EWZ Options History — March 2010 In March 2010, EWZ traded between $69.68 and $73.97. ATM implied volatility averaged 28.7%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 5.4% (HV 20d: 23.3%). Max pain ranged from $70.00 to $72.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.37.
Notable Days 2010-03-03 : Highest Volume — 108,597 contracts2010-03-05 : Largest IV drop — 7.6% change2010-03-15 : Highest IV Rank — 14.7%2010-03-15 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $72.13 $69.68 $73.97 $69.68 $73.64 Max Pain $71.09 $70.00 $72.00 $70.00 $72.00 ATM IV 28.7% 23.9% 32.0% 30.4% 23.9% Expected Move 8.3% 6.9% 9.2% 8.7% 6.9% HV 20d 23.3% 17.6% 37.4% 37.4% 21.0% HV 60d 226.7% 226.5% 226.8% 226.5% 226.6% IV Rank 6.0% 0.0% 14.7% 7.6% 0.0% IV Percentile 4.9% 0.0% 15.9% 7.5% 0.0% Term Structure 2.0% 0.4% 3.6% 1.2% 3.6% VWIV 29.8% 25.3% 34.3% 33.0% 25.3% Skew 25d 6.1% 4.5% 6.8% 5.8% 4.5% Skew 10d 12.3% 10.0% 13.7% 11.8% 10.0% Call IV 25d 26.5% 22.4% 29.4% 28.3% 22.4% Put IV 25d 32.6% 26.9% 36.3% 34.2% 26.9% Bid-Ask Spread % 3.37 2.51 4.06 2.87 3.28 Gamma HHI 0.07 0.05 0.22 0.07 0.06 Net GEX -7.3M -43.5M 21.4M -29.9M 1.5M Net DEX -339.8M -1.06B 297.5M 274.0M -461.3M Net VEX -14.0M -14.5M -13.4M -13.9M -14.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 0.53 3.32 3.32 0.53 Total Volume 72,890 41,907 108,597 68,267 41,907 Total OI 1,382,428.609 981,265 1,712,964 1,384,219 1,108,506
Daily Data (23 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 2010-03-01 $69.68 $70.00 30.4% 8.7% 37.4% 7.6% 33.0% 5.8% 1.2% -29.9M 274.0M -13.9M 3.32 2.87 N/A N/A 15,809 52,458 536,739 847,480 2010-03-02 $70.59 $70.00 31.2% 9.0% 34.5% 8.9% 33.3% 6.7% 1.1% -27.0M 71.6M -14.3M 1.26 2.99 N/A N/A 34,727 43,914 541,896 871,509 2010-03-03 $70.58 $70.00 31.9% 9.2% 34.1% 10.9% 34.3% 6.8% 1.0% -28.9M 95.5M -14.4M 1.03 2.51 N/A N/A 53,550 55,047 554,835 884,761 2010-03-04 $70.56 $70.00 30.6% 8.8% 33.6% 8.4% 31.4% 6.6% 1.5% -33.0M 104.9M -14.5M 0.82 3.07 N/A N/A 25,094 20,615 579,880 919,859 2010-03-05 $72.20 $70.00 28.2% 8.8% 24.6% 3.9% 31.1% 6.7% 1.4% -11.4M -454.4M -14.2M 1.04 3.12 N/A N/A 29,674 30,860 581,393 905,022 2010-03-08 $71.67 $70.00 29.7% 8.8% 25.0% 6.7% 31.0% 6.8% 1.6% -18.0M -295.0M -14.0M 0.66 3.59 N/A N/A 30,460 19,995 586,952 920,005 2010-03-09 $73.06 $70.00 28.1% 8.6% 24.3% 3.7% 31.3% 6.5% 1.6% -3.6M -786.5M -13.4M 1.50 3.48 N/A N/A 37,205 55,640 593,654 927,886 2010-03-10 $73.65 $70.00 27.9% 8.7% 21.2% 4.1% 31.1% 6.7% 0.7% 2.5M -935.9M -13.6M 1.03 3.78 N/A N/A 41,310 42,374 598,997 958,694 2010-03-11 $73.85 $71.00 29.8% 8.5% 21.1% 8.5% 28.9% 6.3% 1.6% 12.8M -1.03B -14.1M 1.39 3.25 N/A N/A 25,562 35,472 619,701 971,582 2010-03-12 $73.23 $71.00 30.3% 8.7% 20.6% 10.6% 30.5% 6.2% 1.3% 8.5M -846.4M -14.1M 2.65 4.01 N/A N/A 24,987 66,337 631,589 974,651 2010-03-15 $73.20 $71.00 32.0% 9.2% 20.4% 14.7% 32.1% 6.6% 0.4% 11.6M -825.0M -14.0M 0.86 4.06 N/A N/A 38,734 33,241 639,878 993,363 2010-03-16 $73.97 $72.00 29.8% 8.6% 19.1% 9.4% 30.8% 6.4% 1.4% 21.4M -1.06B -14.1M 1.83 3.35 N/A N/A 25,691 46,908 649,791 995,370 2010-03-17 $73.57 $72.00 28.9% 8.3% 19.3% 7.0% 28.9% 6.3% 2.1% 15.9M -950.3M -14.0M 0.53 3.20 N/A N/A 62,057 33,010 650,353 1,011,819 2010-03-18 $72.44 $72.00 29.4% 8.4% 19.6% 8.2% 29.7% 6.0% 2.1% -4.7M -459.1M -13.9M 1.16 3.44 N/A N/A 43,691 50,892 669,748 1,020,388 2010-03-19 $71.30 $72.00 29.5% 8.5% 20.6% 8.5% 30.0% 5.7% 2.2% -43.5M 78.1M -13.6M 1.35 3.44 N/A N/A 45,323 61,220 673,752 1,039,212 2010-03-22 $71.74 $72.00 27.4% 7.9% 20.3% 3.2% 28.0% 5.7% 2.7% -2.9M -86.3M -13.6M 0.88 3.41 N/A N/A 36,949 32,348 425,010 556,255 2010-03-23 $72.72 $71.00 26.3% 7.5% 17.6% 0.4% 27.6% 5.2% 2.8% 4.4M -321.4M -13.9M 1.57 3.52 N/A N/A 21,670 34,057 443,955 570,775 2010-03-24 $71.56 $71.00 27.3% 7.8% 19.0% 3.0% 27.8% 5.7% 3.0% -3.6M -43.3M -13.9M 1.86 3.23 N/A N/A 18,669 34,783 452,469 587,792 2010-03-25 $70.28 $72.00 28.4% 8.1% 20.4% 5.7% 27.4% 5.2% 2.6% -12.1M 231.6M -13.7M 1.92 2.96 N/A N/A 28,090 53,962 453,946 595,008 2010-03-26 $70.44 $72.00 27.7% 7.9% 20.0% 3.9% 27.4% 6.2% 2.9% -17.9M 297.5M -13.9M 1.06 3.66 N/A N/A 37,350 39,760 451,587 619,591 2010-03-29 $72.34 $72.00 25.7% 7.4% 21.1% 0.0% 26.4% 5.5% 3.2% -6.2M -159.1M -14.0M 1.51 3.62 N/A N/A 24,256 36,643 458,464 629,149 2010-03-30 $72.77 $72.00 25.3% 7.2% 20.7% 0.0% 26.9% 5.4% 3.4% -4.0M -250.1M -14.0M 1.73 3.63 N/A N/A 19,861 34,308 459,597 632,995 2010-03-31 $73.64 $72.00 23.9% 6.9% 21.0% 0.0% 25.3% 4.5% 3.6% 1.5M -461.3M -14.0M 0.53 3.28 N/A N/A 27,313 14,594 462,174 646,332
« Feb 2010 | All History | Apr 2010 » Home EWZ History March 2010