EWZ Options History — July 2007

In July 2007, EWZ traded between $556.83 and $628.11. ATM implied volatility averaged 32.1%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 3.6% (HV 20d: 28.5%). Max pain ranged from $540.00 to $585.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.93.

Notable Days

  • 2007-07-16: Highest Volume — 5,384 contracts
  • 2007-07-26: Largest IV spike — 24.4% change
  • 2007-07-26: Highest IV Rank — 100.0%
  • 2007-07-26: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$592.20$556.83$628.11$565.92$572.40
Max Pain$570.00$540.00$585.00$540.00$585.00
ATM IV32.1%25.2%46.3%28.5%42.6%
Expected Move9.3%7.2%13.3%8.2%12.2%
HV 20d28.5%21.3%39.8%33.2%39.1%
HV 60d29.1%27.4%33.7%27.5%33.7%
IV Rank55.6%28.5%100.0%34.3%86.6%
IV Percentile58.1%8.4%100.0%22.2%98.6%
Term Structure0.4%-3.7%3.3%2.8%-3.7%
VWIV34.3%27.9%46.5%31.6%45.3%
Skew 25d5.3%1.8%8.0%5.3%3.8%
Skew 10d11.7%-4.9%18.2%13.2%13.0%
Call IV 25d31.4%25.0%46.8%27.8%43.6%
Put IV 25d36.8%31.8%49.2%33.1%47.4%
Bid-Ask Spread %27.7810.7354.9012.5442.29
Gamma HHI0.310.220.500.230.26
Net GEX-212.1K-6.7M9.9M-6.7M-2.8M
Net DEX-425.3M-687.3M-136.6M-281.8M-223.7M
Net VEX-2.7M-3.5M-1.5M-2.5M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.206.420.430.96
Total Volume1,914.7621625,3844091,437
Total OI40,493.09532,30748,21532,30747,676

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$565.92$540.0028.5%8.2%33.2%0.0%31.6%5.3%2.8%-6.7M-281.8M-2.5M0.4312.54N/AN/A28712212,22620,081
2007-07-03$570.78$540.0027.3%7.8%33.0%0.0%31.2%5.4%2.5%-6.3M-316.1M-2.5M1.3412.50N/AN/A699312,40220,075
2007-07-05$574.92$540.0026.6%7.6%31.1%34.3%29.8%5.7%3.2%-5.0M-337.9M-2.4M5.9214.14N/AN/A2151,27012,41720,088
2007-07-06$584.19$540.0026.1%8.1%26.4%32.1%28.3%6.6%2.5%-4.4M-386.0M-2.3M0.9937.51N/AN/A73472512,51220,458
2007-07-09$588.42$540.0027.3%8.4%24.2%36.9%28.6%7.3%1.3%-2.7M-430.6M-2.2M2.9525.29N/AN/A20761013,08620,979
2007-07-10$579.87$540.0029.4%8.3%24.9%45.8%38.2%5.5%0.8%-5.8M-363.0M-2.4M5.3328.19N/AN/A4432,36013,13521,461
2007-07-11$590.04$540.0027.7%8.8%24.2%38.9%30.6%4.9%0.5%-5.1M-408.6M-2.3M1.3728.39N/AN/A1,0981,50913,18923,483
2007-07-12$610.56$585.0025.2%7.2%25.9%28.5%28.7%7.3%3.3%-1.7M-528.6M-2.2M3.9330.51N/AN/A4591,80714,08324,624
2007-07-13$613.89$585.0025.9%7.4%24.7%31.4%27.9%5.3%1.2%-1.4M-548.5M-2.3M0.6231.59N/AN/A81149914,28325,461
2007-07-16$608.40$585.0029.2%8.4%24.0%44.7%29.4%5.6%0.5%-3.1M-370.7M-1.5M0.2029.01N/AN/A4,48689810,58521,892
2007-07-17$613.98$585.0030.5%8.7%24.0%50.2%33.5%8.0%1.7%7.7M-645.5M-2.7M6.4253.27N/AN/A3602,31418,74826,633
2007-07-18$613.62$585.0029.8%8.5%23.9%47.5%32.6%7.1%-0.5%6.3M-619.5M-2.8M1.0824.16N/AN/A65870918,94527,380
2007-07-19$621.00$585.0029.9%8.6%21.8%47.6%31.2%5.1%0.6%8.7M-676.8M-2.7M0.4721.65N/AN/A92643719,05128,299
2007-07-20$614.16$585.0029.3%8.4%22.2%45.1%33.2%5.3%1.4%7.3M-616.4M-3.0M0.8113.91N/AN/A39031519,58328,632
2007-07-23$628.11$585.0030.6%8.8%21.3%50.6%31.5%5.0%0.9%9.9M-687.3M-2.6M0.3324.09N/AN/A67122418,72223,794
2007-07-24$594.81$585.0036.5%10.5%29.9%75.2%37.1%5.6%-1.3%4.9M-461.4M-3.1M2.6810.73N/AN/A7161,91719,03223,875
2007-07-25$597.96$585.0037.2%10.7%29.2%78.0%37.2%6.4%-1.0%3.1M-446.4M-3.1M1.7022.74N/AN/A7061,20419,54925,029
2007-07-26$560.25$585.0046.3%13.3%38.0%100.0%46.5%2.4%-2.8%-3.5M-157.1M-3.4M0.6254.90N/AN/A2,4661,53819,60525,396
2007-07-27$556.83$585.0046.2%13.2%38.1%99.4%45.8%1.8%-2.9%-3.1M-136.6M-3.5M0.8446.30N/AN/A1,5461,30420,73225,771
2007-07-30$576.00$585.0041.7%11.9%39.8%83.4%42.6%2.7%-1.6%-738.4K-289.1M-3.4M1.5819.60N/AN/A6471,02320,92126,462
2007-07-31$572.40$585.0042.6%12.2%39.1%86.6%45.3%3.8%-3.7%-2.8M-223.7M-3.4M0.9642.29N/AN/A73470320,75726,919