EWZ Options History — June 2007

In June 2007, EWZ traded between $505.89 and $566.28. ATM implied volatility averaged 33.0%. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 0.9% (HV 20d: 33.9%). Max pain ranged from $450.00 to $540.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.37.

Notable Days

  • 2007-06-15: Highest Volume — 2,984 contracts
  • 2007-06-07: Largest IV spike — 38.4% change
  • 2007-06-07: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$544.10$505.89$566.28$550.80$552.78
Max Pain$514.29$450.00$540.00$450.00$540.00
ATM IV33.0%29.1%42.6%29.3%34.3%
Expected Move9.5%8.4%10.4%8.4%9.8%
HV 20d33.9%28.9%36.8%28.9%32.4%
HV 60d27.0%25.7%27.7%25.8%27.2%
Term Structure-0.2%-2.7%1.4%1.4%-0.8%
VWIV35.1%28.2%38.2%28.2%35.2%
Skew 25d7.5%5.8%9.9%9.9%5.9%
Skew 10d13.5%5.3%19.4%18.3%5.3%
Call IV 25d30.2%23.5%32.7%23.5%31.4%
Put IV 25d37.7%33.3%40.6%33.3%37.2%
Bid-Ask Spread %26.3115.5839.8831.8636.04
Gamma HHI0.300.240.410.340.26
Net GEX-6.9M-8.9M-3.1M-4.3M-8.8M
Net DEX-402.6M-757.4M-156.5M-630.2M-203.7M
Net VEX-2.5M-2.7M-1.8M-1.8M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.370.205.751.010.83
Total Volume1,046.1431452,984938145
Total OI39,900.33328,71650,97443,38732,196

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$550.80$450.0029.3%8.4%28.9%0.0%28.2%9.9%1.4%-4.3M-630.2M-1.8M1.0131.86N/AN/A46647215,81127,576
2007-06-04$545.85$495.0031.7%9.0%29.4%0.0%37.2%8.5%0.6%-4.8M-612.3M-1.9M4.0924.23N/AN/A3171,29616,09027,674
2007-06-05$541.35$495.0030.6%9.0%29.6%0.0%35.4%7.8%0.2%-6.8M-562.8M-2.0M2.5225.83N/AN/A4751,20016,20629,011
2007-06-06$526.77$495.0030.8%9.0%31.7%0.0%34.9%8.4%0.1%-8.1M-487.2M-2.2M0.2022.50N/AN/A2,16944316,47829,869
2007-06-07$505.89$495.0042.6%10.4%34.4%0.0%36.1%9.4%-0.4%-6.7M-403.1M-2.6M2.3122.40N/AN/A7221,66518,51630,226
2007-06-08$524.16$495.0030.9%9.1%34.9%0.0%36.5%9.9%-0.1%-6.3M-525.7M-2.6M0.6425.93N/AN/A54234818,99930,644
2007-06-11$532.98$495.0035.0%9.6%34.6%0.0%34.4%6.0%-1.9%-6.4M-599.1M-2.5M3.2039.88N/AN/A10332919,30030,703
2007-06-12$524.88$495.0029.2%9.6%35.0%0.0%35.1%7.7%-0.0%-8.2M-529.0M-2.6M5.4829.82N/AN/A3471,90519,33130,951
2007-06-13$534.69$495.0030.8%9.4%35.2%0.0%36.9%8.6%-0.7%-7.3M-603.5M-2.6M0.8223.13N/AN/A1048519,58231,392
2007-06-14$549.45$495.0033.7%9.7%34.8%0.0%33.6%8.2%-0.6%-5.5M-694.7M-2.5M0.8624.78N/AN/A34729919,57031,251
2007-06-15$563.94$495.0029.1%8.4%35.7%0.0%34.2%5.9%0.4%-3.1M-757.4M-2.4M5.7528.54N/AN/A4422,54219,57131,360
2007-06-18$566.28$540.0030.7%8.8%35.6%0.0%35.6%6.0%0.2%-5.6M-262.7M-2.5M1.5617.50N/AN/A32150110,75217,964
2007-06-19$564.12$540.0030.4%8.7%35.6%0.0%32.8%5.8%0.7%-5.9M-260.4M-2.5M5.7015.58N/AN/A7844710,93018,308
2007-06-20$551.43$540.0034.6%9.9%36.6%0.0%35.2%6.6%0.8%-7.4M-190.1M-2.6M0.8426.72N/AN/A35429810,96618,668
2007-06-21$561.06$540.0036.1%10.3%36.8%0.0%38.2%7.0%-0.7%-6.5M-244.1M-2.6M3.6526.75N/AN/A17764611,22818,859
2007-06-22$550.89$540.0034.4%9.9%34.8%0.0%34.1%8.3%-0.1%-8.9M-175.2M-2.7M0.2020.73N/AN/A81416411,30319,372
2007-06-25$544.50$540.0036.0%10.3%33.8%0.0%36.5%7.0%-2.7%-8.0M-169.4M-2.7M1.5228.51N/AN/A15323212,05419,412
2007-06-26$538.02$540.0034.0%9.7%34.2%0.0%37.6%6.3%-0.2%-8.8M-156.5M-2.7M3.1921.40N/AN/A7222912,08219,575
2007-06-27$547.56$540.0034.7%9.9%34.2%0.0%34.7%8.3%-0.7%-8.6M-178.1M-2.7M2.6932.18N/AN/A14338512,11119,779
2007-06-28$548.64$540.0033.8%9.7%34.2%0.0%35.3%6.8%-0.1%-8.5M-208.6M-2.7M2.6328.16N/AN/A5313912,16020,077
2007-06-29$552.78$540.0034.3%9.8%32.4%0.0%35.2%5.9%-0.8%-8.8M-203.7M-2.7M0.8336.04N/AN/A796612,18920,007