EWZ Options History — July 2011

In July 2011, EWZ traded between $68.79 and $74.16. ATM implied volatility averaged 23.8%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.0% (HV 20d: 20.8%). Max pain ranged from $71.00 to $80.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.44.

Notable Days

  • 2011-07-27: Highest Volume — 152,822 contracts
  • 2011-07-05: Largest IV spike — 26.5% change
  • 2011-07-29: Highest IV Rank — 74.0%
  • 2011-07-27: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.02$68.79$74.16$74.16$70.57
Max Pain$71.90$71.00$80.00$80.00$71.00
ATM IV23.8%17.8%29.9%17.8%29.9%
Expected Move6.8%5.5%7.8%5.5%7.6%
HV 20d20.8%18.0%22.4%20.0%20.9%
HV 60d21.1%20.6%21.6%21.0%20.6%
IV Rank34.2%0.0%74.0%0.0%74.0%
IV Percentile29.1%0.4%89.3%0.4%89.3%
Term Structure1.4%-0.2%2.3%2.3%-0.1%
VWIV24.5%19.0%30.7%19.0%30.7%
Skew 25d4.8%3.3%6.7%4.2%6.7%
Skew 10d9.7%6.0%14.8%8.6%14.8%
Call IV 25d21.6%17.0%25.1%17.0%24.2%
Put IV 25d26.4%21.2%31.0%21.2%31.0%
Bid-Ask Spread %4.703.856.443.855.17
Gamma HHI0.070.060.080.070.06
Net GEX-38.0M-72.5M2.7M2.7M-27.5M
Net DEX1.71B681.5M3.08B1.34B1.05B
Net VEX-17.6M-19.0M-16.6M-17.9M-19.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.723.351.081.60
Total Volume72,65529,657152,82249,79673,318
Total OI1,647,154.851,374,1661,908,8991,695,3381,619,230

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$74.16$80.0017.8%5.5%20.0%0.0%19.0%4.2%2.3%2.7M1.34B-17.9M1.083.85N/AN/A23,92225,874689,7091,005,629
2011-07-05$73.89$72.0022.5%5.9%18.0%21.7%21.8%4.9%2.1%-7.8M1.50B-17.3M1.494.96N/AN/A34,87251,951686,9751,004,364
2011-07-06$73.24$72.0021.1%6.1%18.2%17.3%21.9%5.1%1.9%-19.4M1.73B-17.7M3.355.19N/AN/A6,82022,837716,4191,040,993
2011-07-07$73.50$72.0020.8%6.3%18.2%15.4%22.4%5.3%1.7%-20.5M1.63B-17.6M0.814.24N/AN/A49,83040,537711,5141,034,334
2011-07-08$72.15$72.0021.0%6.6%19.3%16.8%24.6%5.0%1.8%-27.8M2.11B-17.8M2.604.17N/AN/A30,40779,125765,3151,052,012
2011-07-11$70.05$72.0025.8%7.4%21.1%41.5%25.6%5.2%1.5%-59.2M2.80B-17.0M1.554.15N/AN/A38,40959,473750,7361,063,732
2011-07-12$69.45$72.0027.7%7.5%21.3%51.2%27.0%5.3%1.6%-67.8M3.01B-17.1M1.524.26N/AN/A23,78736,061767,4271,085,358
2011-07-13$70.63$72.0023.2%7.0%21.8%27.9%24.5%4.8%1.4%-63.2M2.65B-17.3M1.154.02N/AN/A27,25931,216769,5081,099,376
2011-07-14$69.54$72.0025.0%7.2%21.7%37.6%25.1%5.3%1.5%-71.9M3.08B-17.0M1.104.77N/AN/A38,97042,737780,0871,111,064
2011-07-15$69.60$72.0023.7%6.8%21.3%30.9%24.2%5.0%2.0%-72.5M3.03B-17.0M1.214.37N/AN/A48,20358,526790,6921,118,207
2011-07-18$68.79$71.0024.9%7.1%21.6%43.2%25.8%5.9%1.5%-53.7M1.59B-16.6M1.644.09N/AN/A19,57832,185539,965834,201
2011-07-19$69.57$71.0023.8%6.8%21.9%36.8%25.3%4.6%1.2%-49.1M1.40B-17.1M1.934.18N/AN/A25,73249,589548,455852,441
2011-07-20$69.68$71.0022.6%6.5%21.8%29.1%23.6%3.3%1.9%-49.4M1.36B-17.3M1.854.17N/AN/A18,44834,145560,229867,486
2011-07-21$71.02$71.0022.8%6.5%22.4%30.4%22.5%3.7%1.5%-29.2M968.5M-17.9M0.724.23N/AN/A31,54922,842574,542886,493
2011-07-22$71.34$71.0022.5%6.5%21.9%28.9%22.6%3.5%1.6%-24.8M849.8M-18.1M1.014.20N/AN/A22,38222,661590,710896,669
2011-07-25$71.57$71.0023.0%6.6%21.8%32.0%23.0%3.5%1.3%-16.9M765.8M-18.1M1.015.37N/AN/A28,47828,646598,899889,949
2011-07-26$71.75$71.0023.4%6.7%21.4%34.5%24.1%3.9%1.3%-12.5M681.5M-18.1M1.155.94N/AN/A20,53923,518605,243905,205
2011-07-27$70.18$71.0027.2%7.8%20.8%57.2%27.1%4.5%-0.2%-40.2M1.21B-18.0M0.926.23N/AN/A79,48673,336612,696914,690
2011-07-28$69.74$71.0027.2%7.8%20.6%57.1%29.5%5.5%0.2%-48.8M1.35B-18.8M1.156.44N/AN/A35,20140,651652,066950,477
2011-07-29$70.57$71.0029.9%7.6%20.9%74.0%30.7%6.7%-0.1%-27.5M1.05B-19.0M1.605.17N/AN/A28,16245,156660,656958,574