EWZ Options History — April 2008 In April 2008, EWZ traded between $718.92 and $812.88. ATM implied volatility averaged 36.4%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 0.6% (HV 20d: 37.1%). Max pain ranged from $720.00 to $765.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.15.
Notable Days 2008-04-30 : Highest Volume — 6,172 contracts2008-04-03 : Largest IV drop — 15.0% change2008-04-02 : Highest IV Rank — 28.5%2008-04-02 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $768.73 $718.92 $812.88 $718.92 $812.88 Max Pain $740.45 $720.00 $765.00 $720.00 $765.00 ATM IV 36.4% 31.6% 39.8% 38.8% 35.0% Expected Move 10.6% 9.1% 11.4% 11.1% 10.0% HV 20d 37.1% 23.0% 52.9% 52.9% 35.9% HV 60d 42.0% 39.8% 45.0% 45.0% 43.2% IV Rank 21.8% 12.4% 28.5% 26.6% 19.0% IV Percentile 28.5% 17.9% 35.7% 34.1% 22.6% Term Structure 1.9% 0.7% 4.7% 2.7% 0.9% VWIV 38.9% 35.1% 42.9% 42.2% 35.3% Skew 25d 7.8% 3.5% 9.5% 8.8% 3.5% Skew 10d 15.1% 4.7% 18.9% 17.1% 4.7% Call IV 25d 34.3% 30.3% 36.9% 34.8% 33.7% Put IV 25d 42.0% 37.2% 45.9% 43.7% 37.2% Bid-Ask Spread % 11.26 5.66 15.93 13.66 6.52 Gamma HHI 0.17 0.13 0.27 0.14 0.15 Net GEX 12.8M -1.1M 26.7M 3.3M 16.0M Net DEX -535.5M -1.15B -79.3M -79.3M -690.2M Net VEX -6.3M -6.5M -6.0M -6.0M -6.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.15 0.25 3.90 2.05 0.63 Total Volume 2,888.455 656 6,172 3,862 6,172 Total OI 58,124.182 47,453 68,076 52,845 57,840
Daily Data (22 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 2008-04-01 $718.92 $720.00 38.8% 11.1% 52.9% 26.6% 42.2% 8.8% 2.7% 3.3M -79.3M -6.0M 2.05 13.66 N/A N/A 1,265 2,597 22,844 30,001 2008-04-02 $732.60 $720.00 39.8% 11.4% 52.9% 28.5% 40.1% 9.5% 3.0% 6.5M -249.1M -6.3M 1.95 13.18 N/A N/A 1,441 2,808 23,873 32,087 2008-04-03 $744.48 $720.00 33.9% 9.7% 52.2% 16.9% 36.8% 8.5% 4.7% 7.7M -345.5M -6.3M 0.70 8.35 N/A N/A 1,597 1,118 24,274 32,773 2008-04-04 $753.30 $720.00 36.1% 11.3% 49.7% 21.3% 39.7% 9.1% 1.9% 12.1M -452.6M -6.2M 0.52 10.05 N/A N/A 3,016 1,558 25,140 32,817 2008-04-07 $753.21 $720.00 35.8% 11.3% 49.2% 20.5% 40.7% 8.9% 1.6% 18.6M -536.0M -6.2M 0.80 15.04 N/A N/A 1,432 1,152 27,327 32,615 2008-04-08 $761.40 $720.00 35.2% 11.3% 47.4% 19.5% 39.6% 9.1% 0.8% 20.1M -619.6M -6.2M 0.65 11.11 N/A N/A 1,429 925 27,365 33,184 2008-04-09 $755.55 $720.00 34.7% 11.2% 44.0% 18.5% 41.3% 9.1% 1.2% 17.3M -535.5M -6.3M 2.71 11.16 N/A N/A 429 1,162 27,634 33,934 2008-04-10 $756.72 $720.00 38.8% 11.1% 44.0% 26.3% 42.9% 8.8% 1.8% 17.6M -543.2M -6.4M 0.83 10.79 N/A N/A 1,803 1,504 27,545 34,623 2008-04-11 $743.94 $720.00 38.5% 11.0% 44.3% 25.8% 41.2% 8.9% 1.5% 15.0M -393.3M -6.5M 0.74 15.93 N/A N/A 377 279 28,548 35,004 2008-04-14 $748.26 $720.00 39.6% 11.3% 43.8% 27.9% 40.9% 8.8% 0.7% 19.9M -513.2M -6.3M 0.61 15.77 N/A N/A 948 576 28,672 34,626 2008-04-15 $757.35 $720.00 38.9% 11.2% 41.1% 26.6% 42.2% 9.3% 1.2% 25.8M -655.1M -6.2M 1.00 11.90 N/A N/A 1,746 1,748 29,058 34,516 2008-04-16 $782.37 $720.00 38.6% 11.1% 39.1% 25.9% 39.3% 7.0% 1.2% 26.7M -1.03B -6.1M 1.39 11.38 N/A N/A 1,108 1,543 29,838 35,647 2008-04-17 $790.11 $765.00 36.2% 10.4% 24.6% 21.4% 36.4% 6.5% 2.1% 23.5M -1.13B -6.0M 0.51 11.63 N/A N/A 2,381 1,224 30,216 36,124 2008-04-18 $789.93 $765.00 35.4% 10.2% 24.7% 19.8% 39.5% 7.6% 1.9% 9.4M -1.15B -6.1M 0.69 15.81 N/A N/A 1,043 719 31,040 37,036 2008-04-21 $804.78 $765.00 36.0% 10.3% 25.0% 21.0% 37.2% 7.0% 1.6% 10.9M -586.5M -6.0M 0.25 7.94 N/A N/A 1,031 261 21,216 26,348 2008-04-22 $802.89 $765.00 36.8% 10.6% 23.0% 22.6% 40.8% 7.4% 1.3% 10.6M -567.0M -6.0M 3.90 9.52 N/A N/A 876 3,414 21,217 26,236 2008-04-23 $797.85 $765.00 34.6% 9.9% 23.4% 18.2% 35.3% 7.3% 2.0% 7.5M -475.5M -6.4M 1.03 11.35 N/A N/A 1,634 1,685 21,617 29,084 2008-04-24 $777.51 $765.00 36.9% 10.6% 24.4% 22.8% 36.7% 6.5% 1.5% 4.0M -335.6M -6.5M 1.27 9.07 N/A N/A 549 699 22,455 30,514 2008-04-25 $788.40 $765.00 31.6% 9.1% 23.8% 12.4% 35.7% 7.3% 4.2% 5.6M -386.6M -6.5M 1.11 11.52 N/A N/A 676 750 22,654 30,776 2008-04-28 $784.17 $765.00 35.5% 10.2% 24.1% 20.0% 37.4% 6.1% 1.8% 5.6M -384.0M -6.4M 1.11 5.66 N/A N/A 1,419 1,580 22,970 31,308 2008-04-29 $755.37 $765.00 35.1% 10.1% 26.0% 19.2% 35.1% 5.5% 1.6% -1.1M -128.4M -6.4M 0.76 10.40 N/A N/A 2,194 1,678 23,980 32,156 2008-04-30 $812.88 $765.00 35.0% 10.0% 35.9% 19.0% 35.3% 3.5% 0.9% 16.0M -690.2M -6.4M 0.63 6.52 N/A N/A 3,780 2,392 24,659 33,181
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