EWZ Options History — November 2009 In November 2009, EWZ traded between $208.77 and $233.58. ATM implied volatility averaged 38.7%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 8.9% (HV 20d: 47.7%). Max pain ranged from $198.00 to $219.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.65.
Notable Days 2009-11-04 : Highest Volume — 59,791 contracts2009-11-27 : Largest IV spike — 13.6% change2009-11-02 : Highest IV Rank — 20.1%2009-11-02 : Largest Expected Move — 14.0%Monthly Statistics Metric Avg Min Max Open Close Price $225.80 $208.77 $233.58 $208.77 $229.41 Max Pain $208.95 $198.00 $219.00 $219.00 $213.00 ATM IV 38.7% 32.2% 48.8% 48.8% 37.9% Expected Move 11.2% 9.2% 14.0% 14.0% 10.9% HV 20d 47.7% 29.9% 51.7% 48.3% 29.9% HV 60d 35.6% 34.8% 36.0% 35.2% 35.8% IV Rank 10.0% 3.6% 20.1% 20.1% 10.6% IV Percentile 23.0% 2.8% 48.8% 48.8% 23.0% Term Structure -0.1% -1.9% 1.3% -1.9% -0.5% VWIV 40.7% 35.9% 50.2% 50.2% 40.5% Skew 25d 7.6% 6.2% 8.6% 7.8% 8.2% Skew 10d 15.0% 12.5% 17.6% 15.6% 16.7% Call IV 25d 35.7% 29.6% 45.4% 45.4% 33.8% Put IV 25d 43.3% 35.8% 53.2% 53.2% 41.9% Bid-Ask Spread % 3.83 2.94 5.53 5.53 4.45 Gamma HHI 0.08 0.05 0.45 0.05 0.05 Net GEX 13.7M -25.0M 115.8M -25.0M 3.1M Net DEX -2.51B -3.54B -877.0M -877.0M -2.55B Net VEX -13.4M -14.8M -12.4M -13.8M -12.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.65 0.59 2.80 1.77 1.54 Total Volume 27,164.45 14,974 59,791 30,019 14,974 Total OI 679,507.25 610,043 755,633 610,043 658,124
Daily Data (20 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 2009-11-02 $208.77 $219.00 48.8% 14.0% 48.3% 20.1% 50.2% 7.8% -1.9% -25.0M -877.0M -13.8M 1.77 5.53 N/A N/A 10,829 19,190 255,126 354,917 2009-11-03 $213.03 $219.00 48.2% 13.8% 48.8% 19.4% 49.5% 8.0% -1.4% -17.0M -1.28B -14.1M 1.19 4.74 N/A N/A 8,975 10,716 258,920 356,996 2009-11-04 $217.71 $219.00 45.6% 13.1% 49.3% 16.8% 47.7% 8.1% -0.2% -10.8M -1.71B -14.1M 2.62 5.44 N/A N/A 16,518 43,273 262,287 363,323 2009-11-05 $224.04 $219.00 40.9% 11.7% 49.6% 11.9% 42.1% 7.5% 1.1% -4.3M -2.27B -14.4M 0.59 4.13 N/A N/A 20,963 12,467 271,267 397,677 2009-11-06 $223.17 $198.00 39.5% 11.9% 49.6% 10.5% 41.2% 8.6% -0.5% 3.1M -2.31B -14.8M 1.83 3.79 N/A N/A 5,360 9,799 284,705 398,554 2009-11-09 $231.12 $198.00 37.7% 11.2% 50.9% 8.7% 42.8% 8.2% -0.0% 17.6M -3.16B -13.5M 2.80 3.63 N/A N/A 6,730 18,860 281,746 403,463 2009-11-10 $230.07 $201.00 36.9% 11.0% 51.0% 7.8% 40.4% 7.9% -0.0% 15.7M -2.99B -13.5M 1.62 3.74 N/A N/A 9,191 14,910 280,680 406,220 2009-11-11 $228.12 $201.00 36.8% 11.1% 49.2% 7.7% 38.1% 7.9% -0.3% 14.1M -2.84B -13.4M 1.09 3.51 N/A N/A 9,488 10,339 283,988 408,420 2009-11-12 $220.62 $204.00 39.1% 11.2% 50.6% 10.1% 41.0% 8.0% 0.1% -5.5M -2.00B -13.8M 2.33 3.20 N/A N/A 9,759 22,755 291,383 409,538 2009-11-13 $224.88 $207.00 38.7% 11.1% 51.0% 9.7% 40.1% 7.9% -0.3% 7.9M -2.45B -14.0M 1.24 3.22 N/A N/A 9,248 11,432 294,987 423,854 2009-11-16 $230.31 $207.00 37.2% 10.7% 51.7% 8.2% 38.4% 7.3% -0.0% 33.2M -3.19B -13.0M 1.30 3.17 N/A N/A 8,684 11,269 298,453 425,722 2009-11-17 $233.28 $207.00 37.0% 10.6% 49.7% 8.0% 38.8% 7.7% -0.3% 44.2M -3.54B -12.7M 1.17 3.49 N/A N/A 11,973 14,000 299,128 427,428 2009-11-18 $229.50 $207.00 38.3% 11.0% 49.9% 9.2% 38.8% 7.3% -0.2% 37.4M -3.11B -13.0M 1.74 4.97 N/A N/A 13,049 22,720 300,696 430,194 2009-11-19 $227.55 $210.00 38.0% 10.9% 49.9% 8.9% 39.0% 7.2% -0.4% 24.4M -2.84B -13.1M 1.56 3.24 N/A N/A 13,113 20,472 303,776 441,040 2009-11-20 $225.27 $210.00 37.2% 10.7% 49.9% 8.1% 37.9% 6.7% 0.1% 115.8M -2.69B -13.0M 1.33 3.59 N/A N/A 8,906 11,839 307,814 447,819 2009-11-23 $228.60 $210.00 35.8% 10.3% 50.0% 7.9% 35.9% 7.2% 0.2% 397.5K -2.50B -12.6M 1.04 2.94 N/A N/A 11,370 11,854 259,795 371,841 2009-11-24 $230.22 $210.00 32.6% 9.3% 48.6% 4.0% 37.2% 6.5% 0.8% 3.1M -2.64B -12.4M 2.76 2.95 N/A N/A 10,823 29,918 263,833 378,403 2009-11-25 $233.58 $210.00 32.2% 9.2% 41.1% 3.6% 36.1% 6.2% 1.3% 18.3M -3.06B -12.4M 1.99 3.00 N/A N/A 9,434 18,756 270,942 366,212 2009-11-27 $226.74 $210.00 36.6% 10.5% 34.9% 8.9% 38.3% 7.8% 0.0% -1.4M -2.28B -13.1M 1.46 3.93 N/A N/A 7,875 11,458 272,414 378,460 2009-11-30 $229.41 $213.00 37.9% 10.9% 29.9% 10.6% 40.5% 8.2% -0.5% 3.1M -2.55B -12.8M 1.54 4.45 N/A N/A 5,900 9,074 274,570 383,554
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