EWZ Options History — August 2007 In August 2007, EWZ traded between $461.52 and $578.52. ATM implied volatility averaged 47.0%, placing in the 76.0% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 3.5% (HV 20d: 50.6%). Max pain ranged from $495.00 to $585.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.76.
Notable Days 2007-08-16 : Highest Volume — 10,097 contracts2007-08-16 : Largest IV spike — 33.9% change2007-08-03 : Highest IV Rank — 100.0%2007-08-16 : Largest Expected Move — 16.8%Monthly Statistics Metric Avg Min Max Open Close Price $527.85 $461.52 $578.52 $566.82 $553.95 Max Pain $522.39 $495.00 $585.00 $585.00 $495.00 ATM IV 47.0% 39.3% 58.6% 44.0% 44.1% Expected Move 13.3% 11.2% 16.8% 12.6% 12.6% HV 20d 50.6% 39.2% 59.6% 39.2% 57.9% HV 60d 39.5% 33.8% 44.7% 33.8% 44.3% IV Rank 76.0% 56.5% 100.0% 91.7% 63.9% IV Percentile 95.5% 88.6% 100.0% 98.6% 88.6% Term Structure -3.0% -11.0% 1.2% -6.6% 1.2% VWIV 47.4% 39.0% 58.6% 42.3% 43.7% Skew 25d 8.5% 4.1% 14.8% 5.7% 9.6% Skew 10d 17.4% 6.3% 31.4% 16.2% 16.7% Call IV 25d 43.5% 36.5% 53.8% 44.0% 39.3% Put IV 25d 52.0% 46.3% 68.6% 49.7% 48.9% Bid-Ask Spread % 30.10 11.84 61.00 53.21 15.81 Gamma HHI 0.22 0.17 0.30 0.23 0.20 Net GEX -7.1M -12.3M -2.0M -4.2M -2.2M Net DEX 29.4M -346.6M 603.1M -177.7M -346.6M Net VEX -3.7M -4.0M -3.2M -3.4M -4.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.76 0.22 4.75 4.31 0.65 Total Volume 3,048.304 792 10,097 3,012 1,396 Total OI 54,600.217 48,256 62,790 48,256 57,624
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-08-01 $566.82 $585.00 44.0% 12.6% 39.2% 91.7% 42.3% 5.7% -6.6% -4.2M -177.7M -3.4M 4.31 53.21 N/A N/A 567 2,445 20,920 27,336 2007-08-02 $577.71 $585.00 43.3% 12.4% 39.7% 89.1% 44.3% 5.4% -3.7% -8.2M -195.3M -3.6M 0.22 12.77 N/A N/A 2,062 454 20,817 31,006 2007-08-03 $548.10 $585.00 55.4% 15.9% 43.4% 100.0% 53.6% 4.1% -11.0% -10.7M 20.2M -3.8M 0.57 61.00 N/A N/A 1,129 644 22,203 30,372 2007-08-06 $549.90 $495.00 50.2% 12.8% 43.3% 86.0% 46.0% 7.2% -7.3% -11.4M -33.8M -3.6M 4.75 29.72 N/A N/A 711 3,374 22,894 30,520 2007-08-07 $559.62 $540.00 47.5% 12.7% 43.7% 78.7% 41.5% 5.1% -4.7% -10.9M -98.8M -3.8M 0.22 17.60 N/A N/A 823 179 23,121 31,550 2007-08-08 $578.52 $540.00 39.3% 11.2% 44.9% 56.5% 39.0% 9.8% -1.8% -2.3M -320.6M -3.6M 0.50 57.35 N/A N/A 