EWZ Options History — December 2007

In December 2007, EWZ traded between $680.04 and $771.03. ATM implied volatility averaged 46.2%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 12.5% (HV 20d: 58.7%). Max pain ranged from $630.00 to $720.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.60.

Notable Days

  • 2007-12-21: Highest Volume — 77,461 contracts
  • 2007-12-26: Largest IV drop — 17.3% change
  • 2007-12-03: Highest IV Rank — 57.4%
  • 2007-12-03: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$734.85$680.04$771.03$728.10$726.30
Max Pain$682.11$630.00$720.00$675.00$720.00
ATM IV46.2%38.0%51.8%51.8%42.3%
Expected Move13.3%10.9%14.9%14.9%12.1%
HV 20d58.7%41.8%73.8%73.8%41.8%
HV 60d54.5%53.3%55.6%53.8%53.9%
IV Rank47.7%33.7%57.4%57.4%41.0%
IV Percentile77.8%54.3%90.9%90.9%64.0%
Term Structure1.4%-0.3%5.4%1.6%2.2%
VWIV47.5%40.7%52.9%51.7%41.4%
Skew 25d7.8%5.1%11.8%6.4%5.7%
Skew 10d15.6%11.1%19.1%15.9%11.1%
Call IV 25d43.4%37.6%50.1%48.6%39.4%
Put IV 25d51.3%44.3%56.4%55.0%45.1%
Bid-Ask Spread %30.8218.7853.8523.1529.80
Gamma HHI0.240.200.360.210.29
Net GEX-11.9M-26.8M309.3K-11.3M128.6K
Net DEX-517.1M-1.11B0-632.6M-7.1M
Net VEX-3.6M-5.0M0-5.0M-148.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.600.0222.970.730.36
Total Volume5,527.45077,461541160
Total OI62,738.15085,71476,5641,348

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$728.10$675.0051.8%14.9%73.8%57.4%51.7%6.4%1.6%-11.3M-632.6M-5.0M0.7323.15N/AN/A31322828,26248,302
2007-12-04$718.92$675.0049.8%14.3%73.5%54.0%49.6%8.2%0.7%-13.1M-546.6M-4.9M0.9327.25N/AN/A31128828,14648,399
2007-12-05$750.60$675.0045.5%13.0%73.5%46.5%49.0%8.2%0.1%-9.7M-864.0M-4.7M0.9724.33N/AN/A77374628,22448,509
2007-12-06$769.50$675.0046.9%13.4%72.8%48.9%47.8%8.4%1.3%-7.5M-1.07B-4.4M0.7229.82N/AN/A80458228,26248,924
2007-12-07$771.03$630.0044.0%13.3%70.5%44.0%46.5%8.3%0.1%-6.4M-1.11B-4.3M1.6029.57N/AN/A39062428,45649,175
2007-12-10$767.70$675.0045.4%13.1%69.3%46.3%51.8%8.0%2.0%-8.2M-1.05B-4.2M7.9031.08N/AN/A2782,19828,30149,655
2007-12-11$738.72$675.0050.7%13.9%62.3%55.5%46.9%7.7%-0.3%-13.5M-769.1M-4.3M0.6453.85N/AN/A82052728,31149,931
2007-12-12$765.72$675.0042.2%12.7%56.5%40.9%46.2%5.9%0.6%-8.3M-1.07B-3.9M1.0143.57N/AN/A1,1591,17228,35150,040
2007-12-13$741.60$675.0049.4%14.1%57.4%53.2%51.4%8.4%0.6%-14.1M-779.2M-4.3M2.9934.12N/AN/A6391,91128,26750,649
2007-12-14$720.00$675.0048.2%13.8%57.4%51.2%49.6%6.5%0.6%-19.7M-548.9M-4.2M22.9739.33N/AN/A3097,08728,36850,747
2007-12-17$680.04$675.0051.8%14.8%59.1%57.3%52.9%5.1%0.3%-26.8M-5.2M-4.7M2.2637.01N/AN/A6771,52928,42154,008
2007-12-18$703.26$675.0048.7%14.0%58.4%52.1%51.5%10.5%0.8%-26.0M-259.7M-4.7M0.8431.40N/AN/A1,8511,54628,40054,539
2007-12-19$705.60$675.0046.9%13.4%58.1%48.9%47.4%9.4%1.7%-19.8M-338.4M-4.7M1.6625.05N/AN/A1,2342,04229,88755,151
2007-12-20$712.98$675.0047.0%13.5%54.0%49.1%48.0%8.3%0.4%-13.7M-444.0M-4.7M0.5627.52N/AN/A91551430,46855,246
2007-12-21$735.75$675.0044.6%12.8%55.0%45.1%45.0%8.7%1.4%-18.1M-830.2M-4.4M0.0224.77N/AN/A75,9661,49530,19355,114
2007-12-24$741.78$720.0045.9%13.2%48.7%47.3%0.0%11.8%3.5%-22.7M-2.0M-4.0M0.0024.77N/AN/A0014,76338,518
2007-12-26$744.48$0.0038.0%10.9%48.2%33.7%40.7%0.0%5.4%0001.0918.78N/AN/A16317800
2007-12-27$738.99$720.0042.5%12.2%41.8%41.4%42.3%6.0%2.3%-43.6K-1.8M-44.3K0.6434.13N/AN/A514329156164
2007-12-28$735.93$720.0042.3%12.1%41.8%41.1%42.0%7.1%1.7%309.3K-12.0M-131.5K1.5126.99N/AN/A110167635473
2007-12-31$726.30$720.0042.3%12.1%41.8%41.0%41.4%5.7%2.2%128.6K-7.1M-148.6K0.3629.80N/AN/A11842718630