EWZ Options History — November 2008 In November 2008, EWZ traded between $80.67 and $127.80. ATM implied volatility averaged 101.8%, placing in the 52.3% IV rank vs the trailing year. The 30-day expected move averaged 28.8%. IV traded below realized volatility by 80.5% (HV 20d: 182.3%). Max pain ranged from $120.00 to $165.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.90.
Notable Days 2008-11-20 : Highest Volume — 46,063 contracts2008-11-07 : Largest IV drop — 21.7% change2008-11-20 : Highest IV Rank — 69.8%2008-11-20 : Largest Expected Move — 36.2%Monthly Statistics Metric Avg Min Max Open Close Price $104.68 $80.67 $127.80 $116.37 $105.48 Max Pain $150.00 $120.00 $165.00 $120.00 $135.00 ATM IV 101.8% 82.5% 126.4% 94.1% 95.5% Expected Move 28.8% 23.7% 36.2% 27.0% 27.4% HV 20d 182.3% 120.7% 436.0% 432.6% 120.7% HV 60d 262.6% 258.8% 266.8% 258.8% 266.7% IV Rank 52.3% 38.6% 69.8% 46.9% 47.9% IV Percentile 91.0% 84.9% 95.6% 91.7% 86.5% Term Structure -5.7% -12.8% 2.0% -5.5% -2.0% VWIV 101.7% 85.4% 125.8% 102.2% 85.4% Skew 25d 26.4% 15.7% 34.4% 23.4% 24.4% Skew 10d 51.4% 33.0% 59.3% 51.2% 50.0% Call IV 25d 88.8% 76.7% 111.8% 86.4% 81.9% Put IV 25d 115.2% 102.1% 139.6% 109.8% 106.3% Bid-Ask Spread % 12.43 8.73 20.07 14.34 9.35 Gamma HHI 0.15 0.12 0.24 0.13 0.13 Net GEX -4.9M -10.7M -659.2K -4.5M -659.2K Net DEX 1.25B 980.7M 1.56B 1.21B 1.06B Net VEX -5.1M -6.3M -3.2M -5.6M -5.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.20 2.15 1.65 0.32 Total Volume 21,977.632 11,275 46,063 19,763 16,173 Total OI 550,118.316 500,159 618,038 500,159 574,438
Daily Data (19 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 2008-11-03 $116.37 $120.00 94.1% 27.0% 432.6% 46.9% 102.2% 23.4% -5.5% -4.5M 1.21B -5.6M 1.65 14.34 N/A N/A 7,465 12,298 232,474 267,685 2008-11-04 $127.80 $120.00 82.5% 23.7% 435.4% 38.6% 98.0% 25.4% -3.2% -3.3M 980.7M -6.3M 0.50 16.13 N/A N/A 27,519 13,888 234,648 271,133 2008-11-05 $114.00 $120.00 98.5% 28.2% 436.0% 50.0% 104.3% 25.4% -5.2% -3.8M 1.16B -5.6M 1.05 18.24 N/A N/A 11,830 12,424 246,967 268,358 2008-11-06 $107.88 $120.00 116.8% 33.5% 165.8% 63.1% 113.2% 34.4% -8.2% -4.9M 1.25B -5.4M 0.84 16.11 N/A N/A 8,394 7,084 251,109 272,974 2008-11-07 $114.06 $165.00 91.5% 25.9% 166.4% 45.0% 87.9% 27.8% -7.0% -4.0M 1.18B -5.7M 0.91 11.64 N/A N/A 8,241 7,536 255,761 274,864 2008-11-10 $114.54 $165.00 94.9% 25.7% 144.1% 47.4% 93.1% 27.0% -6.3% -3.8M 1.19B -5.6M 0.75 10.44 N/A N/A 6,432 4,843 258,799 276,548 2008-11-11 $110.61 $165.00 106.5% 28.2% 144.4% 55.7% 89.9% 27.6% -6.2% -4.1M 1.23B -5.4M 0.79 12.59 N/A N/A 8,571 6,734 264,227 278,632 2008-11-12 $99.45 $165.00 107.0% 28.3% 127.2% 56.0% 100.2% 27.4% -6.5% -6.5M 1.39B -4.5M 0.76 10.70 N/A N/A 18,015 13,750 267,237 278,572 2008-11-13 $111.72 $165.00 97.0% 27.8% 132.7% 48.9% 104.2% 26.7% -7.9% -4.1M 1.14B -5.6M 1.02 12.76 N/A N/A 7,872 8,046 269,359 276,937 2008-11-14 $103.65 $165.00 97.2% 27.9% 135.1% 49.1% 107.5% 30.2% -3.6% -5.2M 1.31B -4.9M 2.15 11.07 N/A N/A 4,186 8,982 276,655 281,445 2008-11-17 $101.40 $165.00 104.3% 29.9% 131.3% 54.1% 107.0% 28.6% -8.1% -5.6M 1.33B -4.8M 0.69 9.44 N/A N/A 12,011 8,275 277,681 285,944 2008-11-18 $99.63 $165.00 104.7% 30.0% 129.1% 54.4% 103.9% 27.4% -7.2% -7.0M 1.39B -4.6M 1.55 9.35 N/A N/A 7,128 11,022 287,233 292,017 2008-11-19 $90.60 $165.00 117.2% 33.6% 123.6% 63.3% 112.6% 25.3% -11.9% -8.7M 1.51B -4.0M 0.85 10.96 N/A N/A 10,121 8,564 290,193 293,513 2008-11-20 $80.67 $150.00 126.4% 36.2% 129.7% 69.8% 125.8% 27.8% -12.8% -7.8M 1.56B -3.2M 0.45 11.33 N/A N/A 31,700 14,363 295,106 295,025 2008-11-21 $88.08 $150.00 106.9% 30.6% 130.2% 56.0% 115.8% 29.1% -0.9% -10.7M 1.50B -4.2M 0.76 11.67 N/A N/A 10,500 8,000 316,652 301,386 2008-11-24 $95.04 $150.00 104.1% 29.9% 132.4% 54.0% 97.5% 15.7% -7.9% -4.5M 1.22B -4.6M 0.46 20.07 N/A N/A 14,922 6,814 267,081 265,514 2008-11-25 $99.03 $150.00 98.2% 28.2% 122.2% 49.8% 94.4% 24.1% 2.0% -3.3M 1.15B -5.0M 1.38 8.73 N/A N/A 9,744 13,442 275,798 269,687 2008-11-26 $108.87 $150.00 90.6% 26.0% 125.3% 44.4% 89.6% 24.7% -0.1% -1.1M 986.5M -5.8M 0.20 11.21 N/A N/A 25,471 5,215 283,140 277,456 2008-11-28 $105.48 $135.00 95.5% 27.4% 120.7% 47.9% 85.4% 24.4% -2.0% -659.2K 1.06B -5.6M 0.32 9.35 N/A N/A 12,247 3,926 296,266 278,172
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