EWZ Options History — December 2009 In December 2009, EWZ traded between $216.18 and $239.37. ATM implied volatility averaged 32.7%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 5.2% (HV 20d: 27.5%). Max pain ranged from $195.00 to $225.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.21.
Notable Days 2009-12-21 : Highest Volume — 596,809 contracts2009-12-17 : Largest IV spike — 11.7% change2009-12-17 : Highest IV Rank — 11.4%2009-12-08 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $227.69 $216.18 $239.37 $236.76 $223.83 Max Pain $211.50 $195.00 $225.00 $213.00 $225.00 ATM IV 32.7% 28.8% 36.2% 35.0% 29.6% Expected Move 9.5% 8.2% 10.6% 10.0% 8.5% HV 20d 27.5% 22.6% 31.3% 31.3% 22.6% HV 60d 36.0% 35.5% 36.8% 35.9% 35.7% IV Rank 5.6% 0.0% 11.4% 6.9% 1.5% IV Percentile 7.2% 0.0% 19.4% 11.9% 1.6% Term Structure 3.4% 0.8% 5.1% 0.8% 4.8% VWIV 35.2% 29.8% 56.1% 36.0% 32.0% Skew 25d 6.9% 5.7% 8.4% 7.6% 6.0% Skew 10d 14.3% 11.5% 16.9% 15.6% 12.6% Call IV 25d 30.4% 26.5% 33.9% 32.0% 27.6% Put IV 25d 37.3% 32.6% 42.2% 39.6% 33.6% Bid-Ask Spread % 3.50 2.74 4.19 2.82 2.99 Gamma HHI 0.06 0.05 0.20 0.06 0.06 Net GEX 2.8M -41.4M 30.8M 20.0M -4.8M Net DEX -1.77B -3.52B 491.2M -3.29B -367.1M Net VEX -11.9M -12.6M -10.9M -12.3M -12.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.21 0.03 2.46 0.75 1.31 Total Volume 51,757.318 6,924 596,809 35,068 12,090 Total OI 625,618.364 436,785 748,395 665,065 506,331
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 2009-12-01 $236.76 $213.00 35.0% 10.0% 31.3% 6.9% 36.0% 7.6% 0.8% 20.0M -3.29B -12.3M 0.75 2.82 N/A N/A 20,069 14,999 276,743 388,322 2009-12-02 $239.37 $213.00 33.9% 9.7% 30.9% 6.0% 34.9% 6.9% 1.5% 30.8M -3.52B -12.3M 1.06 3.10 N/A N/A 10,423 11,095 283,172 394,785 2009-12-03 $236.64 $213.00 34.0% 9.7% 30.9% 6.1% 34.8% 6.3% 1.6% 29.2M -3.29B -12.3M 1.93 2.74 N/A N/A 6,893 13,311 284,534 397,173 2009-12-04 $233.70 $195.00 33.8% 10.4% 30.0% 5.8% 35.9% 7.5% 2.5% 16.1M -2.90B -12.5M 0.99 3.74 N/A N/A 9,238 9,123 285,225 402,466 2009-12-07 $233.31 $195.00 34.4% 10.5% 30.0% 7.4% 36.9% 7.4% 2.0% 15.9M -2.86B -12.1M 0.61 3.88 N/A N/A 20,640 12,635 288,324 405,429 2009-12-08 $228.03 $195.00 36.2% 10.6% 28.6% 10.2% 39.3% 8.4% 2.5% -4.5M -2.23B -12.4M 1.72 4.02 N/A N/A 12,389 21,311 288,792 408,865 2009-12-09 $229.47 $201.00 34.3% 10.4% 28.7% 7.4% 35.9% 7.5% 2.8% -1.7M -2.41B -12.4M 0.96 3.53 N/A N/A 18,330 17,612 290,545 417,815 2009-12-10 $231.06 $207.00 35.2% 10.1% 28.6% 9.8% 39.1% 7.0% 3.2% 7.3M -2.67B -12.6M 1.16 4.02 N/A N/A 12,612 14,642 301,721 426,887 2009-12-11 $232.32 $207.00 34.1% 9.8% 25.6% 8.0% 34.5% 7.0% 4.3% 23.0M -2.87B -12.3M 1.10 4.04 N/A N/A 9,011 9,933 301,587 425,260 2009-12-14 $234.42 $207.00 33.6% 9.6% 25.0% 7.4% 34.3% 6.6% 4.1% 29.3M -3.11B -11.6M 1.82 3.45 N/A N/A 6,969 12,654 300,219 425,604 2009-12-15 $232.32 $207.00 33.4% 9.6% 23.9% 7.1% 34.1% 6.9% 4.0% 14.7M -2.77B -11.6M 1.78 3.17 N/A N/A 7,823 13,916 299,058 428,398 2009-12-16 $231.36 $210.00 32.1% 9.2% 23.5% 4.8% 33.0% 6.6% 4.4% 15.3M -2.66B -11.5M 1.02 3.92 N/A N/A 12,916 13,135 302,132 433,497 2009-12-17 $220.65 $210.00 35.8% 10.3% 28.4% 11.4% 36.5% 6.9% 3.8% -41.4M -1.03B -11.5M 2.46 3.86 N/A N/A 15,165 37,320 302,701 434,466 2009-12-18 $221.40 $210.00 34.1% 9.8% 28.3% 8.3% 35.6% 7.9% 4.1% -31.9M -1.11B -11.6M 1.92 4.19 N/A N/A 13,069 25,047 307,318 441,077 2009-12-21 $220.11 $210.00 31.8% 9.1% 28.2% 4.3% 56.1% 6.6% 4.0% -13.3M -463.9M -11.1M 0.03 3.85 N/A N/A 581,271 15,538 190,122 270,541 2009-12-22 $216.18 $225.00 31.1% 8.9% 28.1% 3.2% 32.9% 7.2% 3.5% -22.5M 491.2M -10.9M 0.48 2.91 N/A N/A 22,866 11,087 156,726 280,059 2009-12-23 $218.19 $225.00 28.8% 8.2% 28.2% 0.0% 30.0% 6.1% 4.9% -11.3M 145.4M -11.5M 0.90 3.69 N/A N/A 11,753 10,530 173,403 283,918 2009-12-24 $221.37 $210.00 29.3% 8.4% 28.2% 0.9% 30.7% 6.4% 5.1% 77.6K -1.21B -12.2M 1.00 3.88 N/A N/A 6,665 6,683 230,838 288,342 2009-12-28 $222.39 $225.00 30.0% 8.6% 26.5% 2.1% 31.2% 6.5% 3.9% -1.8M -266.3M -11.7M 0.95 3.18 N/A N/A 3,551 3,373 184,428 290,174 2009-12-29 $222.75 $225.00 30.4% 8.7% 26.1% 2.8% 31.8% 6.3% 3.2% -996.8K -293.8M -11.6M 1.36 2.88 N/A N/A 13,601 18,464 184,701 290,583 2009-12-30 $223.59 $225.00 29.2% 8.4% 23.1% 0.7% 29.8% 5.7% 4.5% -5.1M -367.6M -12.0M 1.28 3.14 N/A N/A 8,276 10,633 188,367 302,956 2009-12-31 $223.83 $225.00 29.6% 8.5% 22.6% 1.5% 32.0% 6.0% 4.8% -4.8M -367.1M -12.2M 1.31 2.99 N/A N/A 5,235 6,855 196,759 309,572
« Nov 2009 | All History | Jan 2010 » Home EWZ History December 2009