EWZ Options History — April 2010 In April 2010, EWZ traded between $70.05 and $75.73. ATM implied volatility averaged 26.8%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 5.8% (HV 20d: 21.0%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.01.
Notable Days 2010-04-09 : Highest Volume — 113,880 contracts2010-04-27 : Largest IV spike — 27.6% change2010-04-27 : Highest IV Rank — 35.4%2010-04-27 : Largest Expected Move — 9.4%Monthly Statistics Metric Avg Min Max Open Close Price $73.90 $70.05 $75.73 $74.95 $72.26 Max Pain $74.14 $70.00 $75.00 $72.00 $74.00 ATM IV 26.8% 22.2% 32.9% 23.3% 32.1% Expected Move 8.1% 6.7% 9.4% 6.7% 9.2% HV 20d 21.0% 18.1% 26.0% 21.7% 25.5% HV 60d 28.2% 26.6% 29.5% 29.4% 27.1% IV Rank 13.4% 0.0% 35.4% 0.0% 33.0% IV Percentile 8.2% 0.0% 31.3% 0.0% 28.6% Term Structure 2.0% 0.9% 3.9% 3.9% 1.8% VWIV 29.1% 25.4% 32.6% 25.4% 32.6% Skew 25d 5.9% 4.4% 7.5% 4.4% 7.5% Skew 10d 12.7% 9.9% 16.3% 9.9% 16.3% Call IV 25d 25.7% 21.7% 29.8% 21.7% 28.4% Put IV 25d 31.6% 26.1% 36.7% 26.1% 35.9% Bid-Ask Spread % 4.31 3.52 5.67 3.52 5.67 Gamma HHI 0.06 0.05 0.06 0.05 0.05 Net GEX -14.8M -53.2M 18.5M 15.3M -44.2M Net DEX -252.7M -965.0M 1.02B -860.5M 461.4M Net VEX -15.2M -17.5M -13.9M -14.1M -17.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.01 0.63 5.80 1.73 1.68 Total Volume 70,190.048 41,754 113,880 70,357 65,584 Total OI 1,292,820.905 1,127,465 1,469,581 1,127,465 1,469,581
Daily Data (21 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 2010-04-01 $74.95 $72.00 23.3% 6.7% 21.7% 0.0% 25.4% 4.4% 3.9% 15.3M -860.5M -14.1M 1.73 3.52 N/A N/A 25,780 44,577 479,057 648,408 2010-04-05 $75.30 $70.00 25.7% 8.0% 20.4% 7.0% 27.9% 6.1% 0.9% 17.0M -942.7M -13.9M 2.92 4.02 N/A N/A 14,837 43,371 488,512 670,896 2010-04-06 $75.58 $74.00 23.5% 7.9% 20.1% 0.4% 28.4% 6.0% 1.1% 16.4M -965.0M -13.9M 1.04 4.27 N/A N/A 27,550 28,685 488,782 695,370 2010-04-07 $74.41 $74.00 26.1% 8.4% 20.1% 8.2% 31.1% 6.1% 1.1% 8.1M -666.1M -14.4M 2.39 4.04 N/A N/A 16,047 38,310 502,932 707,183 2010-04-08 $75.31 $74.00 24.3% 8.2% 20.3% 3.1% 29.2% 5.9% 1.7% 16.9M -907.4M -14.2M 3.04 3.53 N/A N/A 12,343 37,494 502,932 707,183 2010-04-09 $75.45 $75.00 22.9% 8.1% 20.3% 0.0% 28.3% 5.7% 1.5% 18.5M -960.2M -14.2M 5.80 4.14 N/A N/A 16,744 97,136 506,390 732,740 2010-04-12 $74.99 $75.00 25.5% 8.2% 20.2% 7.8% 29.3% 5.9% 1.5% 7.2M -726.9M -14.7M 2.35 3.88 N/A N/A 13,713 32,161 512,890 819,166 2010-04-13 $74.90 $75.00 23.9% 8.0% 20.2% 3.1% 29.0% 5.4% 1.7% -3.0M -635.6M -14.8M 2.34 4.77 N/A N/A 12,497 29,257 517,609 834,836 2010-04-14 $75.73 $75.00 22.2% 7.8% 20.2% 0.0% 28.8% 5.7% 2.3% 8.4M -882.4M -14.5M 0.92 4.20 N/A N/A 28,329 26,107 515,459 835,839 2010-04-15 $74.96 $75.00 28.2% 8.1% 20.5% 17.7% 29.8% 5.7% 1.8% -3.5M -703.2M -14.7M 1.05 4.30 N/A N/A 39,914 41,988 528,535 845,606 2010-04-16 $73.36 $75.00 29.8% 8.6% 21.3% 22.6% 30.1% 6.1% 1.7% -14.9M -222.9M -15.0M 1.28 4.36 N/A N/A 47,476 60,985 541,938 859,204 2010-04-19 $73.10 $75.00 29.3% 8.4% 20.4% 21.0% 30.0% 7.0% 2.6% -24.2M 34.6M -15.1M 2.35 4.47 N/A N/A 29,593 69,627 450,630 710,632 2010-04-20 $73.69 $75.00 26.7% 7.7% 20.5% 13.3% 28.4% 5.6% 3.0% -30.6M 32.5M -15.4M 2.13 4.60 N/A N/A 26,179 55,632 459,511 760,333 2010-04-21 $72.99 $75.00 27.2% 7.8% 20.3% 16.5% 28.0% 5.0% 2.8% -37.8M 240.0M -15.8M 1.80 4.10 N/A N/A 17,520 31,567 469,575 784,400 2010-04-22 $73.49 $74.00 27.3% 7.8% 19.5% 16.9% 27.8% 5.5% 2.7% -35.5M 123.7M -15.9M 1.63 4.60 N/A N/A 28,571 46,519 477,092 796,152 2010-04-23 $73.63 $74.00 25.9% 7.4% 18.1% 12.2% 27.6% 5.6% 3.4% -38.0M 109.0M -16.0M 1.98 3.92 N/A N/A 18,917 37,511 486,064 824,998 2010-04-26 $73.50 $74.00 25.8% 7.4% 18.2% 11.9% 25.7% 5.3% 2.8% -40.1M 135.1M -15.7M 0.63 4.05 N/A N/A 30,279 19,011 486,556 830,988 2010-04-27 $70.05 $74.00 32.9% 9.4% 23.4% 35.4% 32.4% 6.9% 1.4% -52.5M 1.02B -16.4M 1.56 4.91 N/A N/A 34,669 54,064 515,717 854,394 2010-04-28 $71.01 $74.00 30.8% 8.8% 23.9% 28.6% 31.4% 6.4% 1.4% -53.2M 799.4M -16.7M 1.65 4.73 N/A N/A 23,438 38,775 532,121 873,765 2010-04-29 $73.20 $74.00 29.3% 8.4% 26.0% 23.6% 30.6% 6.2% 1.5% -40.8M 211.6M -16.8M 1.85 4.33 N/A N/A 39,094 72,140 536,786 888,477 2010-04-30 $72.26 $74.00 32.1% 9.2% 25.5% 33.0% 32.6% 7.5% 1.8% -44.2M 461.4M -17.5M 1.68 5.67 N/A N/A 24,517 41,067 555,595 913,986
« Mar 2010 | All History | May 2010 » Home EWZ History April 2010