EWZ Options History — November 2007 In November 2007, EWZ traded between $652.50 and $775.35. ATM implied volatility averaged 53.6%, placing in the 68.3% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 5.6% (HV 20d: 59.2%). Max pain ranged from $585.00 to $720.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.40.
Notable Days 2007-11-08 : Highest Volume — 12,360 contracts2007-11-12 : Largest IV spike — 48.8% change2007-11-12 : Highest IV Rank — 100.0%2007-11-26 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $726.36 $652.50 $775.35 $748.62 $728.55 Max Pain $636.43 $585.00 $720.00 $720.00 $675.00 ATM IV 53.6% 41.2% 76.7% 46.2% 51.8% Expected Move 15.1% 13.0% 18.3% 13.2% 14.8% HV 20d 59.2% 39.0% 75.0% 41.9% 73.8% HV 60d 49.6% 44.2% 54.2% 47.2% 54.1% IV Rank 68.3% 43.6% 100.0% 69.2% 57.3% IV Percentile 93.4% 70.4% 100.0% 89.0% 90.9% Term Structure -0.9% -4.1% 1.8% -0.3% 0.4% VWIV 53.7% 43.5% 61.7% 52.0% 51.2% Skew 25d 9.3% 5.5% 13.6% 10.6% 7.3% Skew 10d 16.2% 5.4% 22.6% 16.8% 16.2% Call IV 25d 48.9% 42.4% 59.9% 44.6% 49.5% Put IV 25d 58.2% 50.9% 65.4% 55.2% 56.8% Bid-Ask Spread % 22.85 13.00 31.62 27.63 19.32 Gamma HHI 0.24 0.17 0.45 0.28 0.21 Net GEX -4.1M -27.3M 29.6M 10.2M -11.6M Net DEX -580.9M -1.27B 141.4M -945.5M -616.3M Net VEX -5.4M -5.6M -5.1M -5.3M -5.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.40 0.39 4.20 2.53 0.66 Total Volume 3,095.714 913 12,360 1,992 913 Total OI 79,045.286 68,863 90,012 75,452 76,364
Daily Data (21 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 2007-11-01 $748.62 $720.00 46.2% 13.2% 41.9% 69.2% 52.0% 10.6% -0.3% 10.2M -945.5M -5.3M 2.53 27.63 N/A N/A 565 1,427 32,285 43,167 2007-11-02 $748.80 $720.00 47.6% 13.6% 39.0% 72.5% 43.5% 8.4% 0.6% 9.5M -917.2M -5.4M 0.69 28.48 N/A N/A 3,418 2,371 32,386 44,330 2007-11-05 $733.05 $585.00 56.2% 15.0% 39.9% 94.0% 54.3% 7.8% -3.0% 6.2M -764.4M -5.6M 1.87 17.26 N/A N/A 409 766 35,489 46,143 2007-11-06 $765.00 $585.00 41.2% 13.0% 41.8% 56.8% 48.2% 8.3% 1.8% 21.3M -1.07B -5.2M 1.59 16.61 N/A N/A 962 1,532 35,669 46,365 2007-11-07 $736.83 $585.00 53.0% 14.0% 44.2% 86.0% 51.8% 7.3% 0.1% 6.9M -791.8M -5.5M 1.89 21.09 N/A N/A 519 983 36,246 46,814 2007-11-08 $775.35 $585.00 46.0% 13.4% 46.8% 68.7% 49.7% 8.9% 0.3% 29.6M -1.27B -5.4M 0.76 23.81 N/A N/A 7,013 5,347 36,319 47,263 2007-11-09 $749.34 $585.00 51.6% 14.6% 48.1% 82.5% 54.0% 8.3% 0.7% -3.8M -825.2M -5.5M 1.22 26.32 N/A N/A 783 956 33,197 51,448 2007-11-12 $684.45 $585.00 76.7% 16.6% 58.2% 100.0% 58.6% 7.4% -3.6% -27.3M 60.1M -5.6M 1.57 28.93 N/A N/A 1,904 2,998 33,352 51,721 2007-11-13 $743.13 $630.00 53.0% 14.8% 64.5% 59.4% 54.8% 13.6% -2.1% -10.0M -681.8M -5.4M 2.03 19.00 N/A N/A 1,286 2,614 34,266 52,580 2007-11-14 $754.65 $630.00 43.7% 14.1% 64.1% 43.6% 50.9% 11.4% -1.8% -2.0M -838.8M -5.3M 0.87 23.83 N/A N/A 2,775 2,411 34,912 53,880 2007-11-15 $732.15 $630.00 52.2% 15.0% 65.0% 58.1% 52.9% 11.7% 1.4% -22.3M -480.4M -5.5M 4.20 27.63 N/A N/A 616 2,585 34,640 54,696 2007-11-16 $757.35 $630.00 50.2% 14.4% 62.6% 54.7% 55.2% 11.5% -1.4% 25.3M -827.4M -5.2M 1.10 15.65 N/A N/A 1,055 1,161 34,657 55,355 2007-11-19 $721.80 $630.00 58.2% 16.7% 65.4% 68.3% 59.2% 9.8% -3.7% -14.4M -418.4M -5.3M 3.38 13.00 N/A N/A 416 1,406 23,942 44,921 2007-11-20 $732.42 $630.00 53.9% 15.5% 64.2% 61.0% 53.7% 10.4% -1.4% -14.6M -498.4M -5.3M 0.42 19.30 N/A N/A 1,313 549 24,019 45,650 2007-11-21 $689.85 $630.00 58.7% 16.8% 67.8% 69.2% 56.0% 6.9% -4.1% -16.1M -176.8M -5.5M 0.72 16.57 N/A N/A 1,131 811 24,733 45,719 2007-11-23 $696.96 $630.00 58.7% 16.8% 67.6% 69.2% 56.2% 13.1% 0.1% -15.1M -254.6M -5.4M 0.85 22.11 N/A N/A 937 796 25,134 45,882 2007-11-26 $652.50 $675.00 63.7% 18.3% 69.9% 77.7% 61.7% 5.5% -1.7% -16.7M 141.4M -5.3M 1.17 29.64 N/A N/A 1,333 1,557 25,790 46,294 2007-11-27 $668.70 $675.00 56.9% 16.3% 70.0% 66.1% 56.8% 10.0% -0.1% -16.4M -27.1M -5.3M 0.88 31.62 N/A N/A 1,083 956 26,582 47,058 2007-11-28 $717.30 $675.00 54.2% 15.5% 75.0% 61.5% 55.0% 9.5% -1.5% -12.4M -503.1M -5.1M 0.61 24.18 N/A N/A 1,907 1,159 27,141 47,336 2007-11-29 $716.85 $675.00 52.7% 15.1% 74.1% 58.8% 51.4% 7.0% 0.8% -12.3M -492.8M -5.3M 0.39 27.78 N/A N/A 1,643 644 28,201 48,005 2007-11-30 $728.55 $675.00 51.8% 14.8% 73.8% 57.3% 51.2% 7.3% 0.4% -11.6M -616.3M -5.2M 0.66 19.32 N/A N/A 551 362 28,166 48,198
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