EWZ Options History — October 2008 In October 2008, EWZ traded between $86.97 and $506.25. ATM implied volatility averaged 122.8%, placing in the 75.5% IV rank vs the trailing year. The 30-day expected move averaged 32.1%. IV traded below realized volatility by 222.7% (HV 20d: 345.4%). Max pain ranged from $120.00 to $585.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.39.
Notable Days 2008-10-30 : Highest Volume — 40,742 contracts2008-10-15 : Largest IV spike — 29.3% change2008-10-02 : Highest IV Rank — 100.0%2008-10-24 : Largest Expected Move — 40.1%Monthly Statistics Metric Avg Min Max Open Close Price $186.37 $86.97 $506.25 $506.25 $112.98 Max Pain $219.78 $120.00 $585.00 $585.00 $120.00 ATM IV 122.8% 87.1% 168.7% 87.1% 103.8% Expected Move 32.1% 25.0% 40.1% 25.0% 29.8% HV 20d 345.4% 113.2% 431.5% 113.2% 431.5% HV 60d 206.7% 71.1% 258.5% 71.1% 258.5% IV Rank 75.5% 42.8% 100.0% 75.9% 53.8% IV Percentile 97.6% 92.5% 100.0% 99.2% 92.5% Term Structure -9.6% -20.6% -0.2% -13.2% -1.0% VWIV 113.1% 84.1% 146.4% 84.1% 104.2% Skew 25d 27.5% 11.8% 44.5% 11.8% 27.0% Skew 10d 49.7% 17.9% 82.3% 23.6% 56.4% Call IV 25d 98.5% 77.5% 118.2% 80.1% 95.1% Put IV 25d 126.0% 91.8% 156.9% 91.8% 122.1% Bid-Ask Spread % 17.47 10.54 32.63 11.60 16.00 Gamma HHI 0.16 0.12 0.21 0.15 0.13 Net GEX -5.4M -8.1M -3.2M -5.6M -4.3M Net DEX 1.45B 1.07B 1.84B 1.18B 1.17B Net VEX -5.3M -9.2M -3.2M -9.2M -6.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.39 0.50 3.55 0.50 1.78 Total Volume 18,959.348 6,266 40,742 7,119 8,654 Total OI 362,964.043 118,540 499,002 118,540 499,002
Daily Data (23 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 2008-10-01 $506.25 $585.00 87.1% 25.0% 113.2% 75.9% 84.1% 11.8% -13.2% -5.6M 1.18B -9.2M 0.50 11.60 N/A N/A 4,737 2,382 55,191 63,349 2008-10-02 $445.14 $540.00 107.2% 30.7% 119.8% 100.0% 107.1% 17.4% -20.6% -6.5M 1.50B -7.5M 0.69 16.75 N/A N/A 3,717 2,549 57,945 64,892 2008-10-03 $426.60 $540.00 101.8% 29.2% 120.2% 93.2% 95.7% 16.0% -19.9% -7.7M 1.67B -6.6M 1.75 11.96 N/A N/A 3,148 5,520 60,035 66,161 2008-10-06 $384.84 $450.00 127.3% 27.8% 124.2% 100.0% 98.3% 28.3% -11.7% -8.1M 1.84B -5.2M 1.24 32.63 N/A N/A 5,504 6,819 62,428 70,018 2008-10-07 $344.25 $450.00 141.3% 29.3% 126.9% 100.0% 104.2% 16.9% -4.5% -6.6M 1.78B -4.6M 2.05 19.92 N/A N/A 2,588 5,298 65,088 72,106 2008-10-08 $333.00 $450.00 151.0% 33.3% 125.7% 100.0% 110.3% 22.6% -12.7% -5.8M 1.71B -4.5M 0.70 23.65 N/A