EWZ Options History — September 2009

In September 2009, EWZ traded between $170.58 and $202.92. ATM implied volatility averaged 34.4%, placing in the 1.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 7.9% (HV 20d: 26.5%). Max pain ranged from $165.00 to $195.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.50.

Notable Days

  • 2009-09-18: Highest Volume — 28,111 contracts
  • 2009-09-04: Largest IV drop — 10.4% change
  • 2009-09-01: Highest IV Rank — 3.3%
  • 2009-09-01: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$190.30$170.58$202.92$170.58$202.92
Max Pain$185.57$165.00$195.00$165.00$195.00
ATM IV34.4%32.2%39.6%39.6%32.4%
Expected Move10.0%9.3%11.3%11.3%9.3%
HV 20d26.5%21.2%30.2%26.6%21.2%
HV 60d31.9%28.1%34.7%34.6%28.1%
IV Rank1.3%0.0%3.3%3.3%0.2%
IV Percentile2.5%0.0%11.9%11.9%0.4%
Term Structure2.0%0.9%3.4%1.5%1.5%
VWIV35.4%32.8%39.9%39.9%33.3%
Skew 25d6.6%5.1%7.4%7.3%5.6%
Skew 10d12.9%10.8%14.4%14.4%10.8%
Call IV 25d32.0%29.9%36.9%36.9%30.0%
Put IV 25d38.6%35.6%44.1%44.1%35.6%
Bid-Ask Spread %10.315.9412.826.3812.65
Gamma HHI0.160.060.700.070.07
Net GEX17.8M-9.0M90.4M-9.0M2.8M
Net DEX-1.53B-2.62B-467.1M-467.1M-1.55B
Net VEX-9.6M-10.5M-8.8M-10.4M-9.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.603.281.621.19
Total Volume14,784.2868,75828,1119,88113,874
Total OI504,202.143381,282595,218528,201440,823

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$170.58$165.0039.6%11.3%26.6%3.3%39.9%7.3%1.5%-9.0M-467.1M-10.4M1.626.38N/AN/A3,7766,105214,977313,224
2009-09-02$171.87$165.0039.5%11.3%26.6%3.2%38.4%7.4%1.9%-7.1M-561.5M-10.5M0.896.66N/AN/A6,4405,751216,958315,303
2009-09-03$174.63$165.0036.2%10.4%26.9%0.7%35.6%6.7%3.4%-240.5K-800.6M-10.4M1.025.94N/AN/A4,3424,416221,355317,761
2009-09-04$179.52$180.0032.4%10.7%28.3%0.0%37.3%6.7%2.0%12.8M-1.22B-10.4M0.617.19N/AN/A10,0256,124226,650319,421
2009-09-08$184.71$180.0034.2%10.6%30.2%1.3%36.7%7.0%2.5%27.7M-1.67B-9.9M3.286.87N/AN/A3,99813,131230,517322,674
2009-09-09$184.89$180.0032.2%10.3%29.0%0.0%36.6%6.9%3.4%26.1M-1.65B-9.8M2.827.93N/AN/A2,4666,965231,675329,238
2009-09-10$188.73$180.0035.0%10.0%29.6%2.1%36.6%6.6%2.2%35.7M-1.97B-9.5M2.5512.45N/AN/A3,6309,266231,230330,984
2009-09-11$187.50$180.0034.8%10.0%29.5%2.0%34.1%6.7%2.3%33.1M-1.86B-9.4M1.4812.82N/AN/A5,7688,548231,642332,528
2009-09-14$189.75$180.0035.1%10.1%28.9%2.2%35.0%6.6%2.5%42.5M-2.06B-9.1M0.6512.48N/AN/A9,1305,958233,966336,340
2009-09-15$191.85$186.0033.4%9.6%25.0%0.9%34.1%6.4%2.9%56.1M-2.28B-8.9M1.4111.97N/AN/A6,1608,667236,294339,480
2009-09-16$196.62$186.0032.9%9.4%25.2%0.5%34.8%7.2%2.5%51.0M-2.62B-8.8M1.6112.78N/AN/A9,14714,689235,446343,329
2009-09-17$194.70$195.0034.5%9.9%25.7%1.7%34.0%6.8%1.9%46.2M-2.40B-9.0M0.6011.80N/AN/A11,2456,787234,513350,489
2009-09-18$195.54$195.0033.9%9.7%25.5%1.3%36.4%7.1%1.9%90.4M-2.53B-9.2M1.8410.91N/AN/A9,88218,229240,682354,536
2009-09-21$196.20$195.0034.1%9.8%24.8%1.4%34.1%7.1%1.2%-2.4M-1.20B-9.3M0.9510.18N/AN/A6,7876,471161,531219,751
2009-09-22$200.22$195.0032.9%9.4%25.4%0.5%35.0%6.5%1.0%807.4K-1.41B-9.3M2.3411.07N/AN/A5,00411,700167,084224,812
2009-09-23$197.07$195.0032.9%9.4%25.3%0.6%34.6%6.3%1.1%-5.0M-1.22B-9.6M0.9912.15N/AN/A5,7125,672169,595234,709
2009-09-24$194.01$195.0034.9%10.0%26.3%2.0%35.9%6.6%0.9%-8.2M-1.02B-9.8M1.269.41N/AN/A6,1507,769169,301236,635
2009-09-25$195.93$195.0033.6%9.6%26.3%1.1%32.8%5.8%2.1%-7.9M-1.13B-9.8M1.6211.25N/AN/A4,8477,843173,549242,278
2009-09-28$199.38$195.0034.1%9.8%26.0%1.4%33.7%6.0%1.6%-5.5M-1.30B-9.6M1.7711.53N/AN/A5,4489,665175,626247,528
2009-09-29$199.74$195.0033.2%9.5%23.9%0.8%34.1%5.1%1.8%-5.8M-1.29B-9.8M0.9612.09N/AN/A6,5586,325180,198253,613
2009-09-30$202.92$195.0032.4%9.3%21.2%0.2%33.3%5.6%1.5%2.8M-1.55B-9.7M1.1912.65N/AN/A6,3447,530184,875255,948