EWZ Options History — February 2012 In February 2012, EWZ traded between $67.31 and $70.07. ATM implied volatility averaged 26.8%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 7.1% (HV 20d: 19.7%). Max pain ranged from $63.00 to $65.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.40.
Notable Days 2012-02-03 : Highest Volume — 102,180 contracts2012-02-06 : Largest IV spike — 23.0% change2012-02-29 : Highest IV Rank — 18.1%2012-02-15 : Largest Expected Move — 8.5%Monthly Statistics Metric Avg Min Max Open Close Price $68.50 $67.31 $70.07 $67.34 $69.18 Max Pain $64.35 $63.00 $65.00 $63.00 $65.00 ATM IV 26.8% 23.3% 30.2% 29.5% 30.2% Expected Move 7.4% 6.4% 8.5% 7.1% 7.1% HV 20d 19.7% 17.9% 21.8% 21.8% 19.6% HV 60d 29.3% 24.9% 32.1% 32.0% 25.0% IV Rank 13.1% 8.0% 18.1% 17.0% 18.1% IV Percentile 39.0% 15.1% 57.9% 54.8% 57.9% Term Structure 1.2% 0.4% 2.4% 2.1% 1.0% VWIV 26.9% 23.1% 31.7% 25.5% 25.1% Skew 25d 5.9% 3.4% 8.1% 4.0% 4.1% Skew 10d 11.8% 6.9% 16.1% 8.9% 7.5% Call IV 25d 23.5% 20.9% 26.5% 22.5% 23.2% Put IV 25d 29.4% 25.2% 34.7% 26.6% 27.3% Bid-Ask Spread % 4.54 3.18 5.39 4.38 4.00 Gamma HHI 0.07 0.06 0.08 0.07 0.07 Net GEX 10.3M -2.7M 23.8M 8.7M 11.3M Net DEX -958.5M -1.22B -628.9M -904.5M -914.1M Net VEX -16.6M -17.4M -14.3M -14.3M -17.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.40 0.59 2.51 1.50 1.19 Total Volume 58,517.25 17,312 102,180 94,802 66,990 Total OI 1,431,613.1 1,202,981 1,581,896 1,202,981 1,512,070
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 2012-02-01 $67.34 $63.00 29.5% 7.1% 21.8% 17.0% 25.5% 4.0% 2.1% 8.7M -904.5M -14.3M 1.50 4.38 N/A N/A 37,956 56,846 487,198 715,783 2012-02-02 $67.79 $64.00 24.5% 6.9% 21.8% 9.7% 24.4% 4.1% 2.4% 9.1M -974.9M -14.9M 2.51 3.18 N/A N/A 27,303 68,525 509,401 774,713 2012-02-03 $68.27 $63.00 24.5% 7.7% 20.5% 9.7% 28.1% 6.2% 1.3% 9.6M -1.04B -15.7M 1.99 4.52 N/A N/A 34,177 68,003 518,557 795,216 2012-02-06 $68.13 $63.00 30.1% 7.9% 19.8% 17.9% 27.4% 7.0% 0.4% 6.4M -938.7M -16.1M 0.88 4.91 N/A N/A 17,536 15,493 531,622 836,817 2012-02-07 $68.89 $64.00 28.8% 7.6% 19.2% 16.0% 26.4% 6.3% 1.0% 15.1M -1.16B -15.9M 0.97 4.19 N/A N/A 27,648 26,928 538,487 844,145 2012-02-08 $68.93 $64.00 25.2% 7.7% 18.7% 10.7% 27.4% 6.3% 0.7% 12.8M -1.12B -16.5M 1.33 3.55 N/A N/A 29,829 39,771 552,038 874,097 2012-02-09 $68.82 $64.00 26.0% 7.5% 18.9% 12.0% 27.2% 6.0% 1.4% 13.8M -1.11B -16.7M 1.50 3.71 N/A N/A 6,930 10,382 567,468 886,033 2012-02-10 $67.39 $64.00 28.3% 8.1% 20.9% 15.3% 31.5% 7.5% 1.0% -320.2K -666.5M -16.9M 1.10 5.05 N/A N/A 20,226 22,272 568,876 898,257 2012-02-13 $68.77 $64.00 26.8% 7.7% 20.7% 13.1% 30.0% 7.2% 0.9% 15.3M -1.10B -16.6M 2.13 4.28 N/A N/A 8,729 18,604 570,639 890,658 2012-02-14 $67.77 $64.00 28.0% 8.0% 20.8% 14.9% 30.0% 7.3% 0.6% 6.3M -812.2M -16.6M 2.31 4.74 N/A N/A 16,075 37,207 573,017 898,294 2012-02-15 $67.31 $65.00 29.8% 8.5% 19.0% 17.5% 31.7% 8.1% 0.7% -2.7M -628.9M -17.2M 1.23 4.73 N/A N/A 40,991 50,594 581,527 920,608 2012-02-16 $68.47 $65.00 27.5% 7.9% 19.7% 14.2% 29.3% 7.9% 1.7% 12.2M -1.06B -17.2M 0.89 4.49 N/A N/A 51,853 45,958 607,410 938,629 2012-02-17 $68.74 $65.00 26.6% 7.6% 19.7% 12.8% 27.1% 6.6% 1.6% 12.9M -1.18B -17.4M 0.76 5.37 N/A N/A 24,992 18,960 624,829 957,067 2012-02-21 $68.64 $65.00 25.1% 7.2% 19.7% 10.7% 24.6% 6.2% 0.8% 2.1M -778.7M -17.0M 0.65 4.97 N/A N/A 28,047 18,352 551,260 830,601 2012-02-22 $68.75 $65.00 24.5% 7.0% 19.7% 9.8% 25.6% 5.3% 1.1% 12.6M -872.9M -17.1M 1.67 5.12 N/A N/A 20,468 34,265 571,760 839,704 2012-02-23 $68.68 $65.00 23.6% 6.8% 18.6% 8.4% 23.1% 4.7% 1.3% 8.2M -830.7M -17.2M 0.59 5.12 N/A N/A 34,726 20,362 574,709 856,332 2012-02-24 $69.30 $65.00 23.3% 6.4% 17.9% 8.0% 23.2% 4.3% 2.4% 23.6M -1.06B -17.3M 1.92 5.11 N/A N/A 18,464 35,463 600,999 866,742 2012-02-27 $68.71 $65.00 27.0% 7.0% 18.3% 13.4% 25.3% 5.3% 0.7% 5.6M -799.5M -17.3M 1.22 5.39 N/A N/A 10,501 12,796 595,234 883,967 2012-02-28 $70.07 $65.00 26.1% 6.8% 18.7% 12.0% 24.2% 3.4% 1.1% 23.8M -1.22B -17.0M 1.62 3.89 N/A N/A 17,623 28,500 598,815 888,683 2012-02-29 $69.18 $65.00 30.2% 7.1% 19.6% 18.1% 25.1% 4.1% 1.0% 11.3M -914.1M -17.3M 1.19 4.00 N/A N/A 30,626 36,364 609,015 903,055
« Jan 2012 | All History | Mar 2012 » Home EWZ History February 2012