EWZ Options History — September 2008

In September 2008, EWZ traded between $458.91 and $630.90. ATM implied volatility averaged 59.6%, placing in the 59.6% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 6.7% (HV 20d: 66.3%). Max pain ranged from $585.00 to $720.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.13.

Notable Days

2008-09-09: Highest Volume — 17,451 contracts
2008-09-29: Largest IV spike — 69.6% change
2008-09-29: Highest IV Rank — 100.0%
2008-09-29: Largest Expected Move — 30.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$545.18	$458.91	$630.90	$630.90	$506.79
Max Pain	$621.43	$585.00	$720.00	$720.00	$585.00
ATM IV	59.6%	41.1%	105.8%	41.1%	89.3%
Expected Move	17.0%	11.8%	30.3%	11.8%	25.6%
HV 20d	66.3%	36.7%	113.2%	36.7%	113.2%
HV 60d	47.9%	34.6%	71.1%	34.6%	71.1%
IV Rank	59.6%	26.5%	100.0%	26.5%	78.8%
IV Percentile	86.3%	42.5%	100.0%	42.5%	99.6%
Term Structure	-6.8%	-22.9%	0.2%	-1.4%	-16.5%
VWIV	59.2%	40.3%	106.1%	40.3%	87.8%
Skew 25d	8.7%	4.0%	21.4%	4.0%	15.0%
Skew 10d	16.2%	8.0%	35.4%	8.0%	25.8%
Call IV 25d	56.0%	39.4%	97.4%	39.4%	80.0%
Put IV 25d	64.7%	43.4%	118.8%	43.4%	95.0%
Bid-Ask Spread %	13.07	5.05	25.50	5.05	14.81
Gamma HHI	0.17	0.11	0.23	0.19	0.14
Net GEX	-15.0M	-26.5M	-3.5M	-25.4M	-5.4M
Net DEX	1.58B	763.5M	2.26B	1.45B	1.21B
Net VEX	-8.6M	-10.5M	-6.9M	-7.8M	-8.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.27	2.20	2.20	1.97
Total Volume	8,926.048	1,021	17,451	3,595	6,153
Total OI	121,656.524	95,964	146,422	95,964	116,733

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
2008-09-02	$630.90	$720.00	41.1%	11.8%	36.7%	26.5%	40.3%	4.0%	-1.4%	-25.4M	1.45B	-7.8M	2.20	5.05	N/A	N/A	1,124	2,471	40,536	55,428
2008-09-03	$618.66	$720.00	41.3%	11.8%	37.0%	27.0%	43.7%	4.7%	0.2%	-25.8M	1.58B	-7.4M	1.32	8.12	N/A	N/A	4,016	5,284	40,976	55,735
2008-09-04	$584.01	$720.00	46.1%	13.2%	40.1%	36.8%	47.5%	4.5%	-0.9%	-26.2M	1.87B	-7.2M	0.99	5.48	N/A	N/A	7,349	7,275	44,092	59,462
2008-09-05	$579.87	$630.00	44.4%	12.6%	39.9%	33.4%	43.0%	7.0%	-0.9%	-26.5M	1.88B	-7.7M	1.29	11.23	N/A	N/A	3,649	4,716	48,541	63,493
2008-09-08	$567.45	$630.00	45.3%	12.7%	40.0%	35.2%	43.6%	5.8%	-1.4%	-26.4M	1.95B	-7.4M	0.78	7.03	N/A	N/A	7,987	6,251	51,043	65,152
2008-09-09	$525.51	$630.00	53.6%	14.3%	46.0%	52.3%	50.2%	7.1%	-3.6%	-22.0M	2.26B	-6.9M	1.55	9.61	N/A	N/A	6,846	10,605	54,903	68,342
2008-09-10	$539.55	$630.00	49.8%	14.0%	47.8%	44.5%	47.1%	6.9%	-3.3%	-20.0M	2.00B	-7.7M	1.33	9.46	N/A	N/A	5,101	6,806	59,507	67,743
2008-09-11	$545.85	$630.00	49.6%	14.2%	47.0%	44.0%	47.4%	8.1%	-3.1%	-20.6M	1.86B	-8.6M	0.73	11.36	N/A	N/A	5,012	3,671	61,232	70,642
2008-09-12	$573.93	$630.00	47.7%	13.7%	51.5%	40.1%	48.0%	6.4%	-2.0%	-17.3M	1.42B	-10.0M	0.55	9.56	N/A	N/A	4,878	2,687	64,445	71,245
2008-09-15	$520.20	$630.00	61.6%	17.7%	60.7%	68.9%	62.8%	7.7%	-8.2%	-16.3M	1.94B	-8.6M	0.93	11.00	N/A	N/A	8,023	7,484	66,322	72,525
2008-09-16	$527.40	$630.00	57.9%	16.6%	61.2%	61.1%	57.3%	9.8%	-8.6%	-16.0M	1.95B	-8.4M	1.88	13.49	N/A	N/A	3,285	6,179	67,208	72,328
2008-09-17	$479.16	$585.00	66.1%	19.0%	67.7%	78.1%	67.6%	7.5%	-11.1%	-15.0M	2.25B	-7.3M	0.83	17.91	N/A	N/A	4,590	3,818	68,888	74,867
2008-09-18	$495.00	$585.00	67.3%	19.3%	67.1%	80.5%	63.3%	10.0%	-13.0%	-15.3M	2.08B	-8.0M	0.98	25.50	N/A	N/A	4,200	4,118	71,067	74,669
2008-09-19	$569.70	$585.00	62.8%	18.0%	86.2%	71.2%	64.3%	9.2%	-11.8%	-5.4M	1.26B	-10.5M	0.85	19.41	N/A	N/A	6,549	5,561	71,454	74,968
2008-09-22	$566.55	$585.00	63.2%	18.1%	86.2%	72.1%	63.4%	8.8%	-8.4%	-5.4M	763.5M	-10.3M	0.79	14.74	N/A	N/A	7,157	5,679	49,834	59,619
2008-09-23	$530.37	$585.00	67.0%	19.2%	88.5%	80.1%	70.4%	9.8%	-8.3%	-5.9M	1.11B	-10.2M	0.86	17.16	N/A	N/A	2,939	2,526	55,143	63,597
2008-09-24	$529.02	$585.00	66.2%	19.0%	88.5%	78.4%	66.8%	10.5%	-7.4%	-6.0M	1.11B	-9.4M	1.03	12.31	N/A	N/A	503	518	51,577	60,340
2008-09-25	$557.46	$585.00	62.8%	18.0%	90.2%	71.2%	60.5%	10.0%	-5.3%	-3.5M	798.3M	-10.0M	0.51	16.58	N/A	N/A	2,242	1,155	51,676	60,269
2008-09-26	$542.52	$585.00	62.4%	17.9%	90.1%	70.4%	63.0%	9.4%	-3.9%	-4.2M	982.5M	-9.7M	0.27	13.19	N/A	N/A	3,397	933	52,908	60,808
2008-09-29	$458.91	$585.00	105.8%	30.3%	106.0%	100.0%	106.1%	21.4%	-22.9%	-5.7M	1.39B	-7.7M	2.11	21.51	N/A	N/A	1,514	3,196	54,583	60,887
2008-09-30	$506.79	$585.00	89.3%	25.6%	113.2%	78.8%	87.8%	15.0%	-16.5%	-5.4M	1.21B	-8.9M	1.97	14.81	N/A	N/A	2,070	4,083	54,720	62,013