EWZ Options History — January 2012

In January 2012, EWZ traded between $58.52 and $66.85. ATM implied volatility averaged 27.6%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.1% (HV 20d: 27.6%). Max pain ranged from $58.00 to $70.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.54.

Notable Days

  • 2012-01-20: Highest Volume — 156,578 contracts
  • 2012-01-30: Largest IV spike — 18.1% change
  • 2012-01-30: Highest IV Rank — 18.5%
  • 2012-01-13: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.05$58.52$66.85$59.70$65.60
Max Pain$61.85$58.00$70.00$70.00$63.00
ATM IV27.6%24.9%30.5%28.1%29.8%
Expected Move7.9%7.1%8.7%8.6%7.3%
HV 20d27.6%23.0%33.2%33.2%23.9%
HV 60d35.7%31.6%38.3%38.3%31.6%
IV Rank14.3%10.4%18.5%15.0%17.4%
IV Percentile47.1%29.0%59.1%53.6%56.0%
Term Structure1.2%0.3%2.2%0.9%1.9%
VWIV29.2%27.0%35.2%30.3%27.6%
Skew 25d5.8%4.1%7.4%5.9%4.1%
Skew 10d11.8%9.0%15.1%12.4%9.0%
Call IV 25d25.2%23.0%27.6%27.6%24.3%
Put IV 25d31.0%27.9%34.4%33.6%28.4%
Bid-Ask Spread %5.023.707.676.523.70
Gamma HHI0.140.070.530.120.07
Net GEX-15.3M-111.1M9.3M-18.4M-4.1M
Net DEX1.11B-800.4M3.07B3.07B-457.8M
Net VEX-12.7M-14.6M-11.6M-12.0M-14.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.743.550.953.55
Total Volume75,005.724,773156,578134,12292,433
Total OI1,821,713972,1222,273,5482,204,2701,187,416

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$59.70$70.0028.1%8.6%33.2%15.0%30.3%5.9%0.9%-18.4M3.07B-12.0M0.956.52N/AN/A68,63965,483981,1701,223,100
2012-01-04$59.92$70.0028.2%8.2%32.0%15.2%29.2%6.1%1.6%-17.3M2.99B-11.9M0.987.41N/AN/A20,83120,3411,028,9051,224,080
2012-01-05$59.11$70.0029.5%8.3%32.3%17.0%28.8%6.0%1.8%-19.7M2.78B-11.7M0.827.67N/AN/A24,45120,059960,6311,164,262
2012-01-06$58.52$58.0027.7%8.6%32.4%14.5%35.2%7.4%0.5%-20.7M2.93B-11.6M0.744.44N/AN/A32,17823,945974,9891,169,400
2012-01-09$59.75$58.0030.2%8.4%30.5%18.0%30.8%6.3%0.3%-16.8M2.48B-12.2M1.674.27N/AN/A19,49432,595999,6041,178,454
2012-01-10$60.98$58.0027.8%8.2%30.1%14.5%30.0%5.1%0.6%-12.9M2.07B-12.2M1.234.32N/AN/A31,81639,092995,5361,185,971
2012-01-11$61.33$58.0025.4%8.1%27.8%11.1%29.8%5.3%0.7%-12.0M1.98B-12.2M2.034.52N/AN/A8,16716,6061,004,2861,201,819
2012-01-12$62.13$58.0028.6%8.2%27.3%15.7%30.6%5.4%0.7%-8.0M1.76B-12.2M0.885.25N/AN/A28,96625,5631,004,4051,199,324
2012-01-13$61.35$59.0030.2%8.7%26.7%18.1%31.8%7.4%0.8%-12.8M2.01B-12.4M2.104.55N/AN/A20,27842,5861,007,7631,209,858
2012-01-17$62.81$59.0028.6%8.2%27.5%15.7%28.6%6.4%1.5%-4.8M1.52B-12.0M0.825.00N/AN/A54,48744,6881,011,9221,212,652
2012-01-18$64.61$60.0026.7%7.7%28.7%13.0%29.4%6.6%1.1%-15.8M888.7M-12.2M0.985.55N/AN/A56,31854,9881,024,3901,228,853
2012-01-19$64.80$60.0027.2%7.8%26.7%13.7%28.7%6.9%0.8%-42.6M915.9M-12.3M1.044.33N/AN/A50,56552,5021,020,8631,245,453
2012-01-20$65.05$62.0025.8%7.4%25.0%11.6%27.8%6.5%2.2%-111.1M900.3M-12.6M1.324.58N/AN/A67,45689,1221,009,7641,263,784
2012-01-23$65.51$62.0025.6%7.3%24.8%11.3%27.1%5.3%1.3%4.2M-583.6M-12.8M1.105.23N/AN/A29,12732,149410,233561,889
2012-01-24$65.56$62.0025.2%7.2%24.8%10.8%27.8%5.4%1.7%6.1M-611.2M-13.1M2.444.95N/AN/A27,11666,047429,364581,214
2012-01-25$66.85$62.0024.9%7.1%25.3%10.4%27.0%4.8%1.1%9.3M-800.4M-13.9M2.164.77N/AN/A19,15241,394450,409638,309
2012-01-26$65.91$62.0026.8%7.7%26.1%13.1%27.7%5.7%1.4%969.1K-589.7M-14.1M2.574.63N/AN/A19,68950,559455,698658,769
2012-01-27$66.07$63.0025.8%7.4%23.0%11.7%27.1%4.6%2.0%-4.4M-603.9M-14.3M1.754.84N/AN/A25,82245,294462,801685,771
2012-01-30$65.41$63.0030.5%7.7%23.8%18.5%29.5%4.7%1.7%-4.0M-436.8M-14.6M1.643.91N/AN/A15,17324,943478,139703,010
2012-01-31$65.60$63.0029.8%7.3%23.9%17.4%27.6%4.1%1.9%-4.1M-457.8M-14.5M3.553.70N/AN/A20,32372,110477,761709,655