EWZ Options History — August 2011 In August 2011, EWZ traded between $57.00 and $70.10. ATM implied volatility averaged 44.1%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 4.1% (HV 20d: 48.1%). Max pain ranged from $68.00 to $71.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 1.45.
Notable Days 2011-08-04 : Highest Volume — 194,149 contracts2011-08-08 : Largest IV spike — 71.4% change2011-08-02 : Highest IV Rank — 100.0%2011-08-08 : Largest Expected Move — 15.3%Monthly Statistics Metric Avg Min Max Open Close Price $62.42 $57.00 $70.10 $70.10 $65.50 Max Pain $69.52 $68.00 $71.00 $71.00 $68.00 ATM IV 44.1% 31.2% 86.7% 33.5% 38.4% Expected Move 11.1% 7.8% 15.3% 7.8% 9.1% HV 20d 48.1% 20.4% 57.9% 20.4% 57.9% HV 60d 32.6% 20.6% 36.9% 20.6% 36.9% IV Rank 51.6% 19.5% 100.0% 95.6% 29.9% IV Percentile 97.1% 90.5% 100.0% 99.6% 93.7% Term Structure -2.7% -9.3% 1.4% -0.6% -0.2% VWIV 40.0% 30.1% 58.3% 30.4% 34.1% Skew 25d 12.7% 6.1% 19.8% 6.5% 8.1% Skew 10d 26.1% 13.3% 39.1% 13.4% 16.9% Call IV 25d 33.0% 24.5% 45.1% 24.5% 28.0% Put IV 25d 45.7% 30.9% 64.1% 30.9% 36.0% Bid-Ask Spread % 5.83 3.71 10.66 7.46 8.53 Gamma HHI 0.10 0.06 0.20 0.06 0.10 Net GEX -51.2M -78.7M -32.8M -32.8M -34.1M Net DEX 2.75B 1.25B 3.55B 1.25B 1.70B Net VEX -16.3M -19.6M -12.6M -18.6M -19.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.45 0.68 3.38 1.31 1.21 Total Volume 110,761.522 64,763 194,149 71,810 64,763 Total OI 1,862,508.261 1,621,296 2,094,630 1,621,296 2,012,385
Daily Data (23 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 2011-08-01 $70.10 $71.00 33.5% 7.8% 20.4% 95.6% 30.4% 6.5% -0.6% -32.8M 1.25B -18.6M 1.31 7.46 N/A N/A 31,116 40,694 664,576 956,720 2011-08-02 $68.12 $71.00 40.2% 8.5% 22.4% 100.0% 30.1% 6.3% -1.9% -64.8M 1.91B -17.6M 1.33 7.35 N/A N/A 42,260 56,274 677,748 974,514 2011-08-03 $66.96 $71.00 39.0% 8.3% 22.8% 95.0% 30.2% 6.1% -0.9% -78.7M 2.30B -17.1M 1.37 6.77 N/A N/A 59,829 81,929 692,428 981,721 2011-08-04 $62.47 $70.00 50.7% 12.5% 32.2% 100.0% 41.1% 9.6% -6.4% -62.4M 3.12B -14.7M 1.37 5.40 N/A N/A 82,055 112,094 716,399 959,978 2011-08-05 $62.83 $71.00 50.6% 10.6% 32.3% 99.5% 37.6% 13.5% -2.6% -62.3M 3.11B -15.2M 1.24 7.09 N/A N/A 62,491 77,679 756,464 975,937 2011-08-08 $57.00 $71.00 86.7% 15.3% 45.1% 100.0% 58.3% 18.9% -9.3% -39.9M 3.55B -12.6M 1.31 6.44 N/A N/A 73,931 96,634 771,236 982,061 2011-08-09 $59.57 $70.00 61.3% 12.7% 49.0% 63.2% 48.4% 15.6% -4.2% -45.6M 3.37B -14.1M 1.15 10.66 N/A N/A 60,415 69,472 800,001 1,019,259 2011-08-10 $57.84 $70.00 65.3% 14.9% 48.7% 69.0% 50.7% 19.8% -9.0% -38.1M 3.41B -13.6M 1.15 7.53 N/A N/A 64,361 74,194 820,930 1,036,634 2011-08-11 $60.63 $70.00 42.0% 12.0% 52.7% 35.2% 48.1% 18.8% -3.5% -43.7M 3.16B -14.8M 0.86 6.49 N/A N/A 69,611 60,084 841,944 1,030,571 2011-08-12 $61.35 $70.00 40.7% 11.7% 53.0% 33.3% 42.9% 16.6% -3.8% -46.4M 3.06B -15.4M 3.38 6.34 N/A N/A 31,663 106,960 863,754 1,066,075 2011-08-15 $63.12 $70.00 34.6% 9.9% 54.4% 24.5% 34.3% 13.3% -0.3% -57.0M 2.80B -16.6M 1.99 4.28 N/A N/A 27,365 54,370 857,748 1,144,196 2011-08-16 $62.66 $70.00 33.7% 9.7% 54.1% 23.1% 32.8% 12.8% 1.0% -61.7M 2.96B -16.0M 0.73 4.93 N/A N/A 54,012 39,656 855,434 1,161,077 2011-08-17 $63.91 $69.00 31.2% 8.9% 54.8% 19.5% 33.1% 10.3% 1.4% -57.9M 2.60B -16.8M 0.85 3.83 N/A N/A 37,925 32,146 878,184 1,154,905 2011-08-18 $61.20 $69.00 40.7% 11.7% 55.7% 33.3% 42.2% 14.0% -3.5% -50.7M 3.19B -15.8M 2.11 5.80 N/A N/A 43,471 91,899 891,417 1,159,690 2011-08-19 $60.31 $69.00 43.4% 12.5% 55.6% 37.3% 43.1% 13.4% -4.1% -63.1M 3.34B -15.9M 1.65 5.01 N/A N/A 31,350 51,833 902,382 1,192,248 2011-08-22 $60.15 $69.00 45.8% 13.1% 55.5% 40.6% 45.3% 14.7% -3.8% -46.1M 2.80B -16.0M 0.71 4.19 N/A N/A 50,089 35,430 674,458 1,041,973 2011-08-23 $61.48 $69.00 38.6% 11.1% 56.4% 30.2% 40.8% 12.7% -1.3% -48.4M 2.67B -16.3M 1.61 4.05 N/A N/A 30,658 49,433 700,359 1,063,977 2011-08-24 $61.21 $69.00 38.8% 11.1% 56.1% 30.5% 41.7% 13.8% -1.3% -48.8M 2.72B -16.4M 2.01 3.99 N/A N/A 37,715 75,948 717,202 1,079,430 2011-08-25 $60.51 $68.00 43.3% 12.4% 56.2% 37.0% 46.7% 16.6% -3.8% -50.9M 2.89B -17.1M 1.73 4.00 N/A N/A 37,913 65,679 740,737 1,135,952 2011-08-26 $61.32 $68.00 40.6% 10.7% 56.2% 33.2% 39.6% 12.2% -1.0% -54.3M 2.79B -17.5M 2.74 6.08 N/A N/A 37,669 103,396 760,437 1,167,000 2011-08-29 $63.25 $68.00 36.4% 10.0% 57.8% 27.0% 34.2% 8.9% -1.7% -50.2M 2.36B -18.4M 0.68 4.25 N/A N/A 42,851 29,312 765,951 1,199,675 2011-08-30 $64.14 $68.00 37.8% 9.6% 57.5% 29.1% 34.1% 9.5% -0.6% -41.0M 2.10B -18.9M 0.93 3.71 N/A N/A 35,748 33,138 787,210 1,204,713 2011-08-31 $65.50 $68.00 38.4% 9.1% 57.9% 29.9% 34.1% 8.1% -0.2% -34.1M 1.70B -19.6M 1.21 8.53 N/A N/A 29,318 35,445 796,561 1,215,824
« Jul 2011 | All History | Sep 2011 » Home EWZ History August 2011