EWZ Options History — April 2012

In April 2012, EWZ traded between $60.26 and $65.38. ATM implied volatility averaged 24.9%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.1% (HV 20d: 19.8%). Max pain ranged from $62.00 to $67.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.48.

Notable Days

  • 2012-04-20: Highest Volume — 124,236 contracts
  • 2012-04-09: Largest IV spike — 20.8% change
  • 2012-04-10: Highest IV Rank — 19.0%
  • 2012-04-10: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.24$60.26$65.38$65.38$60.26
Max Pain$64.25$62.00$67.00$67.00$62.00
ATM IV24.9%20.9%30.8%23.6%24.7%
Expected Move6.9%6.1%7.9%6.5%6.6%
HV 20d19.8%16.0%23.0%23.0%18.8%
HV 60d21.3%20.3%21.8%21.8%20.3%
IV Rank10.3%4.5%19.0%8.5%10.0%
IV Percentile25.9%2.0%58.7%18.7%23.4%
Term Structure1.3%0.4%2.4%1.1%1.5%
VWIV24.7%22.1%28.1%22.7%23.1%
Skew 25d5.3%3.5%6.7%3.9%4.2%
Skew 10d11.3%7.2%14.0%7.2%10.0%
Call IV 25d22.0%19.7%25.0%20.5%21.1%
Put IV 25d27.3%24.3%31.5%24.4%25.3%
Bid-Ask Spread %4.702.337.275.742.33
Gamma HHI0.100.080.120.090.10
Net GEX-55.1M-75.9M-39.2M-39.2M-66.0M
Net DEX1.31B607.0M1.70B607.0M1.70B
Net VEX-17.5M-18.3M-16.9M-18.3M-17.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.612.890.941.37
Total Volume59,140.7522,558124,23622,55873,590
Total OI1,506,0591,362,0471,640,6601,362,0471,640,660

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$65.38$67.0023.6%6.5%23.0%8.5%22.7%3.9%1.1%-39.2M607.0M-18.3M0.945.74N/AN/A11,63610,922536,564825,483
2012-04-03$64.75$67.0025.8%6.4%19.8%11.7%22.4%4.4%1.2%-46.9M791.9M-18.0M1.267.27N/AN/A27,55334,723535,402830,868
2012-04-04$63.58$67.0027.5%6.5%20.4%14.1%23.0%3.8%1.7%-57.5M1.08B-17.9M1.084.34N/AN/A33,17235,760547,608838,805
2012-04-05$63.57$66.0022.1%6.4%19.5%6.2%23.0%3.5%2.4%-52.0M1.06B-18.0M0.616.91N/AN/A38,13823,449572,357841,290
2012-04-09$63.08$66.0026.7%7.4%19.3%12.9%25.4%5.7%0.5%-54.0M1.17B-17.6M0.987.22N/AN/A20,14519,761591,378845,136
2012-04-10$61.85$64.0030.8%7.9%19.8%19.0%28.1%6.5%0.5%-55.1M1.41B-17.4M1.423.76N/AN/A26,01336,921599,913841,159
2012-04-11$61.88$64.0025.5%7.8%16.0%11.2%27.9%6.7%0.5%-53.5M1.42B-17.5M2.243.49N/AN/A12,54828,158616,382857,765
2012-04-12$63.62$64.0024.9%7.1%19.7%10.3%26.3%5.9%0.9%-43.0M978.5M-18.2M0.974.66N/AN/A24,24923,439625,140877,010
2012-04-13$62.50$64.0027.1%7.8%20.4%13.5%28.0%6.2%0.4%-39.3M1.29B-18.0M1.175.01N/AN/A12,06914,132637,610890,988
2012-04-16$62.10$64.0026.9%7.7%20.4%13.2%26.8%6.2%0.9%-59.0M1.39B-17.5M2.084.12N/AN/A10,77222,455632,174889,325
2012-04-17$62.26$64.0025.9%7.4%20.5%11.8%25.6%6.1%1.0%-63.2M1.39B-17.4M1.073.54N/AN/A17,90019,200636,388896,899
2012-04-18$61.92$64.0025.1%7.2%20.2%10.6%25.8%5.8%1.0%-69.1M1.47B-17.0M2.034.64N/AN/A22,89246,439646,679903,536
2012-04-19$61.57$64.0024.3%7.0%20.2%9.5%25.2%6.1%1.2%-75.9M1.57B-16.9M1.624.36N/AN/A33,28654,018660,494916,694
2012-04-20$62.13$64.0023.3%6.7%20.0%8.0%24.0%5.7%1.8%-54.3M1.39B-17.4M1.164.02N/AN/A57,46866,768680,089924,983
2012-04-23$60.83$63.0024.2%6.9%20.8%9.3%25.7%5.9%1.8%-51.2M1.47B-16.9M1.544.83N/AN/A21,51633,063608,528878,622
2012-04-24$61.16$63.0023.2%6.6%19.6%7.8%23.2%5.2%2.0%-49.2M1.38B-17.2M1.254.88N/AN/A27,23734,123622,420892,080
2012-04-25$60.68$63.0022.8%6.5%19.6%7.2%23.9%4.7%1.7%-57.6M1.56B-17.1M1.444.56N/AN/A30,73444,389638,821914,594
2012-04-26$60.97$63.0022.1%6.3%18.7%6.2%22.1%4.6%1.7%-56.1M1.50B-17.5M2.534.17N/AN/A17,29743,682658,335941,573
2012-04-27$60.80$62.0020.9%6.1%18.7%4.5%22.3%4.6%2.0%-59.0M1.54B-17.4M2.894.06N/AN/A18,82554,373669,851957,577
2012-04-30$60.26$62.0024.7%6.6%18.8%10.0%23.1%4.2%1.5%-66.0M1.70B-17.0M1.372.33N/AN/A30,98742,603660,176980,484