EWZ Options History — August 2012 In August 2012, EWZ traded between $51.98 and $55.50. ATM implied volatility averaged 25.7%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.4% (HV 20d: 24.3%). Max pain ranged from $52.00 to $59.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.02.
Notable Days 2012-08-29 : Highest Volume — 128,250 contracts2012-08-02 : Largest IV drop — 29.1% change2012-08-01 : Highest IV Rank — 31.9%2012-08-01 : Largest Expected Move — 8.5%Monthly Statistics Metric Avg Min Max Open Close Price $54.16 $51.98 $55.50 $52.65 $52.72 Max Pain $56.78 $52.00 $59.00 $52.00 $57.00 ATM IV 25.7% 20.5% 41.9% 41.9% 25.4% Expected Move 7.3% 6.8% 8.5% 8.5% 7.5% HV 20d 24.3% 15.8% 28.0% 26.6% 15.8% HV 60d 29.3% 27.6% 31.3% 30.8% 27.6% IV Rank 8.8% 0.0% 31.9% 31.9% 9.4% IV Percentile 21.9% 0.0% 84.1% 84.1% 24.2% Term Structure 1.8% -1.7% 3.6% -1.7% 1.9% VWIV 25.9% 23.7% 29.6% 29.6% 26.3% Skew 25d 3.8% 3.0% 4.8% 4.1% 4.1% Skew 10d 7.7% 5.6% 9.5% 8.6% 8.1% Call IV 25d 24.1% 22.1% 28.0% 28.0% 24.9% Put IV 25d 28.0% 25.8% 32.2% 32.2% 29.0% Bid-Ask Spread % 5.94 4.59 7.59 5.27 7.59 Gamma HHI 0.08 0.06 0.09 0.07 0.07 Net GEX 5.0M -24.9M 33.7M -15.5M -15.6M Net DEX 1.28B 626.9M 2.03B 1.67B 1.92B Net VEX -17.2M -17.9M -16.4M -17.0M -16.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.32 4.20 1.75 0.51 Total Volume 63,964.783 42,475 128,250 77,242 54,292 Total OI 2,208,173.304 2,059,888 2,324,073 2,059,888 2,318,502
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 2012-08-01 $52.65 $52.00 41.9% 8.5% 26.6% 31.9% 29.6% 4.1% -1.7% -15.5M 1.67B -17.0M 1.75 5.27 N/A N/A 28,063 49,179 888,883 1,171,005 2012-08-02 $51.98 $52.00 29.7% 8.2% 26.9% 13.4% 29.0% 4.3% -0.3% -24.9M 1.93B -16.4M 0.99 5.65 N/A N/A 25,093 24,925 904,804 1,209,203 2012-08-03 $53.48 $52.00 26.3% 7.3% 27.9% 8.2% 26.8% 3.0% 1.1% 4.5M 1.37B -17.1M 1.55 5.63 N/A N/A 18,033 27,925 913,764 1,214,068 2012-08-06 $54.21 $59.00 28.5% 7.7% 28.0% 11.6% 26.9% 3.7% 1.5% 1.8M 1.15B -17.2M 0.48 4.69 N/A N/A 65,740 31,557 898,294 1,213,458 2012-08-07 $54.25 $58.00 29.1% 7.7% 27.1% 12.6% 27.7% 3.7% 1.6% 11.1M 1.12B -17.3M 2.52 5.64 N/A N/A 12,071 30,404 938,979 1,226,008 2012-08-08 $55.01 $58.00 23.5% 7.3% 27.3% 5.1% 26.2% 3.6% 1.9% 21.5M 828.1M -17.5M 0.62 5.49 N/A N/A 44,546 27,619 940,981 1,233,209 2012-08-09 $55.00 $58.00 22.7% 7.3% 27.0% 3.5% 25.8% 3.9% 2.1% 26.4M 815.5M -17.8M 1.13 4.59 N/A N/A 34,179 38,677 965,039 1,240,990 2012-08-10 $55.49 $58.00 20.7% 7.1% 26.6% 0.0% 24.8% 3.8% 2.8% 28.9M 626.9M -17.9M 0.41 5.71 N/A N/A 43,953 18,031 978,316 1,267,946 2012-08-13 $55.09 $58.00 23.0% 7.0% 26.7% 4.4% 25.3% 3.5% 3.1% 18.5M 835.8M -17.5M 1.35 5.22 N/A N/A 19,668 26,482 983,554 1,255,735 2012-08-14 $54.31 $58.00 23.3% 7.2% 27.3% 4.9% 26.4% 3.8% 3.1% 7.9M 1.15B -17.2M 0.79 5.59 N/A N/A 40,516 31,983 984,923 1,265,229 2012-08-15 $54.55 $58.00 20.5% 6.9% 27.3% 0.0% 26.1% 3.5% 3.3% 11.3M 1.08B -17.2M 4.20 5.92 N/A N/A 9,494 39,883 999,203 1,271,960 2012-08-16 $55.50 $58.00 24.3% 7.0% 27.4% 7.4% 23.7% 3.4% 3.2% 31.5M 663.5M -17.4M 0.48 6.01 N/A N/A 67,003 32,269 991,585 1,273,518 2012-08-17 $55.37 $57.00 23.7% 6.8% 26.3% 6.3% 24.0% 3.7% 3.6% 33.7M 695.6M -17.5M 1.23 5.16 N/A N/A 27,890 34,277 1,021,379 1,285,202 2012-08-20 $55.38 $57.00 24.2% 6.9% 23.9% 7.1% 24.1% 3.4% 1.4% 6.9M 1.06B -17.7M 0.51 5.74 N/A N/A 31,656 16,034 937,687 1,183,944 2012-08-21 $54.84 $57.00 24.0% 6.9% 24.2% 6.8% 24.0% 3.4% 1.5% 5.0M 1.22B -17.2M 0.49 6.61 N/A N/A 51,911 25,659 954,669 1,183,210 2012-08-22 $55.04 $57.00 24.1% 6.9% 24.1% 7.0% 23.9% 3.8% 1.6% 10.2M 1.16B -17.5M 0.62 6.12 N/A N/A 34,261 21,255 985,130 1,192,796 2012-08-23 $54.16 $57.00 24.8% 7.1% 22.8% 8.4% 25.1% 4.0% 2.0% -2.8M 1.46B -17.2M 0.60 6.14 N/A N/A 45,874 27,740 993,595 1,204,406 2012-08-24 $54.25 $57.00 24.9% 7.1% 19.2% 8.5% 23.7% 4.1% 1.7% -121.0K 1.44B -17.2M 0.32 6.19 N/A N/A 38,883 12,576 1,009,111 1,210,709 2012-08-27 $53.71 $57.00 25.1% 7.2% 19.5% 9.0% 24.7% 4.2% 1.8% -6.1M 1.60B -17.0M 0.56 6.66 N/A N/A 28,492 15,890 1,017,859 1,210,082 2012-08-28 $53.58 $57.00 25.4% 7.3% 18.1% 9.4% 25.6% 4.1% 1.9% -5.7M 1.62B -17.0M 0.65 7.17 N/A N/A 26,647 17,436 1,032,146 1,219,976 2012-08-29 $52.71 $57.00 27.0% 7.7% 19.1% 12.6% 27.4% 4.2% 1.5% -15.6M 1.91B -16.6M 0.68 6.74 N/A N/A 76,126 52,124 1,045,855 1,227,001 2012-08-30 $52.33 $57.00 28.0% 8.0% 18.7% 14.4% 28.5% 4.8% 0.8% -17.8M 2.03B -16.6M 0.91 7.13 N/A N/A 23,528 21,346 1,070,148 1,253,925 2012-08-31 $52.72 $57.00 25.4% 7.5% 15.8% 9.4% 26.3% 4.1% 1.9% -15.6M 1.92B -16.7M 0.51 7.59 N/A N/A 35,981 18,311 1,065,574 1,252,928
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