EWZ Options History — July 2009 In July 2009, EWZ traded between $147.51 and $172.80. ATM implied volatility averaged 40.8%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 3.2% (HV 20d: 37.6%). Max pain ranged from $150.00 to $165.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.50.
Notable Days 2009-07-15 : Highest Volume — 35,619 contracts2009-07-14 : Largest IV drop — 8.2% change2009-07-08 : Highest IV Rank — 8.3%2009-07-08 : Largest Expected Move — 13.7%Monthly Statistics Metric Avg Min Max Open Close Price $161.41 $147.51 $172.80 $160.86 $172.80 Max Pain $158.73 $150.00 $165.00 $159.00 $165.00 ATM IV 40.8% 36.8% 46.5% 39.5% 38.3% Expected Move 11.7% 10.6% 13.7% 11.3% 11.0% HV 20d 37.6% 33.7% 42.7% 38.8% 34.1% HV 60d 43.0% 40.3% 44.6% 44.2% 40.3% IV Rank 3.9% 1.0% 8.3% 3.0% 2.1% IV Percentile 11.9% 2.4% 29.4% 6.7% 5.2% Term Structure 1.4% -0.1% 2.4% 2.4% 1.9% VWIV 41.7% 37.6% 48.9% 39.4% 41.4% Skew 25d 7.0% 5.6% 8.7% 6.6% 6.9% Skew 10d 13.8% 11.3% 16.6% 12.1% 13.9% Call IV 25d 37.7% 33.8% 43.7% 37.0% 35.4% Put IV 25d 44.7% 39.9% 52.4% 43.5% 42.3% Bid-Ask Spread % 10.49 7.75 12.04 7.75 11.98 Gamma HHI 0.10 0.07 0.21 0.07 0.09 Net GEX -2.2M -38.8M 24.0M -3.4M 12.4M Net DEX -479.1M -1.17B 469.4M -440.5M -1.15B Net VEX -10.6M -10.9M -10.4M -10.7M -10.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.50 0.43 3.93 1.18 2.53 Total Volume 17,506.818 5,023 35,619 13,751 14,338 Total OI 480,358.227 422,826 536,190 466,350 481,237
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 2009-07-01 $160.86 $159.00 39.5% 11.3% 38.8% 3.0% 39.4% 6.6% 2.4% -3.4M -440.5M -10.7M 1.18 7.75 N/A N/A 6,321 7,430 191,649 274,701 2009-07-02 $156.60 $159.00 42.4% 12.2% 37.7% 5.2% 42.5% 6.1% 1.3% -10.7M -135.4M -10.9M 2.23 11.10 N/A N/A 5,725 12,794 194,281 279,524 2009-07-06 $156.06 $159.00 44.8% 12.9% 37.7% 7.0% 44.6% 7.4% 1.0% -13.9M -62.6M -10.8M 1.08 10.47 N/A N/A 14,153 15,317 197,173 285,550 2009-07-07 $149.34 $159.00 46.5% 13.4% 40.4% 8.2% 45.7% 7.7% 0.5% -24.1M 362.6M -10.7M 0.85 10.19 N/A N/A 7,947 6,718 199,870 289,257 2009-07-08 $147.51 $159.00 46.5% 13.7% 40.2% 8.3% 47.4% 8.7% 0.3% -26.5M 469.4M -10.6M 1.27 9.47 N/A N/A 10,359 13,207 205,270 288,544 2009-07-09 $148.86 $156.00 46.2% 13.3% 40.5% 8.0% 48.9% 8.3% -0.1% -26.8M 380.8M -10.8M 0.98 11.69 N/A N/A 9,326 9,143 206,975 294,155 2009-07-10 $148.11 $156.00 44.0% 13.2% 37.4% 6.4% 46.2% 8.4% 0.5% -29.3M 455.1M -10.4M 0.57 9.58 N/A N/A 14,057 8,074 207,640 292,354 2009-07-13 $150.84 $150.00 46.2% 13.1% 38.3% 8.0% 45.4% 8.3% 0.7% -28.9M 214.0M -10.5M 1.59 11.31 N/A N/A 6,542 10,399 217,427 294,341 2009-07-14 $150.15 $153.00 42.4% 12.5% 36.1% 5.1% 44.9% 8.5% 1.0% -38.8M 334.3M -10.4M 3.93 9.60 N/A N/A 4,085 16,049 220,183 301,251 2009-07-15 $159.09 $153.00 41.4% 11.7% 41.4% 4.4% 41.1% 7.2% 2.2% 3.7M -545.2M -10.5M 0.60 10.12 N/A N/A 22,312 13,307 222,397 296,786 2009-07-16 $161.13 $156.00 38.3% 11.0% 41.6% 2.1% 40.1% 6.7% 2.4% 18.5M -750.3M -10.8M 1.19 9.97 N/A N/A 8,535 10,171 232,980 303,210 2009-07-17 $162.18 $156.00 39.5% 11.3% 41.5% 3.0% 40.1% 7.0% 1.7% 24.0M -793.2M -10.5M 1.15 10.64 N/A N/A 7,814 9,011 226,246 303,289 2009-07-20 $167.16 $156.00 38.9% 11.2% 42.7% 2.5% 39.0% 6.2% 1.7% 7.4M -824.2M -10.4M 0.89 11.02 N/A N/A 9,068 8,094 181,419 241,407 2009-07-21 $167.46 $159.00 38.2% 11.0% 35.1% 2.0% 39.3% 6.4% 1.4% 8.8M -859.4M -10.5M 1.58 11.39 N/A N/A 6,119 9,666 188,090 246,335 2009-07-22 $166.23 $162.00 38.4% 11.0% 35.2% 2.2% 38.4% 6.1% 1.3% 7.1M -787.2M -10.6M 1.57 10.33 N/A N/A 4,026 6,334 190,870 252,393 2009-07-23 $170.76 $162.00 37.2% 10.7% 36.0% 1.2% 38.7% 6.1% 2.2% 10.4M -1.03B -10.6M 0.43 11.80 N/A N/A 14,506 6,171 192,753 254,852 2009-07-24 $171.24 $162.00 36.8% 10.6% 33.7% 1.0% 38.4% 6.4% 2.0% 13.5M -1.08B -10.7M 1.41 8.66 N/A N/A 3,572 5,052 202,731 255,952 2009-07-27 $172.59 $162.00 36.9% 10.6% 33.7% 1.0% 39.4% 6.3% 1.7% 14.9M -1.17B -10.5M 0.58 11.77 N/A N/A 3,176 1,847 204,383 257,498 2009-07-28 $171.75 $162.00 37.0% 10.6% 33.8% 1.1% 37.6% 5.6% 1.6% 13.5M -1.12B -10.4M 2.79 10.51 N/A N/A 1,433 3,992 202,732 257,081 2009-07-29 $167.76 $162.00 38.6% 11.1% 34.9% 2.3% 41.0% 7.2% 1.7% 8.6M -867.3M -10.5M 2.86 9.38 N/A N/A 4,761 13,603 203,509 259,015 2009-07-30 $172.50 $165.00 38.9% 11.1% 35.9% 2.5% 38.5% 6.6% 1.2% 11.5M -1.13B -10.4M 1.67 12.04 N/A N/A 7,717 12,879 204,287 266,284 2009-07-31 $172.80 $165.00 38.3% 11.0% 34.1% 2.1% 41.4% 6.9% 1.9% 12.4M -1.15B -10.7M 2.53 11.98 N/A N/A 4,067 10,271 208,655 272,582
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