EWZ Options History — March 2008

In March 2008, EWZ traded between $673.38 and $775.80. ATM implied volatility averaged 45.9%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 1.0% (HV 20d: 46.9%). Max pain ranged from $720.00 to $765.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.69.

Notable Days

  • 2008-03-17: Highest Volume — 6,838 contracts
  • 2008-03-17: Largest IV spike — 15.8% change
  • 2008-03-17: Highest IV Rank — 59.1%
  • 2008-03-17: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$718.13$673.38$775.80$771.84$693.27
Max Pain$729.00$720.00$765.00$720.00$720.00
ATM IV45.9%40.4%55.5%43.9%46.1%
Expected Move13.2%11.6%15.9%12.6%13.2%
HV 20d46.9%34.4%55.7%39.5%52.0%
HV 60d42.1%39.5%44.4%40.8%44.3%
IV Rank40.5%30.0%59.1%36.8%40.6%
IV Percentile65.9%42.9%95.2%59.5%68.3%
Term Structure-0.1%-4.6%3.1%1.7%0.8%
VWIV46.5%40.7%55.8%44.2%44.1%
Skew 25d9.9%7.6%12.4%12.4%9.1%
Skew 10d19.0%13.7%23.3%23.3%17.6%
Call IV 25d40.9%34.3%49.5%37.2%40.4%
Put IV 25d50.8%45.9%59.6%49.6%49.5%
Bid-Ask Spread %12.777.7518.478.6810.27
Gamma HHI0.150.130.270.140.13
Net GEX-4.2M-26.1M3.2M2.5M-3.6M
Net DEX3.5M-470.1M519.0M-444.3M152.6M
Net VEX-5.7M-6.1M-4.9M-4.9M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.414.042.491.32
Total Volume3,658.357566,8383,9441,849
Total OI55,241.946,15666,13746,15652,831

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$771.84$720.0043.9%12.6%39.5%36.8%44.2%12.4%1.7%2.5M-444.3M-4.9M2.498.68N/AN/A1,1312,81318,97427,182
2008-03-04$754.38$720.0040.5%11.6%40.7%30.2%44.5%11.8%3.1%4.9K-294.5M-5.1M4.0210.16N/AN/A8073,24119,62628,714
2008-03-05$775.80$720.0040.4%11.6%34.4%30.0%40.7%11.6%2.7%2.7M-470.1M-5.2M0.418.80N/AN/A2,5031,03719,98230,614
2008-03-06$741.06$720.0046.4%13.3%39.2%41.6%44.5%8.1%1.0%3.2M-246.5M-5.6M0.9911.87N/AN/A2,7392,72322,01231,003
2008-03-07$727.29$765.0048.8%14.0%39.7%46.1%50.7%10.4%-2.2%-451.8K-101.5M-6.1M3.7213.70N/AN/A5211,94124,23333,151
2008-03-10$702.90$765.0048.9%13.9%41.8%46.5%48.5%10.9%-1.6%-7.6M203.0M-5.9M4.0414.39N/AN/A7843,16724,08434,143
2008-03-11$740.25$765.0044.4%12.9%44.0%37.7%43.6%10.9%-0.0%296.5K-200.9M-5.8M1.1416.92N/AN/A1,7521,99224,05534,401
2008-03-12$741.78$765.0043.6%12.8%43.8%36.2%44.0%9.9%0.9%1.1M-236.1M-5.9M0.5516.61N/AN/A48726924,53335,131
2008-03-13$733.95$720.0044.0%12.6%43.6%36.9%47.2%11.3%1.1%1.0M-192.1M-5.8M2.1514.28N/AN/A1,3322,86724,58834,726
2008-03-14$721.26$720.0047.9%13.7%43.4%44.5%49.6%9.0%-0.0%-1.7M-45.8M-5.8M1.4718.29N/AN/A1,9952,93624,98835,198
2008-03-17$693.00$720.0055.5%15.9%45.8%59.1%55.8%10.1%-4.6%-9.8M290.0M-5.8M3.1616.63N/AN/A1,6425,19625,71436,659
2008-03-18$727.74$720.0048.8%14.0%48.4%46.1%47.8%9.7%-1.9%930.6K-148.7M-5.9M0.6514.03N/AN/A2,5291,63926,42737,680
2008-03-19$673.38$720.0051.7%14.8%54.1%51.8%51.4%8.1%-3.1%-17.2M519.0M-5.4M1.7512.67N/AN/A2,2863,99127,10637,730
2008-03-20$675.00$720.0049.0%14.1%54.1%46.6%48.8%8.6%-1.5%-26.1M498.9M-5.5M1.3810.14N/AN/A2,1772,99327,13838,999
2008-03-24$680.31$720.0045.7%13.1%53.9%39.9%44.8%9.8%-0.4%-9.8M296.3M-5.5M0.8518.47N/AN/A1,4521,23918,43327,872
2008-03-25$704.97$720.0042.2%12.1%55.7%33.2%42.9%9.0%0.7%-5.8M119.9M-5.7M0.9013.89N/AN/A1,1901,06819,63328,491
2008-03-26$713.07$720.0042.8%12.3%55.4%34.3%44.1%10.5%0.5%-3.1M47.3M-5.8M0.559.19N/AN/A1,44078520,02328,753
2008-03-27$699.57$720.0042.8%12.3%54.9%34.2%47.9%9.4%1.1%-4.9M143.1M-5.8M0.647.75N/AN/A1,17474920,42129,145
2008-03-28$691.83$720.0045.0%12.9%54.8%38.6%44.7%7.6%0.8%-5.6M180.1M-5.8M1.648.71N/AN/A1,0351,69621,32829,117
2008-03-31$693.27$720.0046.1%13.2%52.0%40.6%44.1%9.1%0.8%-3.6M152.6M-6.0M1.3210.27N/AN/A7961,05322,39030,441