EWZ Options History — February 2008 In February 2008, EWZ traded between $664.11 and $794.07. ATM implied volatility averaged 44.5%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 5.7% (HV 20d: 38.8%). Max pain ranged from $630.00 to $720.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.77.
Notable Days 2008-02-26 : Highest Volume — 5,721 contracts2008-02-29 : Largest IV spike — 19.5% change2008-02-05 : Highest IV Rank — 61.9%2008-02-05 : Largest Expected Move — 15.0%Monthly Statistics Metric Avg Min Max Open Close Price $725.10 $664.11 $794.07 $701.55 $751.77 Max Pain $677.25 $630.00 $720.00 $630.00 $720.00 ATM IV 44.5% 35.7% 55.6% 46.7% 43.8% Expected Move 12.7% 10.2% 15.0% 13.4% 12.6% HV 20d 38.8% 32.7% 46.0% 42.8% 39.0% HV 60d 45.9% 38.9% 53.7% 53.7% 40.6% IV Rank 39.2% 20.9% 61.9% 48.6% 36.6% IV Percentile 62.7% 34.9% 95.6% 76.2% 59.5% Term Structure -0.3% -4.6% 2.2% -1.8% 2.2% VWIV 47.6% 39.5% 57.2% 54.7% 44.9% Skew 25d 11.4% 9.4% 14.0% 12.4% 10.3% Skew 10d 22.1% 18.7% 27.9% 26.7% 19.4% Call IV 25d 40.1% 33.0% 47.3% 44.6% 40.1% Put IV 25d 51.5% 43.6% 59.1% 57.0% 50.5% Bid-Ask Spread % 12.13 8.47 16.65 13.69 14.10 Gamma HHI 0.21 0.13 0.39 0.21 0.13 Net GEX 7.0M 942.3K 13.9M 7.7M 1.8M Net DEX -353.4M -667.7M -79.4M -319.9M -334.7M Net VEX -3.4M -4.9M -2.7M -2.9M -4.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.77 0.12 5.78 0.64 1.84 Total Volume 2,942.95 664 5,721 2,003 3,653 Total OI 35,544 26,972 44,438 30,209 44,438
Daily Data (20 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 2008-02-01 $701.55 $630.00 46.7% 13.4% 42.8% 48.6% 54.7% 12.4% -1.8% 7.7M -319.9M -2.9M 0.64 13.69 N/A N/A 1,225 778 14,827 15,382 2008-02-04 $704.61 $675.00 49.0% 13.0% 41.2% 49.9% 49.2% 10.6% -1.7% 8.2M -340.5M -2.8M 0.62 12.61 N/A N/A 592 366 14,957 15,856 2008-02-05 $664.83 $675.00 55.6% 15.0% 46.0% 61.9% 57.2% 11.8% -4.6% 3.5M -105.5M -2.7M 1.41 9.29 N/A N/A 457 643 14,889 15,686 2008-02-06 $664.11 $675.00 54.7% 14.6% 46.0% 60.2% 53.3% 11.6% -3.2% 3.2M -79.4M -2.7M 5.78 8.68 N/A N/A 288 1,662 15,111 16,066 2008-02-07 $678.51 $675.00 50.5% 14.0% 44.1% 52.7% 51.1% 13.2% -2.1% 4.9M -150.6M -2.9M 0.12 10.61 N/A N/A 2,425 302 15,287 17,884 2008-02-08 $675.99 $630.00 50.1% 14.0% 43.7% 49.0% 48.6% 14.0% -1.1% 5.4M -168.6M -3.0M 3.04 9.22 N/A N/A 698 2,124 15,932 17,905 2008-02-11 $699.84 $630.00 44.3% 13.4% 44.6% 38.0% 46.7% 13.6% -0.4% 9.1M -314.4M -3.2M 1.32 9.39 N/A N/A 891 1,175 16,373 19,763 2008-02-12 $708.30 $675.00 43.6% 13.3% 44.7% 36.6% 47.6% 13.5% -0.5% 11.5M -368.1M -3.2M 0.83 15.00 N/A N/A 1,062 883 16,618 20,433 2008-02-13 $722.25 $675.00 41.6% 13.1% 41.7% 32.8% 51.8% 12.5% -0.3% 13.8M -487.2M -3.2M 1.18 13.36 N/A N/A 304 360 17,141 20,982 2008-02-14 $707.85 $675.00 44.9% 12.9% 38.7% 39.1% 50.3% 10.3% 0.2% 13.9M -405.9M -3.2M 1.37 11.13 N/A N/A 814 1,111 17,135 21,021 2008-02-15 $708.30 $675.00 44.2% 12.7% 34.6% 37.8% 45.7% 10.3% 1.3% 12.3M -387.3M -3.2M 0.41 10.24 N/A N/A 1,652 673 17,351 21,833 2008-02-19 $725.22 $675.00 45.6% 13.1% 35.0% 40.4% 49.0% 10.7% 0.1% 4.0M -228.4M -3.2M 4.47 14.65 N/A N/A 964 4,307 11,726 15,246 2008-02-20 $749.34 $675.00 40.1% 11.5% 35.0% 29.9% 42.4% 9.4% 1.5% 942.3K -279.5M -3.4M 0.72 15.94 N/A N/A 1,185 857 12,127 18,794 2008-02-21 $748.80 $675.00 42.5% 12.2% 34.8% 34.6% 44.7% 9.9% -1.0% 2.4M -295.2M -3.5M 0.24 11.20 N/A N/A 4,606 1,092 12,885 19,090 2008-02-22 $759.51 $675.00 42.5% 12.2% 33.3% 34.5% 47.3% 10.9% -0.8% 6.4M -444.7M -4.0M 3.45 13.58 N/A N/A 863 2,975 15,916 19,705 2008-02-25 $765.00 $675.00 39.8% 11.4% 32.7% 29.3% 40.5% 10.4% 0.6% 5.3M -470.9M -4.0M 0.88 16.65 N/A N/A 1,142 1,005 16,299 22,276 2008-02-26 $778.68 $720.00 39.1% 11.2% 32.9% 27.5% 44.8% 10.7% 0.8% 7.4M -554.2M -4.1M 3.19 8.47 N/A N/A 1,364 4,357 17,088 22,740 2008-02-27 $794.07 $720.00 35.7% 10.2% 33.1% 20.9% 42.7% 10.6% 2.1% 10.2M -667.7M -4.1M 2.20 12.62 N/A N/A 1,665 3,662 17,883 22,335 2008-02-28 $793.53 $720.00 36.7% 10.5% 32.9% 22.8% 39.5% 10.7% 2.1% 7.5M -665.3M -4.6M 1.70 12.26 N/A N/A 1,732 2,945 18,778 25,122 2008-02-29 $751.77 $720.00 43.8% 12.6% 39.0% 36.6% 44.9% 10.3% 2.2% 1.8M -334.7M -4.9M 1.84 14.10 N/A N/A 1,288 2,365 18,613 25,825
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