EWZ Options History — June 2008 In June 2008, EWZ traded between $795.96 and $885.87. ATM implied volatility averaged 38.4%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 4.4% (HV 20d: 34.0%). Max pain ranged from $810.00 to $900.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.85.
Notable Days 2008-06-10 : Highest Volume — 10,165 contracts2008-06-09 : Largest IV spike — 10.2% change2008-06-09 : Highest IV Rank — 33.2%2008-06-10 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $828.29 $795.96 $885.87 $885.87 $803.61 Max Pain $852.86 $810.00 $900.00 $810.00 $855.00 ATM IV 38.4% 36.1% 42.3% 36.3% 36.6% Expected Move 11.0% 10.3% 11.9% 10.4% 10.5% HV 20d 34.0% 27.6% 36.2% 27.6% 34.9% HV 60d 35.3% 32.7% 38.9% 38.4% 33.3% IV Rank 25.5% 21.1% 33.2% 21.6% 22.1% IV Percentile 28.8% 18.7% 45.2% 25.4% 19.8% Term Structure 0.6% -1.1% 2.1% 0.0% -0.1% VWIV 39.0% 35.6% 41.6% 37.4% 35.6% Skew 25d 6.6% 4.8% 8.9% 5.1% 5.0% Skew 10d 12.3% 8.7% 16.6% 10.0% 9.6% Call IV 25d 35.5% 32.7% 37.5% 35.2% 34.3% Put IV 25d 42.0% 38.5% 45.7% 40.2% 39.4% Bid-Ask Spread % 10.38 6.40 13.78 10.33 10.82 Gamma HHI 0.17 0.13 0.39 0.20 0.17 Net GEX -14.9M -48.5M 2.7M 2.7M -12.5M Net DEX 31.9M -819.7M 680.9M -819.7M 200.4M Net VEX -9.7M -10.1M -9.4M -9.5M -10.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.85 0.64 9.05 0.71 1.30 Total Volume 4,040.238 1,627 10,165 1,627 4,331 Total OI 88,662.238 66,266 104,986 85,287 75,281
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 2008-06-02 $885.87 $810.00 36.3% 10.4% 27.6% 21.6% 37.4% 5.1% 0.0% 2.7M -819.7M -9.5M 0.71 10.33 N/A N/A 951 676 33,802 51,485 2008-06-03 $860.40 $810.00 38.9% 11.2% 29.8% 26.6% 38.6% 6.2% -0.1% -3.3M -482.7M -9.5M 0.69 10.13 N/A N/A 1,025 711 33,597 51,870 2008-06-04 $837.90 $810.00 39.2% 11.2% 31.2% 27.1% 39.5% 7.6% -1.1% -9.3M -148.7M -9.4M 1.94 7.63 N/A N/A 1,896 3,682 33,545 51,921 2008-06-05 $875.88 $810.00 36.4% 10.4% 32.8% 21.7% 36.9% 5.7% 1.0% -2.6M -631.6M -9.6M 1.08 6.40 N/A N/A 1,771 1,912 34,277 54,690 2008-06-06 $853.20 $900.00 38.4% 11.2% 34.3% 25.6% 39.5% 7.2% 1.0% -9.8M -297.6M -9.9M 1.19 8.55 N/A N/A 1,902 2,270 34,643 55,244 2008-06-09 $852.12 $900.00 42.3% 11.5% 34.2% 33.2% 40.8% 8.1% 0.3% -13.5M -229.5M -9.9M 2.77 10.32 N/A N/A 1,094 3,030 35,912 56,617 2008-06-10 $823.05 $900.00 42.2% 11.9% 35.7% 33.0% 41.6% 8.9% -0.3% -22.8M 215.7M -9.7M 1.32 7.74 N/A N/A 4,388 5,777 36,429 57,706 2008-06-11 $810.09 $855.00 41.2% 11.6% 36.0% 31.1% 40.8% 7.1% 0.5% -25.1M 395.3M -9.8M 1.09 7.45 N/A N/A 2,420 2,630 38,137 59,814 2008-06-12 $817.47 $855.00 39.7% 11.4% 36.2% 28.1% 40.6% 7.7% 0.8% -16.9M 242.0M -10.1M 1.61 11.09 N/A N/A 849 1,369 39,915 60,689 2008-06-13 $817.38 $855.00 38.8% 11.1% 34.6% 26.5% 39.1% 7.6% 1.3% -22.0M 251.5M -10.0M 1.74 11.17 N/A N/A 798 1,387 39,919 61,735 2008-06-16 $825.84 $855.00 39.3% 11.3% 33.0% 27.3% 38.6% 6.9% 1.2% -18.5M 110.9M -9.8M 0.64 13.12 N/A N/A 1,388 889 39,947 61,939 2008-06-17 $846.00 $855.00 36.1% 10.4% 34.4% 21.2% 37.4% 6.8% 2.1% -6.3M -280.5M -9.8M 1.06 10.88 N/A N/A 1,337 1,419 40,716 61,645 2008-06-18 $836.01 $855.00 36.9% 10.6% 34.4% 22.7% 39.8% 6.7% 1.9% -11.6M -96.3M -9.7M 2.98 9.93 N/A N/A 781 2,328 41,116 62,057 2008-06-19 $828.00 $855.00 38.3% 11.0% 34.1% 25.4% 39.2% 6.8% 1.3% -27.7M 65.2M -9.6M 9.05 9.41 N/A N/A 486 4,394 41,448 63,538 2008-06-20 $801.90 $855.00 38.9% 11.1% 35.5% 26.5% 39.7% 6.0% 1.3% -48.5M 680.9M -9.4M 2.37 11.05 N/A N/A 2,752 6,513 41,346 63,120 2008-06-23 $802.35 $855.00 37.9% 10.9% 35.5% 24.6% 40.2% 5.4% 0.8% -12.8M 383.5M -9.6M 1.34 13.27 N/A N/A 1,606 2,148 27,146 39,120 2008-06-24 $800.28 $855.00 36.1% 10.3% 35.1% 21.1% 40.1% 5.8% 0.9% -13.3M 383.9M -9.5M 1.65 9.79 N/A N/A 1,251 2,059 27,991 39,772 2008-06-25 $823.14 $855.00 36.7% 10.5% 34.1% 22.3% 36.3% 6.2% -0.0% -10.6M 99.3M -9.9M 1.02 13.78 N/A N/A 1,814 1,854 28,647 41,235 2008-06-26 $795.96 $855.00 38.5% 11.0% 35.5% 25.7% 39.2% 6.5% -0.4% -13.7M 321.5M -10.0M 1.42 12.75 N/A N/A 1,595 2,271 29,702 42,246 2008-06-27 $797.58 $855.00 36.9% 10.6% 34.7% 22.8% 38.6% 4.8% -0.1% -13.9M 306.8M -9.8M 1.90 12.29 N/A N/A 1,064 2,027 29,702 42,246 2008-06-30 $803.61 $855.00 36.6% 10.5% 34.9% 22.1% 35.6% 5.0% -0.1% -12.5M 200.4M -10.0M 1.30 10.82 N/A N/A 1,881 2,450 31,368 43,913
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