EWZ Options History — August 2010 In August 2010, EWZ traded between $66.11 and $72.08. ATM implied volatility averaged 30.3%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 6.6% (HV 20d: 23.7%). Max pain ranged from $66.00 to $69.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.52.
Notable Days 2010-08-27 : Highest Volume — 104,900 contracts2010-08-11 : Largest IV spike — 17.0% change2010-08-11 : Highest IV Rank — 34.2%2010-08-11 : Largest Expected Move — 10.0%Monthly Statistics Metric Avg Min Max Open Close Price $69.45 $66.11 $72.08 $72.08 $67.75 Max Pain $68.55 $66.00 $69.00 $66.00 $69.00 ATM IV 30.3% 27.2% 33.0% 28.1% 30.8% Expected Move 8.8% 7.8% 10.0% 8.1% 8.8% HV 20d 23.7% 19.9% 26.8% 25.9% 25.8% HV 60d 32.1% 28.1% 38.3% 38.3% 28.5% IV Rank 25.8% 15.9% 34.2% 18.9% 27.5% IV Percentile 25.3% 7.5% 43.3% 10.7% 29.4% Term Structure 2.4% 1.3% 3.9% 1.7% 1.9% VWIV 32.2% 28.1% 36.6% 29.2% 32.0% Skew 25d 7.7% 5.5% 10.3% 6.8% 5.8% Skew 10d 15.9% 11.0% 21.7% 13.9% 11.3% Call IV 25d 27.3% 24.9% 30.0% 25.0% 28.5% Put IV 25d 35.0% 30.6% 40.3% 31.8% 34.3% Bid-Ask Spread % 3.28 2.57 4.00 3.32 2.57 Gamma HHI 0.07 0.06 0.12 0.06 0.06 Net GEX 3.1M -31.8M 36.1M 27.7M -23.3M Net DEX -145.1M -1.10B 947.2M -1.10B 552.9M Net VEX -17.0M -18.2M -15.8M -17.7M -16.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.52 0.32 2.97 0.32 0.98 Total Volume 54,668.045 16,671 104,900 44,118 41,225 Total OI 1,720,333.136 1,501,303 1,893,805 1,646,566 1,668,434
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 2010-08-02 $72.08 $66.00 28.1% 8.1% 25.9% 18.9% 29.2% 6.8% 1.7% 27.7M -1.10B -17.7M 0.32 3.32 N/A N/A 33,340 10,778 667,715 978,851 2010-08-03 $71.23 $66.00 29.1% 8.3% 26.6% 21.9% 31.6% 6.4% 1.9% 28.0M -886.5M -17.8M 2.84 3.80 N/A N/A 12,457 35,424 679,789 979,991 2010-08-04 $71.66 $67.00 27.6% 7.9% 25.1% 17.0% 29.7% 5.9% 2.1% 24.4M -957.2M -17.8M 2.13 3.44 N/A N/A 13,057 27,805 678,288 1,000,482 2010-08-05 $71.76 $67.00 27.2% 7.8% 25.1% 15.9% 28.1% 5.7% 2.6% 26.0M -961.9M -17.9M 1.66 3.38 N/A N/A 20,794 34,607 683,178 1,015,388 2010-08-06 $71.08 $69.00 28.1% 8.7% 25.3% 18.7% 31.0% 8.7% 2.5% 17.3M -697.1M -18.2M 1.57 3.74 N/A N/A 22,752 35,616 700,648 1,042,296 2010-08-09 $71.12 $69.00 27.9% 8.7% 23.7% 18.0% 36.0% 8.9% 2.8% 19.9M -708.4M -17.8M 2.47 3.37 N/A N/A 4,799 11,872 710,347 1,059,298 2010-08-10 $70.50 $69.00 28.2% 8.9% 23.7% 19.0% 34.5% 8.4% 2.6% 12.5M -498.1M -17.6M 1.24 4.00 N/A N/A 21,889 27,157 710,482 1,064,517 2010-08-11 $68.16 $69.00 33.0% 10.0% 26.8% 34.2% 36.6% 10.3% 1.4% -23.1M 359.8M -17.7M 2.01 3.32 N/A N/A 23,392 47,130 718,931 1,070,667 2010-08-12 $68.62 $69.00 32.9% 9.4% 26.8% 33.9% 36.0% 9.8% 2.3% -20.9M 248.9M -17.5M 1.85 2.87 N/A N/A 18,192 33,616 716,444 1,093,894 2010-08-13 $68.61 $69.00 32.5% 9.3% 23.9% 32.6% 33.6% 9.7% 2.9% -14.5M 188.4M -17.4M 1.07 3.21 N/A N/A 13,471 14,432 726,148 1,101,460 2010-08-16 $69.96 $69.00 32.1% 9.2% 24.3% 31.6% 34.5% 9.6% 2.6% 10.6M -325.3M -17.0M 1.22 3.40 N/A N/A 15,113 18,478 725,799 1,102,342 2010-08-17 $70.80 $69.00 31.0% 8.9% 22.0% 28.0% 31.3% 8.2% 3.1% 34.5M -741.8M -16.8M 0.92 3.80 N/A N/A 32,591 29,868 729,014 1,103,891 2010-08-18 $70.80 $69.00 30.0% 8.6% 21.9% 24.7% 29.9% 7.9% 3.8% 36.1M -768.6M -16.6M 0.57 3.50 N/A N/A 26,971 15,417 742,648 1,122,285 2010-08-19 $69.87 $69.00 30.9% 8.8% 19.9% 27.5% 33.0% 8.2% 3.7% 24.0M -359.9M -16.5M 0.87 3.57 N/A N/A 40,955 35,506 751,064 1,117,671 2010-08-20 $69.48 $69.00 30.1% 8.6% 19.9% 25.3% 33.2% 7.6% 3.9% 14.3M -167.4M -16.5M 2.97 3.03 N/A N/A 16,662 49,516 761,078 1,132,727 2010-08-23 $68.30 $69.00 31.7% 9.1% 20.8% 30.1% 30.8% 8.2% 1.5% -11.4M 338.7M -15.9M 0.70 3.40 N/A N/A 31,564 21,949 610,379 890,924 2010-08-24 $67.40 $69.00 32.9% 9.4% 21.3% 34.0% 34.1% 7.5% 1.3% -15.4M 572.1M -15.8M 2.13 2.91 N/A N/A 25,780 54,964 628,574 896,374 2010-08-25 $67.08 $69.00 31.9% 9.1% 21.1% 30.8% 30.6% 6.8% 2.0% -23.1M 684.2M -16.2M 1.02 2.79 N/A N/A 42,699 43,685 641,888 932,887 2010-08-26 $66.11 $69.00 32.0% 9.2% 21.4% 31.1% 31.3% 6.7% 2.1% -31.4M 947.2M -16.0M 1.69 2.83 N/A N/A 19,663 33,140 644,204 955,602 2010-08-27 $68.69 $69.00 27.5% 7.9% 25.7% 17.0% 29.8% 5.5% 3.1% -12.1M 253.7M -16.4M 2.28 2.84 N/A N/A 31,956 72,944 651,682 974,669 2010-08-30 $66.90 $69.00 31.3% 9.0% 25.4% 29.0% 31.4% 5.9% 2.1% -31.8M 835.2M -16.2M 0.96 2.98 N/A N/A 20,089 19,382 664,326 1,000,053 2010-08-31 $67.75 $69.00 30.8% 8.8% 25.8% 27.5% 32.0% 5.8% 1.9% -23.3M 552.9M -16.4M 0.98 2.57 N/A N/A 20,852 20,373 668,278 1,000,156
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