EWZ Options History — May 2008

In May 2008, EWZ traded between $822.78 and $904.23. ATM implied volatility averaged 34.2%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 2.2% (HV 20d: 36.4%). Max pain ranged from $720.00 to $810.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2008-05-01: Highest Volume — 9,301 contracts
  • 2008-05-09: Largest IV drop — 17.1% change
  • 2008-05-27: Highest IV Rank — 27.9%
  • 2008-05-27: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$864.21$822.78$904.23$826.38$893.16
Max Pain$777.86$720.00$810.00$765.00$810.00
ATM IV34.2%28.2%39.6%36.7%34.5%
Expected Move10.1%8.9%11.3%10.5%9.9%
HV 20d36.4%27.7%38.5%35.9%27.7%
HV 60d41.0%39.6%41.5%41.5%39.6%
IV Rank17.4%5.9%27.9%22.2%18.0%
IV Percentile20.5%3.2%34.9%28.6%17.1%
Term Structure0.9%-0.1%2.8%0.5%0.9%
VWIV35.6%31.7%39.8%35.2%34.7%
Skew 25d5.7%4.9%6.5%5.0%5.1%
Skew 10d11.2%9.1%13.9%9.1%11.0%
Call IV 25d32.7%27.8%36.7%33.8%32.6%
Put IV 25d38.3%33.6%42.9%38.9%37.7%
Bid-Ask Spread %10.156.2315.3112.018.14
Gamma HHI0.180.140.430.140.20
Net GEX15.2M-4.1M52.5M16.9M3.4M
Net DEX-923.3M-1.48B-487.7M-816.0M-898.0M
Net VEX-7.8M-9.4M-6.6M-6.6M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.403.900.991.00
Total Volume3,862.6191,0009,3019,3012,028
Total OI73,469.42959,70283,48859,70283,488

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$826.38$765.0036.7%10.5%35.9%22.2%35.2%5.0%0.5%16.9M-816.0M-6.6M0.9912.01N/AN/A4,6834,61825,68734,015
2008-05-02$840.60$765.0032.2%9.2%36.1%13.6%34.0%4.9%1.3%23.6M-961.7M-7.1M0.407.22N/AN/A3,4641,38129,00337,663
2008-05-05$844.65$720.0031.9%9.5%36.0%12.9%33.5%6.3%0.7%23.0M-998.7M-6.7M1.1015.22N/AN/A1,8572,04628,62737,970
2008-05-06$849.60$720.0030.5%9.5%36.0%10.3%33.7%5.9%0.7%25.4M-1.04B-6.9M0.8915.31N/AN/A1,03491629,67339,366
2008-05-07$822.78$765.0034.4%10.2%38.2%17.9%36.6%5.9%0.5%14.3M-700.6M-7.1M2.8412.23N/AN/A1,6954,82029,48239,814
2008-05-08$831.60$765.0034.7%10.2%38.2%18.4%35.9%6.4%0.4%14.0M-736.0M-7.5M1.1713.53N/AN/A79292329,87542,630
2008-05-09$835.92$765.0028.8%9.6%37.3%6.9%35.5%6.1%1.3%15.6M-767.6M-7.5M1.3510.93N/AN/A55675229,60643,103
2008-05-12$852.39$765.0032.3%9.6%37.6%13.7%33.2%5.8%0.4%22.3M-1.04B-7.1M0.8713.89N/AN/A1,6391,42929,93843,327
2008-05-13$855.18$765.0028.9%9.4%37.6%7.1%33.4%5.7%0.6%25.9M-1.09B-7.2M1.7211.31N/AN/A1,0321,77230,77844,199
2008-05-14$848.25$765.0028.2%9.1%36.6%5.9%33.5%5.3%1.8%24.8M-1.01B-7.3M3.909.33N/AN/A5111,99531,12244,615
2008-05-15$871.47$765.0031.2%8.9%37.4%11.5%31.7%5.8%2.4%27.5M-1.27B-7.1M2.018.13N/AN/A6631,33231,11645,501
2008-05-16$895.95$765.0032.2%9.2%38.2%13.5%33.5%5.2%2.8%52.5M-1.48B-7.1M1.198.02N/AN/A3,6314,32431,27546,146
2008-05-19$900.27$765.0035.9%10.3%37.9%20.7%37.6%4.9%1.1%13.3M-1.06B-7.5M1.059.16N/AN/A3,5253,70026,23739,495
2008-05-20$904.23$810.0037.6%10.8%37.8%24.0%38.2%6.5%0.4%11.6M-1.10B-8.1M1.8810.98N/AN/A2,3114,34328,26541,729
2008-05-21$888.75$810.0038.8%11.1%38.5%26.3%38.5%6.4%0.7%6.5M-915.2M-8.9M1.397.46N/AN/A1,7522,44129,68245,150
2008-05-22$877.32$810.0039.5%11.3%37.4%27.7%38.1%5.3%1.3%1.1M-719.7M-9.0M1.477.54N/AN/A1,0331,52029,86746,787
2008-05-23$877.05$810.0038.5%11.0%37.3%25.9%37.9%5.4%1.4%-1.5M-667.7M-9.2M1.758.25N/AN/A36463630,04847,888
2008-05-27$861.84$810.0039.6%11.3%38.0%27.9%39.8%5.7%-0.1%-4.1M-487.7M-8.9M0.686.97N/AN/A1,33490630,09048,185
2008-05-28$892.89$810.0035.7%10.2%36.0%20.4%36.8%6.3%0.7%4.5M-923.5M-8.8M2.1411.24N/AN/A1,0952,34131,14048,491
2008-05-29$878.22$810.0036.0%10.3%27.7%21.0%36.8%5.8%0.3%-985.8K-710.7M-9.1M0.766.23N/AN/A2,2231,69831,62350,162
2008-05-30$893.16$810.0034.5%9.9%27.7%18.0%34.7%5.1%0.9%3.4M-898.0M-9.4M1.008.14N/AN/A1,0161,01232,73450,754