.0%13.1%28.4%24.9%22.1%
Call IV 25d23.8%17.6%27.2%22.6%27.2%
Put IV 25d33.9%29.1%38.0%36.9%38.0%
Bid-Ask Spread %43.6910.9872.4623.2862.20
Gamma HHI0.320.300.370.330.34
Net GEX212.6K-1.8M2.8M975.8K-1.8M
Net DEX-282.5M-357.9M-159.3M-159.3M-242.8M
Net VEX-1.5M-1.7M-1.4M-1.5M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.920.0721.861.810.07
Total Volume1,154.751353,3661,9481,404
Total OI31,318.625,89533,99625,89532,575

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$446.22$450.0028.2%8.1%35.9%0.0%28.6%14.3%1.6%975.8K-159.3M-1.5M1.8123.28N/AN/A6931,25511,44814,447
2007-04-03$455.94$450.0025.9%7.4%29.6%0.0%25.8%10.3%2.7%1.4M-228.9M-1.5M2.0246.84N/AN/A26252812,10015,539
2007-04-04$458.19$450.0025.1%7.2%29.0%0.0%27.5%11.4%3.6%2.8M-258.8M-1.6M21.8624.18N/AN/A781,70312,29916,023
2007-04-05$461.25$450.0025.6%7.3%28.6%0.0%25.5%13.5%3.1%1.5M-246.2M-1.6M13.5119.20N/AN/A6182012,32916,777
2007-04-09$463.50$405.0029.6%8.6%28.3%0.0%30.1%9.6%0.1%1.3M-269.9M-1.5M1.7844.52N/AN/A8601,53112,30017,238
2007-04-10$465.66$450.0029.6%8.8%28.3%0.0%30.3%9.3%-1.7%1.5M-281.3M-1.6M5.9756.59N/AN/A1791,06613,08118,578
2007-04-11$460.17$450.0030.8%8.7%23.9%0.0%30.8%8.8%-1.0%-1.5M-222.9M-1.7M0.3148.62N/AN/A2,56580113,03919,491
2007-04-12$464.49$450.0030.1%8.6%23.5%0.0%29.9%8.8%0.0%695.3K-268.7M-1.7M0.0954.87N/AN/A8137213,80519,539
2007-04-13$475.20$450.0025.4%7.3%24.2%0.0%29.3%8.0%1.0%-1.1M-281.1M-1.6M2.7439.69N/AN/A23764912,39019,706
2007-04-16$481.68$450.0025.7%7.4%23.2%0.0%27.2%7.8%1.4%495.1K-340.9M-1.4M0.4837.61N/AN/A934412,55120,043
2007-04-17$479.25$450.0026.1%7.5%23.2%0.0%29.7%7.3%0.9%1.4M-342.5M-1.4M3.8943.84N/AN/A25599212,60719,648
2007-04-18$477.72$450.0026.1%7.5%22.9%0.0%26.7%7.7%1.9%-1.7M-281.4M-1.6M5.2657.75N/AN/A11259012,63820,531
2007-04-19$477.18$450.0026.2%7.5%19.8%0.0%30.6%6.4%0.8%-281.8K-316.1M-1.5M21.7138.04N/AN/A4392912,70120,812
2007-04-20$486.27$450.0026.2%7.5%20.1%0.0%33.5%8.0%1.1%-54.2K-352.3M-1.4M3.2636.54N/AN/A10534312,56921,427
2007-04-23$480.15$450.0027.4%7.9%21.1%0.0%36.0%12.8%0.2%-730.9K-295.4M-1.5M4.7410.98N/AN/A7033011,86819,198
2007-04-24$479.43$450.0027.4%7.9%21.2%0.0%34.4%11.8%0.4%-646.8K-282.3M-1.5M3.1371.68N/AN/A5991,87211,90818,835
2007-04-25$487.80$450.0028.2%8.1%20.5%0.0%32.1%13.4%0.5%352.3K-357.9M-1.4M0.1648.64N/AN/A4296712,33919,621
2007-04-26$482.13$450.0026.6%7.6%19.9%0.0%27.6%10.3%1.6%264.3K-326.3M-1.5M0.2672.46N/AN/A1072812,71319,513
2007-04-27$481.41$450.0026.6%7.6%17.2%0.0%34.3%12.0%2.4%-607.4K-294.8M-1.6M5.4136.30N/AN/A8043012,64019,506
2007-04-30$473.04$450.0027.3%7.8%18.7%0.0%37.4%10.8%2.6%-1.8M-242.8M-1.6M0.0762.20N/AN/A1,3139112,67819,897