3,217 1,613 23,808 29,722 2007-08-09 $548.10 $540.00 47.9% 12.6% 46.6% 79.7% 44.9% 6.5% -3.7% -6.0M -68.6M -3.8M 1.06 39.04 N/A N/A 1,023 1,088 25,880 30,371 2007-08-10 $535.50 $540.00 45.7% 12.9% 46.9% 73.8% 46.6% 7.2% -3.6% -8.4M 92.9M -3.7M 2.73 40.86 N/A N/A 399 1,089 26,810 30,867 2007-08-13 $531.90 $540.00 45.1% 12.5% 46.9% 72.1% 45.7% 7.5% -4.4% -10.3M 128.6M -3.6M 1.25 43.88 N/A N/A 351 441 26,452 30,888 2007-08-14 $509.58 $540.00 48.7% 13.2% 48.2% 81.8% 45.4% 6.8% -4.6% -11.7M 346.2M -3.4M 2.14 28.54 N/A N/A 1,160 2,482 26,090 30,588 2007-08-15 $476.64 $540.00 43.8% 13.4% 52.1% 68.7% 47.6% 7.6% -4.8% -12.3M 562.3M -3.2M 1.17 41.84 N/A N/A 2,771 3,244 26,787 31,064 2007-08-16 $461.52 $540.00 58.6% 16.8% 51.7% 100.0% 58.6% 14.8% -7.9% -8.5M 603.1M -3.2M 2.12 48.75 N/A N/A 3,234 6,863 28,112 31,400 2007-08-17 $477.72 $495.00 47.2% 13.5% 54.6% 71.7% 51.4% 12.0% -0.8% -8.9M 478.1M -3.6M 4.58 50.73 N/A N/A 793 3,627 29,769 33,021 2007-08-20 $484.20 $495.00 47.4% 13.6% 53.9% 72.2% 51.7% 12.3% -0.4% -10.5M 294.4M -3.6M 0.77 22.90 N/A N/A 851 659 20,914 29,409 2007-08-21 $485.28 $495.00 48.6% 13.9% 51.9% 75.2% 47.7% 12.2% -0.9% -8.6M 229.6M -3.5M 0.23 20.83 N/A N/A 1,921 439 20,975 28,331 2007-08-22 $517.50 $495.00 48.4% 13.9% 58.1% 74.6% 48.5% 8.8% -0.8% -5.3M 4.4M -3.8M 1.26 13.86 N/A N/A 1,290 1,630 22,599 28,293 2007-08-23 $520.20 $495.00 45.1% 12.9% 54.0% 66.5% 47.7% 8.4% -1.0% -5.2M -48.0M -3.9M 0.45 15.79 N/A N/A 1,890 849 23,103 28,931 2007-08-24 $540.00 $495.00 42.8% 12.3% 55.9% 60.6% 46.8% 8.5% 1.0% -2.0M -227.9M -3.9M 1.19 12.07 N/A N/A 834 991 24,041 28,660 2007-08-27 $539.28 $495.00 44.9% 12.9% 54.3% 65.8% 47.2% 9.3% -0.2% -2.0M -236.9M -3.9M 2.73 17.19 N/A N/A 959 2,617 24,417 29,075 2007-08-28 $511.65 $495.00 53.0% 15.2% 57.1% 85.9% 53.4% 8.4% -2.5% -7.1M 40.3M -3.9M 2.30 16.68 N/A N/A 764 1,756 24,577 30,698 2007-08-29 $534.06 $495.00 45.3% 13.0% 59.6% 67.0% 47.7% 8.1% 0.0% -3.2M -205.6M -4.0M 1.82 20.12 N/A N/A 682 1,241 24,951 30,325 2007-08-30 $532.89 $495.00 45.2% 13.0% 59.0% 66.7% 48.6% 10.7% -0.8% -4.4M -165.3M -4.0M 3.57 11.84 N/A N/A 780 2,779 25,278 31,236 2007-08-31 $553.95 $495.00 44.1% 12.6% 57.9% 63.9% 43.7% 9.6% 1.2% -2.2M -346.6M -4.0M 0.65 15.81 N/A N/A 844 552 25,478 32,146
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