EWZ Options History — May 2007

In May 2007, EWZ traded between $472.50 and $533.61. ATM implied volatility averaged 29.8%. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 6.5% (HV 20d: 23.3%). Max pain ranged from $450.00 to $450.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 4.01.

Notable Days

  • 2007-05-15: Highest Volume — 3,407 contracts
  • 2007-05-02: Largest IV drop — 28.2% change
  • 2007-05-01: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$508.42$472.50$533.61$472.50$533.61
Max Pain$450.00$450.00$450.00$450.00$450.00
ATM IV29.8%26.0%38.4%38.4%29.1%
Expected Move8.7%7.9%11.0%11.0%8.3%
HV 20d23.3%18.6%29.0%18.7%27.6%
HV 60d32.4%25.3%34.5%33.4%25.3%
Term Structure1.2%-3.5%3.2%-3.5%0.6%
VWIV33.6%28.5%38.6%31.1%33.1%
Skew 25d9.9%6.3%13.6%11.6%13.6%
Skew 10d21.7%13.0%27.6%20.1%27.6%
Call IV 25d26.2%22.1%31.0%26.9%22.1%
Put IV 25d36.2%32.6%40.1%38.5%35.7%
Bid-Ask Spread %32.9111.2170.4769.5214.11
Gamma HHI0.320.260.440.280.36
Net GEX-994.3K-5.2M1.9M-196.9K-5.1M
Net DEX-467.1M-595.1M-297.9M-297.9M-540.6M
Net VEX-1.7M-2.3M-1.4M-1.8M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.010.1223.220.331.45
Total Volume1,106.5853,407362157
Total OI38,695.59134,30543,38834,30543,388

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$472.50$450.0038.4%11.0%18.7%0.0%31.1%11.6%-3.5%-196.9K-297.9M-1.8M0.3369.52N/AN/A2738914,37419,931
2007-05-02$482.31$450.0027.5%7.9%18.6%0.0%28.5%11.2%2.2%1.8M-376.4M-1.6M0.1269.75N/AN/A4865714,36819,970
2007-05-03$490.50$450.0028.3%8.1%19.3%0.0%29.5%11.9%1.5%1.7M-409.9M-1.6M21.0970.47N/AN/A611,28214,56319,966
2007-05-04$493.92$450.0026.0%8.5%19.3%0.0%36.3%9.2%1.3%1.7M-427.3M-1.5M2.3742.39N/AN/A26061814,30821,128
2007-05-07$492.30$450.0027.9%8.5%19.4%0.0%34.8%7.7%1.3%292.8K-411.6M-1.6M0.2559.05N/AN/A681714,40821,662
2007-05-08$493.47$450.0027.2%8.6%19.4%0.0%31.6%10.0%2.2%635.5K-419.4M-1.5M0.2846.19N/AN/A2858114,31021,411
2007-05-09$504.72$450.0027.4%8.6%19.8%0.0%38.6%9.3%1.8%1.9M-490.4M-1.4M1.9327.10N/AN/A16532014,42221,447
2007-05-10$490.59$450.0030.7%8.8%22.9%0.0%37.6%9.1%1.5%1.2M-414.5M-1.5M3.5445.28N/AN/A2951,04514,46921,612
2007-05-11$501.12$450.0030.7%8.8%22.7%0.0%34.9%10.5%2.8%1.9M-469.4M-1.5M0.4212.77N/AN/A52621914,61422,539
2007-05-14$496.89$450.0031.7%9.1%22.6%0.0%37.5%11.1%1.7%1.3M-451.7M-1.5M23.2213.35N/AN/A611,42414,93522,668
2007-05-15$504.18$450.0033.3%9.6%22.9%0.0%33.3%9.7%0.4%1.4M-483.0M-1.5M2.3515.74N/AN/A1,0162,39114,94824,040
2007-05-16$520.20$450.0027.4%7.9%25.0%0.0%31.5%8.4%3.2%-493.4K-595.1M-1.6M2.1323.78N/AN/A15332615,79825,518
2007-05-17$519.75$450.0028.5%8.2%25.0%0.0%36.5%11.6%2.0%-572.0K-577.7M-1.6M3.6219.24N/AN/A4661,68415,83125,771
2007-05-18$525.78$450.0028.6%8.2%24.5%0.0%30.0%10.1%2.5%-1.9M-593.7M-1.7M1.0522.09N/AN/A42644715,81027,216
2007-05-21$531.00$450.0029.3%8.4%23.8%0.0%33.5%9.3%1.0%-1.9M-526.5M-1.6M2.8624.72N/AN/A7252,06914,08422,941
2007-05-22$526.41$450.0030.9%8.9%24.2%0.0%32.8%6.3%-0.7%-3.0M-492.9M-1.8M2.7046.60N/AN/A5121,38214,49924,030
2007-05-23$523.98$450.0030.0%8.6%23.9%0.0%33.3%10.8%0.9%-4.1M-465.8M-2.0M0.9534.73N/AN/A90586214,80425,001
2007-05-24$505.35$450.0034.2%9.8%27.3%0.0%34.2%9.1%-0.2%-3.9M-372.1M-2.3M7.3412.32N/AN/A2061,51416,08525,747
2007-05-25$520.65$450.0028.9%8.3%29.0%0.0%34.2%8.6%2.2%-4.9M-445.3M-2.2M6.7717.07N/AN/A10571115,66926,740
2007-05-29$523.26$450.0030.8%8.8%27.8%0.0%34.9%8.1%-0.1%-4.5M-478.0M-2.1M1.9826.59N/AN/A12925515,72127,254
2007-05-30$532.71$450.0028.3%8.1%28.1%0.0%32.6%11.5%1.6%-5.2M-537.2M-2.0M1.4011.21N/AN/A11315715,78327,520
2007-05-31$533.61$450.0029.1%8.3%27.6%0.0%33.1%13.6%0.6%-5.1M-540.6M-2.0M1.4514.11N/AN/A649315,81327,575