EWZ Options History — May 2009

In May 2009, EWZ traded between $140.34 and $165.60. ATM implied volatility averaged 47.1%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 0.3% (HV 20d: 47.4%). Max pain ranged from $120.00 to $132.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2009-05-06: Highest Volume — 69,269 contracts
  • 2009-05-08: Largest IV drop — 10.3% change
  • 2009-05-07: Highest IV Rank — 17.0%
  • 2009-05-07: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$152.27$140.34$165.60$140.34$165.60
Max Pain$125.10$120.00$132.00$132.00$129.00
ATM IV47.1%43.2%52.1%45.4%43.2%
Expected Move13.5%12.4%14.8%13.0%12.4%
HV 20d47.4%43.9%50.2%43.9%45.8%
HV 60d54.2%48.4%57.4%56.8%48.4%
IV Rank11.6%6.5%17.0%12.2%6.5%
IV Percentile32.7%24.6%40.1%34.5%24.6%
Term Structure-2.8%-6.1%3.1%3.1%-2.7%
VWIV48.6%44.6%52.4%49.0%44.6%
Skew 25d8.1%6.4%10.0%7.4%6.8%
Skew 10d16.5%12.0%21.0%15.0%12.0%
Call IV 25d43.6%40.0%47.3%42.8%40.0%
Put IV 25d51.8%46.8%56.5%50.2%46.8%
Bid-Ask Spread %8.885.7810.329.688.67
Gamma HHI0.090.070.110.080.11
Net GEX31.2M18.4M43.0M19.7M43.0M
Net DEX-2.11B-3.06B-1.33B-1.33B-3.06B
Net VEX-9.9M-10.5M-8.8M-9.5M-9.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.462.970.701.23
Total Volume27,461.711,13069,26911,13025,355
Total OI780,959.8707,284846,810707,284807,292

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$140.34$132.0045.4%13.0%43.9%12.2%49.0%7.4%3.1%19.7M-1.33B-9.5M0.709.68N/AN/A6,5434,587265,539441,745
2009-05-04$148.71$120.0047.6%13.8%47.2%13.8%50.2%10.0%-0.8%27.8M-1.98B-8.8M1.019.54N/AN/A20,32120,430268,388444,210
2009-05-05$147.72$120.0046.9%13.7%46.6%13.3%50.8%8.8%-1.1%31.2M-1.99B-9.0M1.168.52N/AN/A14,10216,363280,216448,107
2009-05-06$151.68$120.0048.5%14.0%46.7%14.4%48.9%9.3%-1.8%28.2M-2.20B-9.4M0.609.50N/AN/A43,27025,999284,097465,429
2009-05-07$148.05$120.0052.1%14.8%48.2%17.0%51.1%9.5%-2.7%28.5M-1.94B-10.2M1.229.15N/AN/A16,26919,800305,134479,956
2009-05-08$153.30$120.0046.8%14.1%46.6%13.2%51.7%8.4%-2.3%31.4M-2.33B-10.2M1.0910.32N/AN/A14,67515,956308,882494,452
2009-05-11$152.76$123.0050.3%14.0%46.7%15.7%50.1%8.1%-2.7%33.4M-2.31B-10.0M1.589.87N/AN/A14,53522,993314,991497,667
2009-05-12$150.87$123.0049.2%13.9%45.0%14.9%49.4%8.4%-1.4%31.9M-2.13B-10.1M0.878.27N/AN/A7,2186,259315,248511,683
2009-05-13$143.07$123.0049.8%14.6%49.9%15.3%52.4%9.1%-3.0%18.4M-1.37B-10.5M0.749.29N/AN/A12,8989,575314,898515,420
2009-05-14$146.43$126.0048.9%14.0%50.0%14.7%48.5%8.0%-2.4%23.9M-1.76B-10.3M0.489.14N/AN/A15,5427,441319,994520,376
2009-05-15$143.58$126.0048.5%13.9%50.2%12.6%47.4%8.3%-1.9%27.2M-1.52B-10.1M0.469.84N/AN/A16,3847,522326,145520,665
2009-05-18$152.91$126.0047.0%13.5%48.6%10.9%49.8%8.3%-2.9%30.6M-1.99B-9.9M0.947.45N/AN/A12,61511,804290,548443,523
2009-05-19$154.74$126.0045.7%13.1%48.2%8.3%45.4%8.0%-5.5%34.0M-2.15B-9.8M0.607.76N/AN/A18,37010,933294,244447,575
2009-05-20$155.94$126.0045.5%13.0%48.0%8.2%48.1%8.0%-4.2%37.1M-2.24B-10.1M1.268.81N/AN/A10,70913,541304,598453,154
2009-05-21$153.36$126.0046.7%13.4%48.7%9.1%49.8%7.4%-5.4%34.7M-2.02B-10.3M2.978.68N/AN/A10,11630,071305,107454,927
2009-05-22$154.98$129.0045.1%12.9%48.2%8.0%45.0%8.0%-4.3%30.7M-2.13B-10.4M0.697.20N/AN/A6,8304,739304,779480,684
2009-05-26$159.39$129.0045.1%12.9%46.0%7.9%46.1%7.4%-4.5%36.9M-2.50B-10.0M1.195.78N/AN/A5,8446,929308,084483,478
2009-05-27$158.19$129.0045.7%13.1%46.5%8.4%48.9%7.4%-6.1%35.9M-2.40B-10.0M2.059.95N/AN/A8,90318,260308,008482,502
2009-05-28$163.71$129.0044.0%12.6%46.0%7.1%45.7%6.4%-3.4%38.9M-2.82B-9.9M0.6510.17N/AN/A9,4056,128310,222497,229
2009-05-29$165.60$129.0043.2%12.4%45.8%6.5%44.6%6.8%-2.7%43.0M-3.06B-9.8M1.238.67N/AN/A11,38213,973315,078492,214