EWZ Options History — December 2008 In December 2008, EWZ traded between $90.75 and $117.54. ATM implied volatility averaged 86.3%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 24.6%. IV traded below realized volatility by 14.8% (HV 20d: 101.0%). Max pain ranged from $120.00 to $135.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.85.
Notable Days 2008-12-11 : Highest Volume — 64,010 contracts2008-12-16 : Largest IV drop — 9.2% change2008-12-01 : Highest IV Rank — 58.9%2008-12-01 : Largest Expected Move — 31.8%Monthly Statistics Metric Avg Min Max Open Close Price $102.24 $90.75 $117.54 $93.18 $104.97 Max Pain $124.09 $120.00 $135.00 $135.00 $120.00 ATM IV 86.3% 70.6% 110.9% 110.9% 70.6% Expected Move 24.6% 20.2% 31.8% 31.8% 20.2% HV 20d 101.0% 63.5% 128.0% 127.5% 63.5% HV 60d 265.8% 262.2% 267.8% 267.4% 262.2% IV Rank 41.3% 30.1% 58.9% 58.9% 30.1% IV Percentile 81.0% 74.2% 93.3% 93.3% 74.2% Term Structure 0.4% -6.5% 9.8% -6.5% -1.1% VWIV 85.8% 71.0% 112.0% 107.4% 77.8% Skew 25d 19.6% 13.7% 24.9% 23.9% 15.3% Skew 10d 38.2% 26.2% 57.1% 47.5% 26.2% Call IV 25d 76.4% 62.9% 100.5% 100.5% 62.9% Put IV 25d 96.0% 78.2% 124.4% 124.4% 78.2% Bid-Ask Spread % 8.95 7.34 11.37 8.77 7.34 Gamma HHI 0.11 0.10 0.13 0.13 0.10 Net GEX 4.0M -4.1M 17.4M -3.7M 3.9M Net DEX 842.6M 252.9M 1.28B 1.28B 553.6M Net VEX -5.6M -7.3M -4.5M -4.6M -5.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.11 2.56 0.19 1.75 Total Volume 20,744.318 3,552 64,010 31,445 13,309 Total OI 610,019.091 492,471 722,117 578,881 521,136
Daily Data (22 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 2008-12-01 $93.18 $135.00 110.9% 31.8% 127.5% 58.9% 107.4% 23.9% -6.5% -3.7M 1.28B -4.6M 0.19 8.77 N/A N/A 26,473 4,972 298,151 280,730 2008-12-02 $97.08 $135.00 104.8% 30.0% 128.0% 54.5% 107.7% 23.6% -3.0% -720.0K 1.17B -5.1M 0.71 10.08 N/A N/A 6,091 4,343 322,347 283,876 2008-12-03 $94.47 $120.00 103.9% 29.8% 122.2% 53.9% 112.0% 23.4% -4.3% -2.3M 1.19B -4.6M 2.56 7.77 N/A N/A 8,008 20,462 315,338 276,904 2008-12-04 $90.75 $120.00 106.3% 30.5% 117.0% 55.6% 108.4% 21.0% -4.5% -4.1M 1.27B -4.5M 0.88 11.03 N/A N/A 13,178 11,627 318,318 287,491 2008-12-05 $95.16 $135.00 98.0% 27.3% 117.5% 49.6% 89.0% 23.8% 0.8% -2.1M 1.16B -5.0M 0.30 8.42 N/A N/A 21,301 6,386 328,059 289,624 2008-12-08 $99.45 $135.00 96.5% 26.6% 116.8% 48.6% 90.0% 23.1% 0.9% 1.4M 1.01B -5.3M 0.64 7.98 N/A N/A 16,120 10,331 345,367 292,427 2008-12-09 $99.96 $135.00 96.7% 26.4% 116.8% 48.7% 87.5% 24.9% 1.3% 2.3M 1.01B -5.5M 0.58 8.24 N/A N/A 11,173 6,510 355,312 294,829 2008-12-10 $105.48 $135.00 88.3% 24.9% 118.2% 42.8% 82.5% 24.9% 2.5% 5.5M 839.1M -6.0M 0.68 7.34 N/A N/A 18,605 12,740 355,957 294,433 2008-12-11 $105.96 $120.00 89.3% 25.6% 111.6% 43.4% 87.0% 22.8% 2.6% 6.2M 783.2M -6.4M 0.41 8.93 N/A N/A 45,522 18,488 369,411 303,471 2008-12-12 $108.24 $120.00 86.5% 24.8% 103.7% 41.4% 86.0% 23.0% 4.2% 9.7M 675.1M -7.2M 0.60 7.71 N/A N/A 6,539 3,924 397,258 317,268 2008-12-15 $107.16 $120.00 87.7% 25.2% 100.1% 42.3% 92.3% 23.1% 4.4% 8.6M 768.3M -6.6M 0.53 10.84 N/A N/A 4,133 2,198 385,651 315,052 2008-12-16 $117.54 $120.00 79.7% 22.8% 104.6% 36.6% 84.1% 18.9% 4.8% 17.4M 252.9M -7.3M 0.57 9.21 N/A N/A 10,348 5,901 386,572 315,073 2008-12-17 $111.90 $120.00 80.6% 23.1% 106.2% 37.3% 76.3% 15.2% 4.3% 14.2M 599.7M -6.6M 0.11 10.07 N/A N/A 21,953 2,493 385,109 318,487 2008-12-18 $107.85 $120.00 77.4% 22.2% 100.8% 35.0% 79.6% 16.3% 6.9% 11.0M 845.4M -6.0M 1.10 9.52 N/A N/A 10,106 11,104 390,311 319,316 2008-12-19 $109.17 $120.00 70.6% 20.2% 89.3% 30.2% 74.2% 16.1% 9.8% 11.3M 798.3M -6.1M 0.81 11.37 N/A N/A 7,027 5,695 394,645 327,472 2008-12-22 $104.37 $120.00 73.6% 21.1% 87.4% 32.3% 72.9% 16.7% 2.1% 3.7M 656.4M -5.5M 0.91 8.97 N/A N/A 12,343 11,203 277,813 214,658 2008-12-23 $98.37 $120.00 74.2% 21.3% 86.7% 32.7% 72.6% 15.6% -1.9% 902.1K 792.0M -5.0M 0.76 8.46 N/A N/A 10,544 7,962 284,650 218,810 2008-12-24 $98.40 $120.00 76.1% 21.8% 85.5% 34.1% 77.1% 15.8% -1.9% 1.2M 726.8M -5.2M 1.41 7.42 N/A N/A 1,566 2,205 291,843 217,772 2008-12-26 $99.18 $120.00 75.4% 21.6% 77.9% 33.6% 76.6% 14.4% -3.5% 1.2M 730.5M -5.1M 2.35 9.14 N/A N/A 1,062 2,490 292,834 219,246 2008-12-29 $98.10 $120.00 77.6% 22.2% 77.3% 35.1% 76.3% 13.7% -5.7% -251.6K 781.2M -4.9M 0.20 10.12 N/A N/A 10,738 2,197 288,361 221,105 2008-12-30 $102.48 $120.00 73.3% 21.0% 64.5% 32.0% 71.0% 16.2% -3.5% 2.1M 643.2M -5.2M 0.72 8.16 N/A N/A 15,713 11,292 286,958 220,975 2008-12-31 $104.97 $120.00 70.6% 20.2% 63.5% 30.1% 77.8% 15.3% -1.1% 3.9M 553.6M -5.7M 1.75 7.34 N/A N/A 4,837 8,472 294,140 226,996
« Nov 2008 | All History | Jan 2009 » Home EWZ History December 2008