EWZ Options History — February 2009

In February 2009, EWZ traded between $95.85 and $120.75. ATM implied volatility averaged 69.2%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded above realized volatility by 9.2% (HV 20d: 60.0%). Max pain ranged from $105.00 to $117.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.33.

Notable Days

  • 2009-02-23: Highest Volume — 84,185 contracts
  • 2009-02-17: Largest IV spike — 21.2% change
  • 2009-02-23: Highest IV Rank — 37.8%
  • 2009-02-23: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.15$95.85$120.75$105.42$102.60
Max Pain$111.63$105.00$117.00$105.00$111.00
ATM IV69.2%61.4%81.3%72.4%72.6%
Expected Move19.8%17.6%23.3%20.8%20.8%
HV 20d60.0%49.8%66.4%66.4%57.9%
HV 60d77.1%63.0%88.2%88.2%63.0%
IV Rank29.1%23.6%37.8%31.5%31.6%
IV Percentile66.4%59.9%77.0%69.4%68.3%
Term Structure-1.7%-8.1%5.1%1.2%-2.8%
VWIV69.8%61.9%79.8%66.2%71.5%
Skew 25d17.6%12.1%20.7%14.2%17.2%
Skew 10d33.8%25.1%39.9%27.8%33.6%
Call IV 25d60.5%53.8%71.7%65.2%63.5%
Put IV 25d78.1%68.7%90.8%79.4%80.7%
Bid-Ask Spread %9.827.3015.1711.688.50
Gamma HHI0.080.070.100.080.07
Net GEX1.2M-17.1M19.4M3.2M-11.2M
Net DEX201.3M-600.5M1.07B197.8M663.0M
Net VEX-8.6M-9.5M-7.2M-7.7M-8.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.332.480.731.30
Total Volume40,839.84212,21684,18512,21623,321
Total OI657,843.737549,141741,455549,141716,258

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$105.42$105.0072.4%20.8%66.4%31.5%66.2%14.2%1.2%3.2M197.8M-7.7M0.7311.68N/AN/A7,0565,160284,288264,853
2009-02-03$108.75$105.0065.1%18.7%66.0%26.2%65.1%13.5%3.0%7.0M44.9M-7.8M2.4813.69N/AN/A5,92414,716289,264265,940
2009-02-04$109.86$105.0061.4%17.6%62.6%23.6%61.9%12.1%5.1%7.4M-8.2M-8.1M1.5213.89N/AN/A9,36314,225292,430277,433
2009-02-05$114.12$105.0062.2%17.8%60.6%24.2%64.8%12.8%1.9%12.8M-227.5M-8.5M1.4515.17N/AN/A9,67113,977297,909285,736
2009-02-06$120.75$114.0063.8%18.0%63.8%25.3%65.4%16.6%-1.5%19.2M-600.5M-8.9M1.7111.11N/AN/A29,42850,340297,979290,736
2009-02-09$119.40$114.0067.9%18.5%63.9%28.2%65.8%15.7%-1.9%19.4M-565.7M-9.2M0.718.10N/AN/A35,82825,530320,636318,858
2009-02-10$113.52$114.0071.3%20.3%63.2%30.6%71.3%19.5%-2.2%13.6M-184.2M-9.5M1.118.98N/AN/A16,82418,741350,133326,029
2009-02-11$114.69$117.0066.4%19.7%63.3%27.1%73.6%20.7%-1.9%10.3M-146.3M-9.2M1.827.69N/AN/A13,32124,275331,284327,511
2009-02-12$115.53$117.0066.0%18.9%57.5%26.8%73.0%20.3%-0.7%10.4M-181.2M-9.5M1.397.44N/AN/A12,41617,250334,771343,338
2009-02-13$116.97$114.0062.3%17.9%56.6%24.2%67.9%18.3%1.5%15.8M-334.5M-9.4M1.888.81N/AN/A19,04235,891339,256348,914
2009-02-17$109.20$111.0075.5%21.6%62.3%33.6%75.2%20.3%-6.3%-1.9M276.0M-9.0M0.948.06N/AN/A13,13412,344350,534363,808
2009-02-18$107.40$114.0071.3%20.4%55.5%30.7%74.2%19.8%-3.4%-7.2M470.7M-8.5M2.279.38N/AN/A14,14732,071344,110365,267
2009-02-19$107.55$114.0070.0%20.1%49.8%29.7%63.7%18.6%-3.3%-8.9M492.9M-8.4M0.339.33N/AN/A35,33811,599340,048377,653
2009-02-20$103.35$114.0073.1%20.9%50.8%31.9%66.7%19.4%-5.2%-16.3M804.0M-8.1M1.3210.41N/AN/A24,48532,292361,577379,878
2009-02-23$95.85$114.0081.3%23.3%57.2%37.8%79.8%19.2%-8.1%-17.1M1.07B-7.2M1.458.08N/AN/A34,42949,756303,985335,294
2009-02-24$101.94$111.0072.0%20.6%61.7%31.1%75.3%18.2%-1.5%-13.8M774.4M-8.1M1.0010.50N/AN/A26,61126,574310,368359,649
2009-02-25$102.87$111.0070.1%20.1%61.5%29.8%68.5%18.6%-1.8%-11.7M691.2M-8.3M0.907.30N/AN/A17,41415,641330,892361,675
2009-02-26$104.10$111.0069.7%20.0%58.4%29.5%75.4%18.9%-4.2%-7.5M585.5M-8.5M1.038.43N/AN/A13,67814,145343,276367,461
2009-02-27$102.60$111.0072.6%20.8%57.9%31.6%71.5%17.2%-2.8%-11.2M663.0M-8.4M1.308.50N/AN/A10,16013,161341,058375,200