EWZ Options History — September 2007

In September 2007, EWZ traded between $544.86 and $671.22. ATM implied volatility averaged 42.9%, placing in the 60.9% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 4.4% (HV 20d: 47.3%). Max pain ranged from $495.00 to $585.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.63.

Notable Days

  • 2007-09-19: Highest Volume — 3,474 contracts
  • 2007-09-07: Largest IV spike — 18.2% change
  • 2007-09-10: Highest IV Rank — 79.1%
  • 2007-09-10: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$597.60$544.86$671.22$564.66$661.95
Max Pain$530.53$495.00$585.00$495.00$585.00
ATM IV42.9%37.8%50.2%40.9%40.5%
Expected Move12.1%10.8%13.6%11.7%11.6%
HV 20d47.3%35.4%58.3%58.3%36.3%
HV 60d44.9%43.6%46.4%43.8%46.4%
IV Rank60.9%48.3%79.1%56.1%55.0%
IV Percentile83.6%71.2%97.7%83.9%76.9%
Term Structure-3.3%-7.6%0.8%0.8%0.2%
VWIV45.4%40.8%49.3%43.5%43.8%
Skew 25d8.5%5.2%11.8%11.2%7.0%
Skew 10d17.3%10.1%25.3%18.7%11.6%
Call IV 25d39.7%36.6%43.0%39.2%38.6%
Put IV 25d48.2%43.7%53.5%50.4%45.6%
Bid-Ask Spread %23.7214.6141.0216.6919.72
Gamma HHI0.240.180.520.180.22
Net GEX5.2M-1.1M16.9M920.8K2.3M
Net DEX-675.7M-1.07B-304.7M-491.3M-820.9M
Net VEX-3.6M-3.9M-3.2M-3.8M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.484.610.484.03
Total Volume2,226.3161,0383,4741,7312,801
Total OI56,566.47440,89166,40857,95444,978

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$564.66$495.0040.9%11.7%58.3%56.1%43.5%11.2%0.8%920.8K-491.3M-3.8M0.4816.69N/AN/A1,17355825,62832,326
2007-09-05$556.02$495.0046.2%13.2%58.3%69.1%45.4%7.4%0.1%368.2K-393.9M-3.9M0.6216.86N/AN/A95758926,23331,664
2007-09-06$563.40$495.0041.6%11.9%57.2%57.8%47.3%8.9%0.1%1.9M-476.6M-3.8M1.9118.77N/AN/A41879726,39932,040
2007-09-07$550.80$495.0049.2%13.5%54.3%76.6%47.3%10.7%-5.0%-513.5K-335.2M-3.9M0.7626.24N/AN/A83763326,63932,299
2007-09-10$544.86$495.0050.2%13.6%53.8%79.1%49.3%11.1%-5.7%-1.1M-304.7M-3.8M4.6120.48N/AN/A4191,93126,65532,494
2007-09-11$562.41$495.0048.8%13.2%54.8%75.7%47.8%11.8%-5.0%281.4K-455.2M-3.7M2.1725.02N/AN/A6211,34626,65233,520
2007-09-12$567.90$495.0044.3%12.2%52.1%64.4%47.7%10.2%-4.7%2.4M-519.2M-3.7M0.5516.02N/AN/A1,9441,07526,86433,914
2007-09-13$577.62$495.0041.3%11.9%44.7%57.1%43.0%9.7%-3.8%5.8M-659.3M-3.7M1.1419.99N/AN/A61870227,38834,572
2007-09-14$576.90$495.0042.9%12.3%42.1%60.8%43.7%8.5%-4.7%5.6M-639.3M-3.6M0.5825.35N/AN/A1,69397427,53534,594
2007-09-17$566.28$495.0043.0%12.3%42.4%61.2%47.5%7.6%-6.3%3.7M-541.6M-3.7M0.9614.61N/AN/A1,2661,21528,43435,083
2007-09-18$608.67$540.0041.3%11.8%48.1%57.1%43.6%6.3%-7.6%14.0M-999.3M-3.4M0.6532.43N/AN/A1,47895628,28635,482
2007-09-19$614.88$540.0041.6%11.9%47.9%57.9%47.0%6.6%-6.6%15.3M-1.07B-3.4M0.6731.06N/AN/A2,0851,38928,47335,845
2007-09-20$610.02$540.0042.4%12.1%44.2%59.6%45.2%5.2%-6.2%14.6M-1.00B-3.5M3.3141.02N/AN/A6852,26428,84035,870
2007-09-21$623.88$585.0040.1%11.5%44.4%54.1%45.9%8.3%-4.4%16.9M-1.06B-3.5M0.9328.18N/AN/A80374328,65337,755
2007-09-24$637.47$585.0042.1%12.1%43.4%59.0%45.1%6.9%-2.5%3.6M-673.7M-3.3M1.6131.31N/AN/A1,1141,79919,33121,560
2007-09-25$641.25$585.0041.3%11.8%43.3%56.9%44.3%8.8%-1.0%3.7M-709.6M-3.4M2.0130.50N/AN/A34569320,09922,473
2007-09-26$654.30$585.0037.8%10.8%36.9%48.3%40.8%7.4%-0.8%4.5M-802.0M-3.2M1.4015.77N/AN/A9401,31519,99122,437
2007-09-27$671.22$585.0039.2%11.2%35.4%51.8%43.7%7.1%0.2%4.1M-885.4M-3.2M2.6020.66N/AN/A8672,25720,43723,320
2007-09-28$661.95$585.0040.5%11.6%36.3%55.0%43.8%7.0%0.2%2.3M-820.9M-3.2M4.0319.72N/AN/A5562,24520,15824,820