EWZ Options History — October 2009 In October 2009, EWZ traded between $198.09 and $228.75. ATM implied volatility averaged 35.2%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 7.0% (HV 20d: 28.2%). Max pain ranged from $198.00 to $222.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.47.
Notable Days 2009-10-20 : Highest Volume — 97,903 contracts2009-10-30 : Largest IV spike — 16.4% change2009-10-30 : Highest IV Rank — 18.0%2009-10-30 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $216.23 $198.09 $228.75 $198.09 $206.49 Max Pain $213.68 $198.00 $222.00 $198.00 $222.00 ATM IV 35.2% 29.3% 46.8% 35.4% 46.8% Expected Move 10.4% 9.3% 13.4% 10.1% 13.4% HV 20d 28.2% 23.0% 49.3% 24.2% 49.3% HV 60d 28.5% 26.4% 35.2% 28.5% 35.2% IV Rank 4.8% 0.0% 18.0% 2.3% 18.0% IV Percentile 11.2% 0.0% 45.2% 7.5% 45.2% Term Structure 0.5% -1.0% 2.1% 2.0% -1.0% VWIV 37.0% 33.5% 47.1% 36.4% 47.1% Skew 25d 6.6% 5.3% 8.5% 5.5% 8.5% Skew 10d 12.7% 10.9% 17.3% 11.8% 17.3% Call IV 25d 33.0% 29.7% 42.9% 33.2% 42.9% Put IV 25d 39.6% 36.2% 51.4% 38.6% 51.4% Bid-Ask Spread % 10.97 5.91 13.37 12.00 11.63 Gamma HHI 0.08 0.05 0.21 0.06 0.05 Net GEX 6.1M -29.7M 38.6M -9.1M -22.9M Net DEX -2.08B -3.37B -355.5M -1.18B -736.0M Net VEX -10.5M -13.5M -8.7M -10.0M -13.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.47 0.56 3.31 3.31 1.66 Total Volume 29,563.909 12,966 97,903 12,966 43,518 Total OI 517,208.318 445,192 584,119 445,192 584,119
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 2009-10-01 $198.09 $198.00 35.4% 10.1% 24.2% 2.3% 36.4% 5.5% 2.0% -9.1M -1.18B -10.0M 3.31 12.00 N/A N/A 3,005 9,961 185,740 259,452 2009-10-02 $201.90 $198.00 35.3% 10.1% 24.4% 2.3% 35.5% 5.3% 1.6% -6.0M -1.39B -9.9M 0.68 11.53 N/A N/A 15,489 10,490 186,720 265,739 2009-10-05 $207.87 $201.00 33.9% 10.2% 24.6% 1.3% 36.6% 7.2% 0.7% 9.6M -1.85B -9.5M 1.07 5.91 N/A N/A 9,655 10,342 193,409 271,675 2009-10-06 $209.28 $204.00 33.7% 10.1% 23.3% 1.1% 36.4% 7.6% 0.6% 13.4M -1.97B -9.7M 0.96 9.99 N/A N/A 13,566 13,007 198,650 279,730 2009-10-07 $209.91 $204.00 31.9% 9.9% 23.2% 0.0% 34.3% 7.2% 0.7% 15.1M -2.00B -9.6M 0.71 12.81 N/A N/A 13,511 9,545 202,269 287,211 2009-10-08 $215.07 $210.00 31.5% 9.8% 23.5% 0.0% 35.0% 6.9% 1.0% 21.8M -2.38B -9.6M 0.94 11.05 N/A N/A 16,376 15,327 204,694 293,476 2009-10-09 $216.36 $210.00 29.3% 9.5% 23.0% 0.0% 35.4% 6.7% 1.5% 33.6M -2.51B -9.6M 1.38 9.65 N/A N/A 6,893 9,505 212,582 299,395 2009-10-12 $218.82 $210.00 31.5% 9.7% 23.0% 1.6% 34.5% 6.7% 0.7% 38.6M -2.70B -9.1M 0.66 13.37 N/A N/A 11,251 7,377 212,922 303,521 2009-10-13 $218.40 $210.00 30.2% 9.6% 23.2% 0.7% 36.6% 6.8% 0.6% 34.8M -2.63B -9.1M 0.56 11.09 N/A N/A 15,508 8,702 210,762 305,076 2009-10-14 $227.25 $210.00 30.3% 9.3% 25.3% 0.7% 33.9% 6.6% 0.8% 27.1M -3.26B -8.7M 0.96 10.27 N/A N/A 18,277 17,553 222,073 309,714 2009-10-15 $228.12 $213.00 32.9% 9.4% 24.5% 2.6% 33.5% 6.1% 1.5% 27.3M -3.37B -9.0M 2.01 11.44 N/A N/A 6,683 13,447 230,028 315,833 2009-10-16 $226.47 $213.00 34.9% 10.0% 25.1% 5.1% 36.1% 6.2% 0.6% 23.0M -3.23B -9.4M 1.39 12.62 N/A N/A 9,803 13,578 230,280 323,958 2009-10-19 $228.75 $222.00 33.6% 9.6% 25.1% 3.9% 34.6% 5.5% 2.1% 8.9M -2.54B -9.3M 0.60 9.67 N/A N/A 13,627 8,158 196,227 255,201 2009-10-20 $220.02 $222.00 37.5% 10.8% 29.5% 7.5% 38.0% 6.3% -0.7% 5.3M -2.07B -10.2M 2.17 9.26 N/A N/A 30,842 67,061 205,339 260,761 2009-10-21 $223.53 $222.00 36.4% 10.4% 28.7% 6.4% 37.4% 6.3% -0.3% -6.4M -2.14B -11.6M 1.05 12.12 N/A N/A 20,186 21,232 222,808 307,263 2009-10-22 $225.45 $222.00 34.8% 10.0% 27.5% 5.0% 35.6% 5.5% 0.3% 971.9K -2.36B -11.5M 1.62 10.04 N/A N/A 7,530 12,170 224,122 306,783 2009-10-23 $223.02 $222.00 35.9% 10.3% 28.3% 6.0% 36.1% 6.0% 0.1% -3.6M -2.15B -11.9M 3.05 11.08 N/A N/A 5,233 15,980 228,706 313,676 2009-10-26 $220.98 $222.00 36.8% 10.6% 28.5% 6.8% 37.1% 6.7% 0.0% -10.0M -1.97B -12.1M 1.98 12.27 N/A N/A 5,544 10,992 229,736 321,528 2009-10-27 $214.44 $222.00 39.4% 11.3% 31.1% 9.9% 40.1% 7.2% -0.7% -17.4M -1.47B -12.8M 1.99 10.03 N/A N/A 9,771 19,450 235,702 327,030 2009-10-28 $200.73 $222.00 42.7% 12.2% 39.3% 13.8% 41.9% 7.0% -0.8% -29.7M -355.5M -12.9M 2.20 12.54 N/A N/A 15,426 33,869 240,057 332,845 2009-10-29 $216.18 $222.00 40.2% 11.5% 46.3% 11.2% 41.5% 6.9% -0.0% -19.1M -1.51B -13.0M 1.34 10.87 N/A N/A 13,223 17,743 239,463 342,308 2009-10-30 $206.49 $222.00 46.8% 13.4% 49.3% 18.0% 47.1% 8.5% -1.0% -22.9M -736.0M -13.5M 1.66 11.63 N/A N/A 16,357 27,161 245,228 338,891
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