EWZ Options History — April 2011 In April 2011, EWZ traded between $75.62 and $79.78. ATM implied volatility averaged 21.6%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.8% (HV 20d: 19.8%). Max pain ranged from $75.00 to $77.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.54.
Notable Days 2011-04-28 : Highest Volume — 116,875 contracts2011-04-11 : Largest IV spike — 24.6% change2011-04-12 : Highest IV Rank — 16.3%2011-04-12 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $77.98 $75.62 $79.78 $79.22 $77.72 Max Pain $76.05 $75.00 $77.00 $75.00 $77.00 ATM IV 21.6% 18.4% 24.1% 18.4% 20.4% Expected Move 6.4% 5.7% 7.1% 5.7% 6.3% HV 20d 19.8% 17.9% 21.0% 21.0% 20.2% HV 60d 21.5% 20.9% 22.1% 22.1% 20.9% IV Rank 9.0% 0.0% 16.3% 0.0% 5.8% IV Percentile 6.5% 0.0% 16.3% 0.0% 3.6% Term Structure 1.8% 1.2% 2.2% 1.9% 2.0% VWIV 23.1% 20.8% 26.4% 20.8% 22.6% Skew 25d 4.4% 3.2% 5.4% 3.6% 4.0% Skew 10d 8.7% 6.3% 11.0% 7.2% 8.5% Call IV 25d 20.3% 18.2% 22.5% 18.2% 20.2% Put IV 25d 24.7% 21.8% 27.5% 21.8% 24.2% Bid-Ask Spread % 3.75 3.09 4.82 3.95 4.47 Gamma HHI 0.07 0.05 0.12 0.06 0.06 Net GEX 2.4M -38.4M 28.8M 28.3M -29.8M Net DEX -519.2M -1.28B 394.8M -1.22B -207.2M Net VEX -16.7M -17.2M -16.3M -16.6M -17.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.54 0.62 3.25 1.51 1.03 Total Volume 54,878.35 23,419 116,875 71,196 49,772 Total OI 1,357,009.75 1,209,507 1,485,733 1,353,666 1,391,284
Daily Data (20 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 2011-04-01 $79.22 $75.00 18.4% 5.7% 21.0% 0.0% 20.8% 3.6% 1.9% 28.3M -1.22B -16.6M 1.51 3.95 N/A N/A 28,395 42,801 493,276 860,390 2011-04-04 $79.78 $76.00 20.0% 6.2% 20.4% 4.6% 23.5% 5.2% 1.7% 24.4M -1.28B -16.4M 1.53 4.12 N/A N/A 13,258 20,306 489,254 863,272 2011-04-05 $79.51 $76.00 19.3% 6.1% 20.5% 2.6% 23.5% 5.2% 1.9% 28.3M -1.22B -16.5M 0.94 4.36 N/A N/A 31,330 29,385 496,033 875,081 2011-04-06 $78.66 $76.00 20.4% 6.5% 20.9% 5.7% 22.5% 5.1% 1.5% 28.8M -989.6M -16.9M 1.44 4.30 N/A N/A 26,030 37,534 502,956 881,112 2011-04-07 $79.38 $76.00 20.1% 6.6% 17.9% 5.0% 24.6% 5.4% 1.6% 14.9M -1.15B -16.6M 3.25 4.68 N/A N/A 12,332 40,064 497,210 899,964 2011-04-08 $79.61 $76.00 19.3% 6.4% 17.9% 2.7% 21.8% 5.4% 1.9% 20.7M -1.23B -16.7M 1.74 3.43 N/A N/A 17,616 30,684 501,646 920,336 2011-04-11 $78.47 $76.00 24.1% 6.9% 18.8% 16.2% 24.3% 5.3% 1.5% 21.3M -844.7M -16.9M 2.86 3.87 N/A N/A 11,555 33,025 509,401 922,697 2011-04-12 $76.68 $76.00 24.1% 7.1% 20.4% 16.3% 25.5% 5.0% 1.7% 7.3M -179.9M -17.1M 1.68 3.86 N/A N/A 21,696 36,553 511,512 928,540 2011-04-13 $76.27 $76.00 24.0% 7.0% 18.9% 15.9% 24.8% 5.2% 1.7% 7.1M 3.4M -17.0M 1.17 4.82 N/A N/A 32,637 38,317 517,013 935,094 2011-04-14 $76.50 $77.00 24.0% 6.9% 18.9% 16.1% 24.0% 4.3% 1.9% 12.3M -159.2M -16.9M 2.24 3.34 N/A N/A 12,573 28,197 522,597 951,096 2011-04-15 $77.11 $76.00 23.1% 6.6% 18.1% 13.3% 22.8% 3.5% 1.4% 2.6M -412.6M -16.7M 1.45 3.39 N/A N/A 41,348 59,896 523,066 962,667 2011-04-18 $75.62 $76.00 24.0% 6.9% 19.7% 15.9% 26.4% 4.5% 1.2% -38.4M 394.8M -16.9M 2.14 3.47 N/A N/A 17,088 36,624 419,171 790,336 2011-04-19 $76.65 $76.00 22.1% 6.3% 19.6% 10.5% 22.9% 4.2% 1.7% -31.0M 130.7M -16.9M 1.29 3.25 N/A N/A 17,770 22,923 424,642 812,802 2011-04-20 $78.04 $76.00 21.3% 6.1% 20.4% 8.3% 20.9% 3.2% 1.7% 10.8M -350.1M -16.5M 0.62 3.09 N/A N/A 40,936 25,411 438,346 822,746 2011-04-21 $78.60 $76.00 20.7% 5.9% 20.4% 6.7% 21.7% 3.4% 1.9% -7.0M -512.6M -16.6M 1.13 3.17 N/A N/A 11,008 12,411 456,622 828,789 2011-04-25 $78.17 $76.00 21.7% 6.2% 20.6% 9.5% 22.8% 4.0% 1.6% -11.8M -337.9M -16.3M 0.70 3.10 N/A N/A 17,237 12,012 451,958 817,859 2011-04-26 $78.83 $76.00 20.6% 5.9% 20.1% 6.4% 21.9% 3.8% 1.9% -266.9K -563.5M -16.3M 0.82 3.33 N/A N/A 19,285 15,835 464,196 821,520 2011-04-27 $77.89 $76.00 21.3% 6.1% 20.6% 8.3% 21.8% 3.5% 2.1% -10.8M -303.5M -16.5M 1.79 3.84 N/A N/A 13,185 23,663 479,001 828,188 2011-04-28 $76.84 $76.00 21.9% 6.3% 20.1% 10.0% 22.7% 4.1% 2.2% -29.8M 51.0M -16.8M 1.51 3.22 N/A N/A 46,616 70,259 483,590 844,932 2011-04-29 $77.72 $77.00 20.4% 6.3% 20.2% 5.8% 22.6% 4.0% 2.0% -29.8M -207.2M -17.2M 1.03 4.47 N/A N/A 24,463 25,309 500,306 890,978
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