EWZ Options History — April 2009 In April 2009, EWZ traded between $117.72 and $135.66. ATM implied volatility averaged 53.0%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 0.1% (HV 20d: 52.9%). Max pain ranged from $111.00 to $135.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.42.
Notable Days 2009-04-15 : Highest Volume — 66,915 contracts2009-04-20 : Largest IV spike — 8.6% change2009-04-01 : Highest IV Rank — 21.6%2009-04-01 : Largest Expected Move — 16.8%Monthly Statistics Metric Avg Min Max Open Close Price $129.50 $117.72 $135.66 $117.72 $135.30 Max Pain $126.29 $111.00 $135.00 $111.00 $132.00 ATM IV 53.0% 48.4% 58.5% 58.5% 48.4% Expected Move 15.4% 13.9% 16.8% 16.8% 13.9% HV 20d 52.9% 47.3% 58.6% 54.0% 47.4% HV 60d 58.5% 55.6% 62.5% 62.1% 56.4% IV Rank 17.6% 14.4% 21.6% 21.6% 14.4% IV Percentile 42.1% 36.1% 46.8% 46.8% 36.1% Term Structure 0.5% -1.0% 1.8% 1.3% 1.5% VWIV 54.7% 48.8% 60.2% 60.2% 48.8% Skew 25d 9.9% 7.8% 12.8% 10.1% 8.6% Skew 10d 18.5% 14.5% 22.4% 19.0% 14.5% Call IV 25d 48.8% 44.1% 53.1% 53.1% 44.1% Put IV 25d 58.7% 52.5% 64.3% 63.1% 52.7% Bid-Ask Spread % 11.57 9.35 13.95 12.25 11.34 Gamma HHI 0.08 0.06 0.32 0.06 0.08 Net GEX 13.8M -5.1M 56.8M 1.2M 15.7M Net DEX -858.2M -1.50B -183.4M -205.5M -1.02B Net VEX -9.9M -10.6M -9.5M -10.3M -9.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.42 0.29 4.56 0.29 0.80 Total Volume 25,173.429 11,340 66,915 25,036 12,213 Total OI 686,187.952 625,822 753,880 650,604 711,140
Daily Data (21 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 2009-04-01 $117.72 $111.00 58.5% 16.8% 54.0% 21.6% 60.2% 10.1% 1.3% 1.2M -205.5M -10.3M 0.29 12.25 N/A N/A 19,387 5,649 261,675 388,929 2009-04-02 $125.49 $111.00 57.0% 16.4% 56.1% 20.5% 58.1% 11.7% 0.2% 11.7M -767.7M -10.4M 0.49 13.00 N/A N/A 24,715 12,138 270,040 390,160 2009-04-03 $128.85 $117.00 53.9% 16.2% 56.2% 18.3% 56.0% 12.0% -0.3% 17.0M -1.05B -10.6M 1.33 9.47 N/A N/A 12,206 16,197 274,769 396,876 2009-04-06 $126.69 $117.00 56.5% 16.8% 56.4% 20.1% 59.5% 12.8% -0.3% 16.9M -926.0M -10.4M 1.38 10.05 N/A N/A 5,632 7,761 279,666 402,297 2009-04-07 $125.88 $117.00 54.0% 16.5% 51.5% 18.3% 60.0% 12.5% -0.1% 14.3M -799.2M -10.1M 1.45 10.11 N/A N/A 16,821 24,335 273,366 406,282 2009-04-08 $127.47 $117.00 50.6% 15.9% 51.4% 15.9% 53.9% 11.2% -0.0% 15.6M -893.6M -10.1M 0.96 9.35 N/A N/A 8,504 8,164 272,052 415,687 2009-04-09 $134.10 $117.00 52.6% 15.1% 52.9% 17.3% 54.4% 10.5% 0.6% 22.5M -1.44B -9.9M 1.42 11.31 N/A N/A 16,091 22,854 276,551 417,352 2009-04-13 $134.58 $135.00 53.1% 15.2% 52.7% 17.7% 54.9% 10.3% 0.4% 22.7M -1.50B -9.8M 0.89 10.82 N/A N/A 8,862 7,920 284,928 434,220 2009-04-14 $130.26 $132.00 56.0% 16.1% 54.5% 19.8% 57.2% 10.4% -1.0% 23.7M -1.14B -10.0M 2.69 12.60 N/A N/A 7,130 19,185 288,846 437,834 2009-04-15 $130.80 $132.00 55.1% 15.8% 53.9% 19.1% 56.7% 9.9% -0.9% 22.1M -1.21B -10.0M 4.51 12.57 N/A N/A 12,149 54,766 290,975 450,388 2009-04-16 $133.68 $132.00 52.6% 15.1% 53.8% 17.3% 54.4% 9.7% 1.4% 26.6M -1.45B -9.8M 1.14 10.87 N/A N/A 12,288 14,001 289,629 464,111 2009-04-17 $131.55 $132.00 51.6% 14.8% 54.4% 16.6% 51.1% 9.2% 0.6% 56.8M -1.25B -9.6M 1.14 12.71 N/A N/A 12,111 13,775 285,939 467,941 2009-04-20 $124.17 $132.00 56.0% 16.1% 58.6% 19.8% 58.1% 9.5% -0.5% -5.1M -183.4M -9.5M 4.56 9.95 N/A N/A 3,942 17,990 229,886 395,936 2009-04-21 $127.62 $132.00 52.4% 15.0% 53.7% 17.2% 52.6% 9.2% 1.5% -3.3M -338.7M -9.5M 0.90 13.95 N/A N/A 7,392 6,665 227,239 404,585 2009-04-22 $127.17 $132.00 52.0% 14.9% 51.9% 16.9% 54.0% 9.5% 0.9% -3.7M -313.5M -9.5M 0.92 13.08 N/A N/A 18,834 17,400 230,840 407,386 2009-04-23 $129.93 $132.00 50.5% 14.5% 52.3% 15.8% 50.5% 8.6% 1.5% 2.4M -535.8M -9.6M 0.79 11.94 N/A N/A 6,348 4,992 240,963 413,616 2009-04-24 $133.41 $129.00 49.1% 14.1% 52.4% 14.9% 48.9% 8.2% 1.8% 9.2M -846.2M -9.6M 0.84 11.63 N/A N/A 9,455 7,963 248,616 416,013 2009-04-27 $128.85 $132.00 52.4% 15.0% 51.7% 17.2% 53.2% 8.2% 0.4% 2.7M -481.7M -9.6M 1.21 11.63 N/A N/A 7,390 8,947 255,728 421,511 2009-04-28 $130.32 $132.00 52.1% 14.9% 47.3% 16.9% 52.7% 9.1% 0.0% 5.6M -599.8M -9.6M 0.35 12.72 N/A N/A 14,152 4,925 260,746 427,519 2009-04-29 $135.66 $129.00 49.1% 14.1% 48.6% 14.9% 52.8% 7.8% 1.7% 16.2M -1.06B -9.6M 1.82 11.62 N/A N/A 6,158 11,235 268,757 428,953 2009-04-30 $135.30 $132.00 48.4% 13.9% 47.4% 14.4% 48.8% 8.6% 1.5% 15.7M -1.02B -9.8M 0.80 11.34 N/A N/A 6,774 5,439 272,252 438,888
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