EWZ Options History — January 2008 In January 2008, EWZ traded between $623.34 and $733.68. ATM implied volatility averaged 48.3%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 8.7% (HV 20d: 39.5%). Max pain ranged from $630.00 to $720.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.11.
Notable Days 2008-01-17 : Highest Volume — 4,965 contracts2008-01-25 : Largest IV drop — 13.0% change2008-01-23 : Highest IV Rank — 70.0%2008-01-23 : Largest Expected Move — 17.0%Monthly Statistics Metric Avg Min Max Open Close Price $680.94 $623.34 $733.68 $728.55 $688.41 Max Pain $672.86 $630.00 $720.00 $720.00 $630.00 ATM IV 48.3% 40.4% 59.2% 43.4% 53.5% Expected Move 14.0% 11.6% 17.0% 12.4% 15.4% HV 20d 39.5% 35.8% 42.1% 41.8% 42.1% HV 60d 53.7% 53.1% 54.5% 53.1% 53.7% IV Rank 51.3% 37.8% 70.0% 42.9% 60.3% IV Percentile 80.8% 57.5% 99.2% 68.9% 93.3% Term Structure -1.5% -5.4% 3.2% 1.2% -4.2% VWIV 50.0% 42.1% 62.1% 42.1% 54.6% Skew 25d 9.3% 4.6% 15.2% 7.7% 10.8% Skew 10d 18.9% 10.9% 28.4% 14.9% 23.4% Call IV 25d 44.9% 38.5% 53.4% 39.6% 48.5% Put IV 25d 54.2% 43.1% 66.3% 47.3% 59.4% Bid-Ask Spread % 14.27 7.37 19.92 11.93 12.15 Gamma HHI 0.26 0.20 0.34 0.27 0.20 Net GEX -2.4M -8.2M 5.3M 200.3K 5.3M Net DEX 38.8M -224.6M 244.0M -9.0M -224.6M Net VEX -1.2M -2.9M -156.7K -156.7K -2.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.11 0.22 8.71 1.99 0.98 Total Volume 2,555 706 4,965 916 1,305 Total OI 14,418.81 1,460 29,834 1,460 29,834
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 2008-01-02 $728.55 $720.00 43.4% 12.4% 41.8% 42.9% 42.1% 7.7% 1.2% 200.3K -9.0M -156.7K 1.99 11.93 N/A N/A 306 610 796 664 2008-01-03 $725.49 $720.00 40.4% 11.6% 41.5% 37.8% 43.1% 4.6% 3.2% 112.6K -2.8M -224.9K 7.90 14.29 N/A N/A 99 786 1,009 1,209 2008-01-04 $702.00 $720.00 40.4% 12.6% 39.9% 37.9% 43.2% 6.6% 2.0% -539.8K 19.8M -263.2K 0.87 16.74 N/A N/A 594 515 1,073 1,941 2008-01-07 $695.34 $720.00 45.0% 13.3% 38.5% 45.7% 44.6% 6.3% 1.0% -142.4K 19.1M -354.0K 2.41 16.65 N/A N/A 207 499 1,590 2,262 2008-01-08 $695.25 $720.00 45.9% 13.8% 38.5% 47.3% 49.9% 8.9% 1.1% -835.1K 20.1M -381.5K 8.71 19.92 N/A N/A 280 2,441 1,674 2,666 2008-01-09 $724.23 $720.00 41.4% 12.8% 41.8% 39.5% 53.2% 9.8% 0.2% -3.7M 51.2M -611.7K 4.53 18.23 N/A N/A 665 3,008 1,876 4,803 2008-01-10 $733.68 $675.00 44.5% 12.8% 40.0% 44.9% 44.2% 8.8% 0.4% -4.7M 41.9M -838.5K 0.88 19.31 N/A N/A 484 427 2,443 7,558 2008-01-11 $712.17 $675.00 46.1% 13.2% 38.8% 47.6% 47.3% 7.6% 0.5% -5.1M 77.3M -873.0K 0.74 17.00 N/A N/A 1,026 756 2,705 7,776 2008-01-14 $718.65 $675.00 44.9% 12.9% 37.6% 45.6% 45.4% 7.4% 0.1% -4.2M 49.2M -966.7K 0.22 15.48 N/A N/A 1,290 280 3,337 8,116 2008-01-15 $685.62 $675.00 47.5% 13.6% 39.8% 50.0% 50.5% 6.9% -3.5% -3.7M 108.2M -1.0M 1.44 11.83 N/A N/A 1,643 2,371 4,607 8,357 2008-01-16 $655.02 $675.00 49.0% 14.0% 37.8% 52.5% 49.7% 6.5% -3.6% -7.6M 208.4M -1.1M 0.78 18.48 N/A N/A 1,898 1,472 5,649 10,045 2008-01-17 $627.75 $675.00 51.3% 14.7% 38.0% 56.5% 52.0% 9.8% -3.1% -6.9M 244.0M -1.2M 1.22 14.83 N/A N/A 2,235 2,730 6,709 10,647 2008-01-18 $637.56 $675.00 50.9% 14.6% 38.6% 55.8% 49.9% 8.9% -2.6% -8.2M 200.1M -1.4M 1.56 14.45 N/A N/A 1,881 2,935 8,640 12,310 2008-01-22 $626.31 $675.00 52.8% 15.1% 38.4% 59.0% 55.3% 13.9% -5.0% -4.2M 145.6M -1.6M 3.10 7.37 N/A N/A 626 1,938 7,754 11,146 2008-01-23 $623.34 $630.00 59.2% 17.0% 35.8% 70.0% 62.1% 12.9% -5.4% -3.0M 114.6M -1.6M 2.04 11.26 N/A N/A 860 1,754 7,926 10,952 2008-01-24 $646.65 $630.00 54.6% 15.6% 38.8% 62.1% 52.8% 13.2% -3.6% -2.4M 43.1M -1.8M 0.67 9.05 N/A N/A 1,001 669 8,307 11,749 2008-01-25 $663.30 $630.00 47.4% 13.6% 40.3% 49.9% 49.5% 6.1% -0.7% -4.1M 3.3M -1.8M 0.49 13.42 N/A N/A 2,219 1,094 8,951 11,985 2008-01-28 $664.92 $630.00 50.1% 14.4% 40.4% 54.5% 57.2% 15.2% -2.1% 4.6K -62.5M -2.2M 2.36 12.85 N/A N/A 913 2,154 10,586 12,731 2008-01-29 $674.10 $630.00 50.7% 14.5% 41.0% 55.6% 49.6% 13.1% -2.3% 1.3M -99.5M -2.3M 1.16 9.82 N/A N/A 1,878 2,169 11,161 12,859 2008-01-30 $671.40 $630.00 54.3% 15.6% 40.9% 61.6% 53.2% 10.5% -5.2% 2.6M -132.4M -2.5M 0.27 14.49 N/A N/A 2,867 770 12,560 13,832 2008-01-31 $688.41 $630.00 53.5% 15.4% 42.1% 60.3% 54.6% 10.8% -4.2% 5.3M -224.6M -2.9M 0.98 12.15 N/A N/A 658 647 14,508 15,326
« Dec 2007 | All History | Feb 2008 » Home EWZ History January 2008