EWZ Options History — February 2010 In February 2010, EWZ traded between $62.84 and $69.82. ATM implied volatility averaged 35.2%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 40.0% (HV 20d: 75.2%). Max pain ranged from $70.00 to $73.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.23.
Notable Days 2010-02-05 : Highest Volume — 199,088 contracts2010-02-04 : Largest IV spike — 29.8% change2010-02-05 : Highest IV Rank — 25.6%2010-02-05 : Largest Expected Move — 11.8%Monthly Statistics Metric Avg Min Max Open Close Price $67.09 $62.84 $69.82 $67.60 $68.37 Max Pain $71.26 $70.00 $73.00 $72.00 $70.00 ATM IV 35.2% 31.3% 40.7% 33.7% 31.7% Expected Move 10.2% 9.0% 11.8% 9.7% 9.1% HV 20d 75.2% 30.5% 389.1% 389.1% 38.3% HV 60d 226.6% 226.3% 226.8% 226.7% 226.6% IV Rank 15.9% 9.0% 25.6% 13.2% 9.7% IV Percentile 27.3% 8.7% 54.8% 17.1% 9.9% Term Structure 0.2% -2.6% 2.8% 1.2% 0.9% VWIV 36.4% 32.1% 43.4% 33.3% 32.6% Skew 25d 7.3% 5.2% 9.0% 6.0% 6.2% Skew 10d 14.8% 10.5% 18.4% 11.3% 13.1% Call IV 25d 32.2% 28.7% 37.8% 31.4% 28.7% Put IV 25d 39.5% 34.5% 46.2% 37.4% 34.8% Bid-Ask Spread % 3.96 2.88 6.05 4.17 2.92 Gamma HHI 0.08 0.07 0.12 0.08 0.07 Net GEX -54.4M -77.1M -2.1M -58.7M -38.1M Net DEX 1.34B 446.5M 2.66B 1.42B 576.2M Net VEX -14.2M -14.9M -13.5M -14.4M -13.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.23 0.62 2.12 0.81 2.12 Total Volume 80,315.211 31,447 199,088 74,943 67,172 Total OI 1,610,492.474 1,305,010 1,842,955 1,502,259 1,385,952
Daily Data (19 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 2010-02-01 $67.60 $72.00 33.7% 9.7% 389.1% 13.2% 33.3% 6.0% 1.2% -58.7M 1.42B -14.4M 0.81 4.17 N/A N/A 41,433 33,510 625,696 876,563 2010-02-02 $68.71 $72.00 31.7% 9.1% 388.5% 9.8% 32.6% 5.9% 2.3% -53.0M 1.11B -14.9M 1.59 5.17 N/A N/A 30,837 48,893 647,663 891,826 2010-02-03 $67.76 $72.00 31.3% 9.0% 30.5% 9.0% 32.1% 5.2% 2.8% -67.8M 1.46B -14.7M 1.19 3.40 N/A N/A 14,331 17,116 641,311 911,695 2010-02-04 $63.72 $72.00 40.6% 11.6% 35.7% 25.4% 41.0% 6.6% 0.7% -67.1M 2.35B -13.5M 1.43 6.05 N/A N/A 64,381 91,978 644,076 918,689 2010-02-05 $63.69 $73.00 40.7% 11.8% 35.9% 25.6% 42.9% 8.3% -2.6% -71.2M 2.41B -13.8M 1.19 5.06 N/A N/A 91,018 108,070 676,289 965,488 2010-02-08 $62.84 $72.00 40.5% 11.8% 35.4% 25.2% 42.0% 8.8% -1.7% -72.7M 2.66B -13.5M 1.34 4.62 N/A N/A 28,677 38,471 711,976 1,015,151 2010-02-09 $65.37 $72.00 39.2% 11.5% 39.5% 22.9% 41.6% 9.0% -1.7% -67.6M 2.00B -14.5M 1.18 4.24 N/A N/A 60,798 71,438 721,696 1,011,162 2010-02-10 $65.33 $71.00 38.0% 11.4% 39.5% 20.8% 43.4% 8.7% -1.4% -75.0M 2.06B -14.2M 1.87 4.37 N/A N/A 23,970 44,927 719,978 1,022,908 2010-02-11 $66.93 $71.00 37.0% 10.6% 41.1% 19.1% 39.3% 8.6% -0.6% -71.9M 1.59B -14.8M 1.22 3.91 N/A N/A 29,218 35,693 735,408 1,042,191 2010-02-12 $66.63 $71.00 36.0% 10.3% 40.8% 17.3% 38.6% 7.8% 0.0% -77.1M 1.70B -14.7M 1.00 3.75 N/A N/A 23,005 22,968 745,778 1,041,239 2010-02-16 $68.34 $71.00 35.8% 10.3% 42.2% 16.9% 35.4% 7.6% -0.3% -60.1M 1.11B -14.5M 0.62 3.75 N/A N/A 33,717 21,020 755,481 1,047,188 2010-02-17 $68.53 $71.00 33.8% 9.7% 41.7% 13.5% 34.6% 7.2% 0.7% -55.8M 995.8M -14.5M 0.98 3.55 N/A N/A 29,323 28,841 767,901 1,053,614 2010-02-18 $69.82 $71.00 31.9% 9.1% 41.3% 10.1% 32.3% 7.5% 1.7% -30.7M 510.5M -14.3M 0.70 2.88 N/A N/A 49,504 34,523 777,857 1,058,422 2010-02-19 $69.75 $71.00 32.3% 9.3% 37.7% 10.9% 33.4% 7.2% 1.5% -2.1M 514.1M -14.1M 0.80 3.38 N/A N/A 55,680 44,745 787,341 1,055,614 2010-02-22 $69.16 $71.00 33.3% 9.5% 37.3% 12.5% 33.9% 7.3% 0.2% -34.0M 446.5M -14.1M 1.83 3.24 N/A N/A 24,485 44,810 495,009 810,001 2010-02-23 $67.33 $71.00 34.8% 10.0% 38.6% 15.2% 34.6% 6.9% 0.0% -45.1M 890.5M -13.8M 1.04 2.88 N/A N/A 24,837 25,887 497,979 831,199 2010-02-24 $67.34 $70.00 33.7% 9.7% 38.2% 13.2% 33.2% 7.0% -0.1% -44.4M 885.1M -13.7M 0.67 3.06 N/A N/A 39,141 26,187 512,652 832,472 2010-02-25 $67.50 $70.00 33.0% 9.5% 38.1% 12.1% 34.6% 6.8% 0.8% -41.1M 798.2M -13.7M 1.75 4.96 N/A N/A 20,120 35,265 526,724 837,168 2010-02-26 $68.37 $70.00 31.7% 9.1% 38.3% 9.7% 32.6% 6.2% 0.9% -38.1M 576.2M -13.7M 2.12 2.92 N/A N/A 21,520 45,652 538,756 847,196
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