EWZ Options History — August 2009

In August 2009, EWZ traded between $172.98 and $184.20. ATM implied volatility averaged 38.2%, placing in the 2.0% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 7.1% (HV 20d: 31.0%). Max pain ranged from $162.00 to $165.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.83.

Notable Days

  • 2009-08-03: Highest Volume — 24,526 contracts
  • 2009-08-31: Largest IV spike — 8.5% change
  • 2009-08-17: Highest IV Rank — 4.9%
  • 2009-08-17: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$180.29$172.98$184.20$181.17$174.63
Max Pain$164.71$162.00$165.00$165.00$165.00
ATM IV38.2%35.2%42.1%41.1%38.2%
Expected Move11.0%10.1%12.1%11.8%11.0%
HV 20d31.0%25.7%37.0%37.0%25.7%
HV 60d37.6%33.9%41.0%41.0%34.3%
IV Rank2.0%0.0%4.9%4.2%2.2%
IV Percentile5.9%0.0%17.5%13.1%6.7%
Term Structure1.2%-0.7%2.5%-0.7%1.7%
VWIV40.1%36.3%47.3%41.4%40.4%
Skew 25d7.1%6.0%7.8%7.0%6.7%
Skew 10d13.9%12.6%15.4%15.0%12.7%
Call IV 25d35.1%32.4%38.8%37.5%35.2%
Put IV 25d42.2%38.8%46.4%44.5%41.8%
Bid-Ask Spread %8.526.7010.449.078.15
Gamma HHI0.100.080.140.110.08
Net GEX16.0M277.8K31.0M16.6M277.8K
Net DEX-1.45B-1.84B-780.8M-1.59B-780.8M
Net VEX-10.3M-10.8M-9.9M-10.6M-10.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.394.610.864.61
Total Volume13,687.2866,46224,52624,52614,558
Total OI514,589.619487,130545,744488,655522,403

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$181.17$165.0041.1%11.8%37.0%4.2%41.4%7.0%-0.7%16.6M-1.59B-10.6M0.869.07N/AN/A13,18811,338208,474280,181
2009-08-04$182.49$165.0038.8%11.1%31.7%2.5%41.2%7.0%0.5%18.8M-1.69B-10.6M0.779.75N/AN/A8,4426,531214,073286,209
2009-08-05$183.57$165.0038.7%11.1%30.6%2.3%41.1%7.1%0.2%21.0M-1.78B-10.6M2.739.23N/AN/A2,8297,711218,641283,790
2009-08-06$180.42$165.0040.1%11.5%32.2%3.4%43.5%7.8%0.7%16.6M-1.54B-10.8M1.759.49N/AN/A3,5046,116218,720286,023
2009-08-07$183.09$162.0038.2%11.3%31.8%2.0%40.8%7.7%1.0%17.6M-1.71B-10.6M0.9810.44N/AN/A5,2545,161218,150289,669
2009-08-10$182.43$162.0038.2%11.3%32.0%2.0%38.7%7.4%1.3%18.8M-1.68B-10.4M0.399.43N/AN/A6,9732,731220,397290,847
2009-08-11$178.53$165.0037.9%11.3%33.6%1.8%41.7%7.8%0.9%15.7M-1.43B-10.5M1.409.01N/AN/A3,1684,440222,813291,821
2009-08-12$180.63$165.0036.7%11.2%28.2%0.9%47.3%7.2%1.2%19.8M-1.60B-10.4M1.899.00N/AN/A5,0889,640224,061293,687
2009-08-13$182.61$165.0037.9%10.9%28.1%1.8%37.5%7.0%2.3%25.0M-1.74B-10.2M1.028.62N/AN/A4,1894,285225,965301,424
2009-08-14$179.40$165.0038.9%11.2%29.4%2.5%41.0%7.8%1.3%17.1M-1.49B-10.3M1.247.85N/AN/A8,51610,577224,200300,361
2009-08-17$172.98$165.0042.1%12.1%31.3%4.9%42.4%7.5%-0.3%2.0M-990.9M-10.4M2.209.22N/AN/A5,50412,095224,510307,476
2009-08-18$176.88$165.0040.2%11.5%32.1%3.5%41.4%7.5%0.9%11.3M-1.29B-10.0M1.308.14N/AN/A7,1249,275223,901311,291
2009-08-19$178.11$165.0039.3%11.3%31.9%2.8%41.3%7.0%0.9%15.8M-1.39B-10.1M2.138.86N/AN/A2,5055,346225,687314,084
2009-08-20$180.45$165.0038.0%10.9%30.9%1.8%38.6%7.2%1.7%24.1M-1.58B-10.0M1.098.19N/AN/A6,4987,063225,218313,505
2009-08-21$184.20$165.0037.5%10.8%31.6%1.5%36.7%6.8%2.5%31.0M-1.84B-9.9M1.037.54N/AN/A10,45410,820226,348319,396
2009-08-24$183.72$165.0036.8%10.6%31.6%1.0%38.9%7.0%1.3%18.0M-1.46B-9.9M2.457.99N/AN/A4,34010,635205,182281,948
2009-08-25$180.75$165.0036.2%10.4%32.2%0.5%36.6%6.1%2.0%13.3M-1.26B-9.9M4.287.92N/AN/A1,7497,480206,576289,043
2009-08-26$180.66$165.0035.7%10.2%30.8%0.1%37.0%6.4%1.9%11.8M-1.23B-9.9M2.167.04N/AN/A2,0454,417207,227293,996
2009-08-27$180.78$165.0035.6%10.2%29.4%0.0%37.5%6.4%1.7%11.8M-1.24B-9.9M1.977.30N/AN/A6,48012,765207,975294,907
2009-08-28$178.62$165.0035.2%10.1%29.9%0.0%36.3%6.0%2.4%8.8M-1.10B-10.0M2.116.70N/AN/A5,33211,267210,079296,124
2009-08-31$174.63$165.0038.2%11.0%25.7%2.2%40.4%6.7%1.7%277.8K-780.8M-10.4M4.618.15N/AN/A2,59311,965214,863307,540