EWZ Options History — November 2010 In November 2010, EWZ traded between $74.12 and $81.58. ATM implied volatility averaged 29.4%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 5.3% (HV 20d: 24.1%). Max pain ranged from $74.00 to $77.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.21.
Notable Days 2010-11-23 : Highest Volume — 119,787 contracts2010-11-09 : Largest IV spike — 12.3% change2010-11-30 : Highest IV Rank — 39.0%2010-11-30 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $77.41 $74.12 $81.58 $78.03 $74.85 Max Pain $75.10 $74.00 $77.00 $76.00 $75.00 ATM IV 29.4% 25.2% 34.2% 28.6% 34.2% Expected Move 8.5% 7.4% 9.8% 8.2% 9.8% HV 20d 24.1% 22.4% 26.8% 23.3% 26.4% HV 60d 23.2% 22.2% 24.1% 23.4% 22.3% IV Rank 23.8% 10.7% 39.0% 21.3% 39.0% IV Percentile 37.2% 6.3% 72.6% 29.4% 72.6% Term Structure -0.3% -2.4% 1.3% 0.8% -2.4% VWIV 30.3% 26.7% 34.2% 28.8% 33.6% Skew 25d 6.5% 3.7% 8.0% 4.9% 7.8% Skew 10d 13.3% 7.4% 16.5% 9.7% 16.1% Call IV 25d 26.7% 24.1% 30.7% 26.4% 30.7% Put IV 25d 33.2% 28.3% 38.5% 31.3% 38.5% Bid-Ask Spread % 4.60 3.73 5.99 4.26 4.21 Gamma HHI 0.07 0.06 0.08 0.06 0.07 Net GEX 36.7M -8.4M 76.7M 38.0M 23.6M Net DEX -1.61B -4.38B 462.2M -1.93B 186.8M Net VEX -20.5M -23.9M -17.7M -23.9M -18.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.21 0.65 1.99 1.07 1.26 Total Volume 62,235.476 17,787 119,787 47,114 73,636 Total OI 2,476,309.619 2,246,230 2,640,233 2,442,606 2,409,516
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 2010-11-01 $78.03 $76.00 28.6% 8.2% 23.3% 21.3% 28.8% 4.9% 0.8% 38.0M -1.93B -23.9M 1.07 4.26 N/A N/A 22,726 24,388 1,133,002 1,309,604 2010-11-02 $79.23 $76.00 28.7% 8.2% 22.9% 21.8% 29.1% 5.2% 0.0% 46.2M -2.82B -22.6M 1.05 3.98 N/A N/A 42,107 44,064 1,126,627 1,302,172 2010-11-03 $79.38 $76.00 26.6% 7.6% 22.4% 15.2% 26.7% 3.7% 1.3% 55.0M -3.01B -22.3M 1.03 4.29 N/A N/A 19,081 19,622 1,152,238 1,321,758 2010-11-04 $81.58 $77.00 25.7% 7.4% 23.7% 12.3% 27.2% 3.8% 0.9% 72.8M -4.38B -20.9M 0.65 4.64 N/A N/A 41,597 26,879 1,157,473 1,327,343 2010-11-05 $81.16 $74.00 25.2% 7.7% 23.0% 10.7% 27.9% 5.6% -0.1% 76.7M -4.20B -21.1M 1.29 3.96 N/A N/A 26,090 33,732 1,174,190 1,332,358 2010-11-08 $80.82 $74.00 25.3% 7.6% 23.1% 11.1% 29.5% 6.1% 0.3% 74.9M -3.97B -20.5M 1.25 4.33 N/A N/A 11,853 14,769 1,165,619 1,333,480 2010-11-09 $79.13 $74.00 28.4% 8.3% 24.4% 20.9% 29.6% 7.0% -0.5% 54.1M -2.82B -21.5M 1.24 4.68 N/A N/A 23,380 29,042 1,166,542 1,339,582 2010-11-10 $78.88 $75.00 27.5% 8.2% 22.9% 17.9% 28.5% 6.8% -0.1% 50.0M -2.68B -21.5M 1.22 4.46 N/A N/A 36,667 44,750 1,172,806 1,344,940 2010-11-11 $77.96 $75.00 28.6% 8.2% 23.1% 21.3% 28.2% 6.7% 0.4% 43.8M -1.98B -22.6M 1.43 5.21 N/A N/A 17,937 25,642 1,191,714 1,366,512 2010-11-12 $76.75 $75.00 30.0% 8.6% 23.7% 25.9% 31.6% 6.8% -0.6% 24.5M -1.14B -21.8M 1.99 5.87 N/A N/A 17,351 34,588 1,195,901 1,367,412 2010-11-15 $76.91 $75.00 30.1% 8.6% 23.7% 26.1% 32.2% 6.7% -0.8% 23.3M -1.29B -20.9M 1.91 4.44 N/A N/A 12,804 24,438 1,199,523 1,375,429 2010-11-16 $74.80 $75.00 32.5% 9.3% 23.3% 33.6% 33.2% 7.7% -1.0% -5.4M 423.6M -20.5M 1.54 5.99 N/A N/A 37,596 57,783 1,203,168 1,382,400 2010-11-17 $75.08 $75.00 32.2% 9.2% 22.9% 32.7% 34.2% 8.0% -0.6% -8.4M 209.8M -20.7M 1.84 5.41 N/A N/A 14,920 27,512 1,214,741 1,407,068 2010-11-18 $77.20 $75.00 29.0% 8.3% 23.9% 22.7% 29.6% 7.3% -0.0% 22.0M -1.68B -20.0M 0.85 4.48 N/A N/A 43,266 36,732 1,209,228 1,407,515 2010-11-19 $77.26 $75.00 28.2% 8.1% 23.8% 20.1% 28.5% 7.0% 0.5% 23.1M -1.79B -19.6M 0.77 3.95 N/A N/A 38,267 29,415 1,220,855 1,419,378 2010-11-22 $76.31 $75.00 29.0% 8.3% 24.0% 22.7% 29.9% 6.9% -0.3% 40.1M -752.8M -18.4M 1.08 5.59 N/A N/A 25,940 27,976 1,039,309 1,206,921 2010-11-23 $74.12 $75.00 31.9% 9.1% 25.5% 31.7% 31.3% 7.4% -1.0% 11.3M 462.2M -18.1M 0.68 3.97 N/A N/A 71,247 48,540 1,050,964 1,217,571 2010-11-24 $75.94 $75.00 29.5% 8.5% 26.4% 24.3% 29.9% 6.3% -0.6% 44.8M -575.3M -18.8M 0.78 3.73 N/A N/A 34,857 27,061 1,097,986 1,249,967 2010-11-26 $74.81 $75.00 32.0% 9.2% 26.8% 32.2% 33.9% 7.8% -1.6% 26.7M 126.9M -18.4M 1.08 4.76 N/A N/A 8,536 9,251 1,099,752 1,254,283 2010-11-29 $75.32 $75.00 33.1% 9.5% 26.8% 35.7% 32.5% 7.6% -1.9% 33.4M -133.5M -17.7M 1.39 4.50 N/A N/A 42,198 58,705 1,103,250 1,252,405 2010-11-30 $74.85 $75.00 34.2% 9.8% 26.4% 39.0% 33.6% 7.8% -2.4% 23.6M 186.8M -18.2M 1.26 4.21 N/A N/A 32,642 40,994 1,124,352 1,285,164
« Oct 2010 | All History | Dec 2010 » Home EWZ History November 2010