EWZ Options History — January 2009

In January 2009, EWZ traded between $98.28 and $120.75. ATM implied volatility averaged 75.2%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded above realized volatility by 8.1% (HV 20d: 67.0%). Max pain ranged from $105.00 to $120.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2009-01-15: Highest Volume — 88,427 contracts
  • 2009-01-12: Largest IV spike — 15.6% change
  • 2009-01-14: Highest IV Rank — 41.5%
  • 2009-01-20: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.86$98.28$120.75$110.10$106.50
Max Pain$107.85$105.00$120.00$120.00$105.00
ATM IV75.2%64.9%86.5%69.1%70.5%
Expected Move21.3%18.6%24.4%19.8%20.2%
HV 20d67.0%62.4%71.8%64.2%68.6%
HV 60d117.9%90.4%262.2%261.9%90.4%
IV Rank33.4%26.1%41.5%29.1%30.1%
IV Percentile73.6%65.5%79.0%73.8%68.3%
Term Structure0.4%-3.0%3.6%-3.0%2.2%
VWIV74.1%68.1%85.0%68.1%71.6%
Skew 25d14.5%9.7%17.9%9.7%15.8%
Skew 10d28.4%21.3%36.2%21.3%29.5%
Call IV 25d66.7%57.2%77.2%65.9%61.7%
Put IV 25d81.3%72.4%94.2%75.6%77.5%
Bid-Ask Spread %9.797.8513.2410.8912.07
Gamma HHI0.100.080.150.110.08
Net GEX5.7M-4.3M17.3M8.1M2.9M
Net DEX262.6M-123.8M824.5M340.1M176.1M
Net VEX-7.0M-7.8M-6.0M-6.1M-7.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.172.510.170.45
Total Volume33,705.7511,78188,42715,60727,565
Total OI556,277.1472,747701,104529,698541,267

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$110.10$120.0069.1%19.8%64.2%29.1%68.1%9.7%-3.0%8.1M340.1M-6.1M0.1710.89N/AN/A13,3942,213296,752232,946
2009-01-05$114.24$108.0076.3%21.0%62.4%34.2%73.4%15.1%-1.3%12.9M117.8M-6.3M1.018.37N/AN/A22,03522,313302,363232,682
2009-01-06$120.75$108.0069.5%19.4%63.1%29.4%68.3%15.2%0.5%17.3M-123.8M-6.9M1.2710.20N/AN/A10,99613,946308,267251,523
2009-01-07$113.58$105.0077.7%21.4%66.9%35.2%71.8%14.8%0.0%10.4M217.8M-6.7M0.728.59N/AN/A13,4829,729311,143260,935
2009-01-08$114.51$111.0075.8%21.1%66.9%33.9%71.7%14.0%-1.7%12.3M169.6M-6.7M1.649.77N/AN/A8,68614,230319,053260,465
2009-01-09$113.73$111.0070.7%20.5%64.7%30.2%70.1%12.7%-0.6%11.8M223.3M-6.7M0.849.82N/AN/A9,0447,637323,949268,763
2009-01-12$107.49$114.0081.7%21.3%68.1%38.0%70.1%11.9%-1.4%4.7M498.1M-6.0M0.397.89N/AN/A35,18813,651329,372262,377
2009-01-13$108.15$111.0078.0%22.3%67.7%35.4%77.4%15.0%2.0%6.7M402.8M-6.6M2.328.10N/AN/A6,53115,134349,826272,019
2009-01-14$101.07$114.0086.5%23.6%71.8%41.5%82.2%13.2%-2.4%-4.3M824.5M-6.1M0.237.99N/AN/A45,17210,175351,191283,860
2009-01-15$104.61$105.0080.2%23.0%64.1%37.0%80.3%12.5%-2.3%2.8M485.8M-6.7M0.978.42N/AN/A44,82943,598372,578281,871
2009-01-16$106.14$105.0078.9%22.6%62.4%36.0%77.9%15.3%-0.7%1.7M337.9M-7.5M0.829.32N/AN/A19,59616,150396,052305,052
2009-01-20$98.28$105.0085.1%24.4%66.8%40.5%85.0%17.0%-0.5%2.9M325.1M-6.8M2.518.58N/AN/A16,52641,461260,493212,254
2009-01-21$105.42$105.0078.0%22.4%71.7%35.4%78.4%17.9%3.0%6.4M99.3M-7.7M0.957.85N/AN/A22,20121,067265,331221,812
2009-01-22$102.42$105.0077.4%22.2%70.6%35.0%81.0%15.0%2.3%1.7M279.1M-7.3M0.4211.51N/AN/A22,8379,654254,724238,642
2009-01-23$103.86$105.0073.0%20.9%67.3%31.9%72.0%15.8%2.0%1.9M248.9M-7.3M0.539.85N/AN/A11,7906,255255,063238,307
2009-01-26$103.20$105.0072.7%20.8%67.4%31.6%70.7%14.3%1.6%1.2M286.9M-7.2M0.3513.24N/AN/A8,7183,063262,135242,882
2009-01-27$104.82$105.0068.9%19.7%67.5%28.9%71.5%15.2%3.2%1.6M264.9M-7.1M1.6511.08N/AN/A12,57120,711261,953243,948
2009-01-28$110.55$105.0064.9%18.6%69.6%26.1%69.6%15.2%3.6%6.2M-1.7M-7.8M1.4210.77N/AN/A15,06921,382266,752257,876
2009-01-29$107.79$105.0068.8%19.7%68.9%28.8%70.0%14.8%2.0%5.0M79.6M-7.8M1.6511.51N/AN/A5,8479,669274,555254,509
2009-01-30$106.50$105.0070.5%20.2%68.6%30.1%71.6%15.8%2.2%2.9M176.1M-7.8M0.4512.07N/AN/A19,0498,516276,800264,467