EWZ Options History — June 2009 In June 2009, EWZ traded between $149.79 and $173.85. ATM implied volatility averaged 44.2%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 0.0% (HV 20d: 44.2%). Max pain ranged from $126.00 to $165.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.41.
Notable Days 2009-06-01 : Highest Volume — 61,104 contracts2009-06-16 : Largest IV spike — 13.2% change2009-06-03 : Highest IV Rank — 10.3%2009-06-03 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $162.95 $149.79 $173.85 $172.23 $158.91 Max Pain $156.41 $126.00 $165.00 $129.00 $162.00 ATM IV 44.2% 40.5% 49.3% 45.7% 40.5% Expected Move 12.6% 11.6% 14.1% 13.1% 11.6% HV 20d 44.2% 40.0% 48.3% 46.0% 43.0% HV 60d 47.5% 44.3% 49.8% 48.3% 44.3% IV Rank 6.5% 3.7% 10.3% 8.4% 3.7% IV Percentile 23.0% 9.1% 36.1% 30.2% 9.1% Term Structure 2.8% -5.8% 8.8% -3.3% 2.4% VWIV 45.9% 37.3% 50.8% 50.5% 41.0% Skew 25d 11.0% 6.5% 17.4% 6.5% 7.1% Skew 10d 18.2% 12.0% 25.4% 12.3% 12.8% Call IV 25d 39.9% 35.8% 46.0% 42.3% 37.3% Put IV 25d 50.9% 44.4% 57.6% 48.8% 44.4% Bid-Ask Spread % 10.12 6.64 14.57 6.64 8.84 Gamma HHI 0.09 0.06 0.26 0.11 0.07 Net GEX 28.7M -14.3M 55.5M 37.0M -6.8M Net DEX -2.16B -3.88B 97.5M -3.53B -298.2M Net VEX -10.2M -11.0M -9.5M -9.5M -10.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.41 0.35 6.39 1.83 2.16 Total Volume 22,503.955 6,653 61,104 61,104 9,249 Total OI 729,086.864 414,557 940,118 815,198 461,017
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 2009-06-01 $172.23 $129.00 45.7% 13.1% 46.0% 8.4% 50.5% 6.5% -3.3% 37.0M -3.53B -9.5M 1.83 6.64 N/A N/A 21,569 39,535 316,210 498,988 2009-06-02 $171.90 $126.00 45.1% 12.9% 42.6% 7.2% 47.6% 7.3% -3.8% 42.7M -3.58B -9.6M 0.96 6.96 N/A N/A 11,440 11,002 326,446 488,057 2009-06-03 $162.69 $126.00 49.3% 14.1% 47.8% 10.3% 49.5% 7.1% -5.8% 44.1M -2.83B -10.2M 0.66 9.03 N/A N/A 26,544 17,636 328,201 487,597 2009-06-04 $168.21 $126.00 48.3% 13.9% 48.3% 9.6% 48.8% 8.0% -4.3% 46.1M -3.33B -10.3M 0.76 7.35 N/A N/A 8,963 6,829 338,604 495,163 2009-06-05 $167.64 $162.00 45.5% 12.6% 47.1% 7.5% 47.1% 11.2% 3.7% 48.2M -3.25B -10.3M 0.45 11.32 N/A N/A 8,909 4,050 338,804 496,893 2009-06-08 $166.89 $162.00 47.2% 12.6% 46.0% 8.8% 45.9% 11.4% 2.5% 52.5M -3.28B -10.0M 0.66 9.43 N/A N/A 5,591 3,664 343,116 498,027 2009-06-09 $167.94 $162.00 45.1% 12.5% 45.9% 7.2% 49.3% 12.3% 3.2% 54.8M -3.39B -10.0M 1.22 9.51 N/A N/A 3,872 4,714 345,287 500,129 2009-06-10 $167.76 $162.00 45.3% 12.2% 45.6% 7.3% 46.7% 12.7% 4.4% 55.5M -3.40B -9.8M 0.80 9.68 N/A N/A 13,112 10,496 346,161 502,864 2009-06-11 $173.85 $165.00 40.8% 11.7% 41.1% 4.0% 45.4% 12.4% 5.2% 47.1M -3.88B -9.8M 0.75 14.57 N/A N/A 8,256 6,201 346,721 516,464 2009-06-12 $170.64 $165.00 40.5% 11.6% 42.0% 3.7% 50.8% 14.6% 6.9% 52.2M -3.62B -9.9M 6.39 11.06 N/A N/A 2,359 15,077 350,373 518,014 2009-06-15 $163.83 $165.00 40.7% 11.7% 44.4% 3.8% 45.7% 16.0% 5.9% 52.4M -2.92B -9.9M 0.84 12.17 N/A N/A 8,348 6,985 350,683 530,966 2009-06-16 $159.69 $165.00 46.0% 13.2% 40.5% 7.9% 47.1% 16.7% 6.4% 52.3M -2.47B -9.9M 1.50 11.69 N/A N/A 17,421 26,100 352,882 533,707 2009-06-17 $159.00 $165.00 45.8% 13.1% 40.4% 7.7% 50.6% 15.9% 6.9% 42.0M -2.32B -10.1M 1.63 9.99 N/A N/A 12,952 21,157 358,897 553,505 2009-06-18 $157.95 $165.00 43.2% 12.4% 40.4% 5.7% 37.3% 17.4% 8.5% 33.4M -2.15B -9.9M 1.44 10.74 N/A N/A 17,102 24,617 361,940 564,165 2009-06-19 $159.51 $162.00 41.2% 11.8% 40.0% 4.2% 40.4% 15.9% 8.8% 29.2M -2.37B -10.1M 0.35 11.28 N/A N/A 20,146 7,036 360,993 579,125 2009-06-22 $149.79 $162.00 45.7% 13.1% 45.9% 7.6% 49.1% 15.3% 2.5% -12.5M 85.5M -9.6M 2.19 10.76 N/A N/A 6,804 14,913 173,679 240,878 2009-06-23 $152.10 $162.00 46.3% 13.3% 45.0% 8.1% 46.5% 7.4% 1.4% -14.3M 97.5M -10.4M 2.17 9.06 N/A N/A 10,381 22,562 175,896 251,053 2009-06-24 $153.51 $162.00 45.2% 12.9% 45.2% 7.2% 44.6% 7.3% 2.0% -11.8M 10.5M -10.9M 0.65 11.83 N/A N/A 4,649 3,007 182,474 262,814 2009-06-25 $159.66 $162.00 42.7% 12.2% 45.7% 5.4% 42.6% 6.5% 2.2% -5.1M -345.5M -11.0M 1.40 11.11 N/A N/A 6,486 9,049 185,410 264,335 2009-06-26 $160.83 $162.00 40.7% 11.7% 45.6% 3.9% 40.9% 6.6% 3.5% -4.2M -426.7M -11.0M 0.88 11.17 N/A N/A 5,143 4,508 185,692 269,247 2009-06-29 $160.32 $162.00 41.6% 11.9% 43.0% 4.6% 42.2% 6.8% 2.1% -4.2M -403.0M -10.8M 1.41 8.37 N/A N/A 2,756 3,897 188,572 269,862 2009-06-30 $158.91 $162.00 40.5% 11.6% 43.0% 3.7% 41.0% 7.1% 2.4% -6.8M -298.2M -10.6M 2.16 8.84 N/A N/A 2,924 6,325 189,281 271,736
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