EWZ Options History — August 2008

In August 2008, EWZ traded between $622.98 and $711.72. ATM implied volatility averaged 39.9%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 2.4% (HV 20d: 37.5%). Max pain ranged from $720.00 to $810.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.46.

Notable Days

  • 2008-08-26: Highest Volume — 14,686 contracts
  • 2008-08-04: Largest IV spike — 23.3% change
  • 2008-08-11: Highest IV Rank — 42.1%
  • 2008-08-11: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$661.08$622.98$711.72$711.72$660.42
Max Pain$754.29$720.00$810.00$720.00$720.00
ATM IV39.9%35.5%48.6%36.9%35.7%
Expected Move11.2%10.2%12.1%10.6%10.2%
HV 20d37.5%34.8%40.8%34.8%36.5%
HV 60d34.5%33.2%35.8%33.2%33.8%
IV Rank24.1%15.1%42.1%17.8%15.3%
IV Percentile32.4%8.3%78.2%15.5%8.7%
Term Structure-0.2%-2.2%1.4%0.4%1.4%
VWIV38.9%35.2%43.5%38.3%35.2%
Skew 25d5.3%3.5%7.1%5.8%4.5%
Skew 10d10.4%6.9%13.0%10.9%7.9%
Call IV 25d36.6%34.5%38.9%35.1%34.6%
Put IV 25d41.8%38.4%45.8%40.8%39.2%
Bid-Ask Spread %8.274.4111.9011.6011.90
Gamma HHI0.210.160.530.220.18
Net GEX-32.7M-69.5M-22.9M-30.3M-22.9M
Net DEX1.35B924.7M1.77B924.7M1.12B
Net VEX-8.4M-9.6M-7.0M-9.6M-8.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.5614.641.650.56
Total Volume4,282.71440814,6862,513408
Total OI91,129.95284,78697,51185,60395,847

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$711.72$720.0036.9%10.6%34.8%17.8%38.3%5.8%0.4%-30.3M924.7M-9.6M1.6511.60N/AN/A9471,56635,50850,095
2008-08-04$680.85$810.0045.4%12.1%37.7%35.4%43.5%7.1%-1.3%-33.7M1.28B-8.8M3.417.30N/AN/A1,4775,04135,91050,784
2008-08-05$682.83$810.0042.8%11.8%37.7%30.0%41.5%6.2%-1.4%-37.3M1.30B-8.8M1.557.91N/AN/A1,4062,18136,52852,136
2008-08-06$697.50$810.0042.0%11.5%37.3%28.3%39.1%6.1%-0.9%-38.0M1.14B-9.2M1.288.21N/AN/A1,2381,58236,67652,424
2008-08-07$683.19$810.0042.5%11.6%35.4%29.5%39.9%6.1%-1.2%-39.9M1.33B-8.8M1.079.73N/AN/A1,2851,37536,96453,057
2008-08-08$671.49$810.0040.3%11.6%35.7%24.9%41.8%6.4%-1.6%-38.1M1.39B-8.6M3.536.70N/AN/A6762,38937,98752,406
2008-08-11$648.45$810.0048.6%12.1%36.7%42.1%41.7%6.3%-2.2%-37.0M1.69B-7.7M1.168.13N/AN/A3,2413,75837,88352,961
2008-08-12$638.01$765.0044.5%12.0%36.8%33.5%40.1%5.4%-1.4%-34.9M1.75B-7.5M1.377.05N/AN/A2,1943,00539,28553,722
2008-08-13$652.05$765.0042.4%11.7%37.7%29.2%39.4%5.0%-0.3%-39.9M1.61B-7.9M1.139.16N/AN/A3,0733,47640,16754,706
2008-08-14$649.98$765.0039.2%11.2%36.6%22.6%37.3%5.5%0.3%-35.9M1.63B-7.9M2.267.22N/AN/A7121,61241,66155,793
2008-08-15$632.70$765.0039.8%11.4%37.3%23.9%39.3%4.7%-0.5%-69.5M1.77B-7.3M1.228.55N/AN/A4,0864,98041,70855,803
2008-08-18$622.98$720.0039.0%11.2%35.9%22.1%38.8%4.8%0.0%-24.5M1.54B-7.0M2.017.66N/AN/A9411,89335,25949,527
2008-08-19$634.77$720.0039.1%11.2%37.2%22.4%39.0%3.7%-0.1%-24.4M1.41B-7.6M3.499.41N/AN/A1,0203,55835,79749,812
2008-08-20$660.06$720.0036.8%10.6%40.5%17.6%38.2%4.8%0.3%-24.2M1.18B-8.5M1.624.41N/AN/A1,7572,85336,34351,449
2008-08-21$672.57$720.0036.8%10.5%39.7%17.6%37.7%4.7%0.1%-24.2M1.07B-9.0M1.146.61N/AN/A86498536,68253,398
2008-08-22$662.94$720.0036.3%10.4%39.9%16.5%37.4%5.2%1.2%-25.3M1.19B-8.8M4.436.51N/AN/A4431,96037,03853,735
2008-08-25$645.66$720.0039.4%11.3%40.8%22.9%38.7%4.7%0.7%-27.6M1.38B-8.4M2.339.65N/AN/A4331,01037,25355,416
2008-08-26$643.32$720.0039.5%11.3%40.0%23.2%38.5%5.1%0.7%-28.0M1.41B-8.3M14.6411.10N/AN/A93913,74737,43755,587
2008-08-27$662.31$720.0035.5%10.2%37.1%15.1%36.3%3.5%1.0%-27.4M1.13B-8.6M0.955.98N/AN/A2,4462,33438,16354,841
2008-08-28$668.79$720.0036.3%10.4%37.3%16.5%36.3%4.5%1.0%-23.8M1.03B-9.0M0.898.79N/AN/A55249440,14955,832
2008-08-29$660.42$720.0035.7%10.2%36.5%15.3%35.2%4.5%1.4%-22.9M1.12B-8.7M0.5611.90N/AN/A26114740,43855,409