N/A 4,595 3,234 66,953 73,334 2008-10-09 $107.13 $120.00 155.3% 33.4% 412.7% 100.0% 118.8% 23.1% -10.3% -4.9M 1.66B -4.5M 0.59 31.12 N/A N/A 15,020 8,865 209,679 222,559 2008-10-10 $103.32 $120.00 168.7% 40.0% 410.2% 100.0% 135.8% 35.1% -19.4% -3.8M 1.43B -4.7M 1.42 19.97 N/A N/A 4,607 6,532 216,861 213,346 2008-10-13 $129.75 $120.00 124.0% 29.1% 424.9% 68.2% 102.4% 34.0% -11.6% -6.5M 1.45B -6.4M 0.66 19.98 N/A N/A 10,537 6,992 216,639 217,503 2008-10-14 $130.53 $120.00 127.6% 30.3% 424.7% 70.7% 105.8% 30.4% -11.2% -6.0M 1.34B -6.8M 1.12 31.48 N/A N/A 8,613 9,613 219,047 217,312 2008-10-15 $104.91 $120.00 164.9% 37.2% 428.0% 97.3% 122.5% 24.5% -15.0% -4.6M 1.48B -4.8M 0.88 15.60 N/A N/A 8,236 7,288 224,608 221,527 2008-10-16 $110.70 $120.00 127.8% 36.6% 428.7% 70.8% 123.5% 29.6% -11.7% -4.8M 1.43B -5.4M 1.32 14.30 N/A N/A 8,628 11,415 228,513 223,030 2008-10-17 $112.56 $120.00 105.9% 30.3% 422.7% 55.2% 109.2% 25.0% -0.9% -4.9M 1.51B -5.3M 1.15 18.17 N/A N/A 17,833 20,438 228,051 230,306 2008-10-20 $122.25 $120.00 88.3% 25.3% 425.9% 42.8% 91.9% 22.0% -0.2% -5.5M 1.32B -5.7M 1.04 14.21 N/A N/A 13,858 14,452 190,515 214,201 2008-10-21 $113.52 $120.00 91.7% 26.3% 425.9% 45.2% 97.7% 20.1% -2.8% -5.7M 1.41B -5.0M 2.72 14.05 N/A N/A 3,776 10,285 194,863 223,122 2008-10-22 $98.52 $120.00 115.2% 33.0% 425.5% 61.9% 120.6% 37.7% -12.2% -5.7M 1.50B -3.7M 1.29 13.22 N/A N/A 13,376 17,248 194,254 228,802 2008-10-23 $98.67 $120.00 129.2% 37.0% 423.8% 71.8% 146.4% 44.5% -13.0% -4.7M 1.40B -4.1M 3.55 11.58 N/A N/A 3,827 13,603 202,746 233,995 2008-10-24 $89.82 $120.00 139.7% 40.1% 423.2% 79.4% 140.8% 38.9% -16.2% -4.6M 1.40B -3.5M 1.20 13.79 N/A N/A 10,449 12,528 205,274 236,265 2008-10-27 $86.97 $120.00 131.4% 37.7% 422.6% 73.4% 130.8% 34.1% -7.8% -4.4M 1.39B -3.2M 2.42 10.54 N/A N/A 5,482 13,240 211,243 239,325 2008-10-28 $100.74 $120.00 106.9% 30.6% 425.7% 56.0% 110.1% 30.0% -1.1% -5.4M 1.42B -4.1M 2.21 12.89 N/A N/A 10,041 22,160 210,576 247,580 2008-10-29 $106.71 $120.00 119.3% 34.2% 427.6% 64.8% 118.1% 23.4% -3.6% -4.7M 1.24B -5.3M 0.60 17.47 N/A N/A 17,297 10,339 216,873 252,564 2008-10-30 $117.27 $120.00 108.7% 31.2% 431.4% 57.3% 122.5% 39.2% -1.0% -3.2M 1.07B -6.2M 1.13 10.85 N/A N/A 19,114 21,628 226,389 254,103 2008-10-31 $112.98 $120.00 103.8% 29.8% 431.5% 53.8% 104.2% 27.0% -1.0% -4.3M 1.17B -6.0M 1.78 16.00 N/A N/A 3,117 5,537 232,383 266,619
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