EWZ Options History — January 2013

In January 2013, EWZ traded between $56.10 and $57.32. ATM implied volatility averaged 17.0%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.4% (HV 20d: 12.6%). Max pain ranged from $56.50 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.76.

Notable Days

  • 2013-01-24: Highest Volume — 112,641 contracts
  • 2013-01-28: Largest IV spike — 25.6% change
  • 2013-01-30: Highest IV Rank — 32.1%
  • 2013-01-04: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.75$56.10$57.32$56.96$56.77
Max Pain$57.19$56.50$60.00$60.00$57.00
ATM IV17.0%14.7%20.4%18.9%17.3%
Expected Move4.8%4.3%5.2%4.8%4.7%
HV 20d12.6%10.7%14.0%12.2%10.7%
HV 60d14.5%13.3%15.2%15.0%13.3%
IV Rank22.7%16.2%32.1%27.9%23.4%
IV Percentile2.8%0.4%15.1%2.4%5.2%
Term Structure1.6%1.0%2.2%1.9%1.0%
VWIV17.1%15.2%19.5%17.8%17.2%
Skew 25d2.2%1.8%2.7%2.0%2.0%
Skew 10d5.0%3.6%6.2%6.2%5.0%
Call IV 25d16.0%14.3%17.3%16.3%16.1%
Put IV 25d18.2%16.4%19.8%18.3%18.1%
Bid-Ask Spread %4.483.087.597.594.00
Gamma HHI0.120.100.160.110.11
Net GEX59.0M45.2M74.7M47.7M45.2M
Net DEX-174.4M-957.6M420.8M201.4M-360.2M
Net VEX-13.4M-13.9M-13.0M-13.2M-13.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.165.260.384.24
Total Volume53,350.38129,652112,64159,66339,140
Total OI1,851,585.4291,104,7152,338,8272,195,3991,230,967

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$56.96$60.0018.9%4.8%12.2%27.9%17.8%2.0%1.9%47.7M201.4M-13.2M0.387.59N/AN/A43,16516,4981,064,9481,130,451
2013-01-03$57.32$60.0016.8%4.8%12.0%22.0%17.2%1.9%1.7%45.4M368.4K-13.4M0.873.08N/AN/A52,94545,9781,075,4971,127,353
2013-01-04$57.18$57.0016.4%5.2%11.5%20.8%18.3%2.5%1.1%54.9M-76.8M-13.3M0.843.73N/AN/A26,90322,6281,096,7741,144,338
2013-01-07$56.86$57.0018.4%5.2%11.9%26.5%18.9%2.5%1.3%54.1M-28.2M-13.2M3.103.97N/AN/A9,51729,5141,089,7651,120,414
2013-01-08$56.10$57.0019.7%5.2%13.3%30.3%19.5%2.7%1.5%50.5M420.8M-13.4M1.084.60N/AN/A19,79821,4021,097,2401,142,440
2013-01-09$56.44$57.0015.7%5.1%13.2%18.9%17.3%2.5%1.5%55.8M207.7M-13.4M1.003.74N/AN/A23,81323,7611,102,5771,155,499
2013-01-10$56.98$57.0017.4%5.0%13.2%23.8%17.5%2.3%1.6%64.3M-119.0M-13.0M1.473.82N/AN/A15,32422,5821,113,8631,166,362
2013-01-11$56.41$57.0017.6%5.0%14.0%24.2%18.6%2.4%1.6%60.5M197.3M-13.7M1.864.77N/AN/A12,76823,7051,114,8751,169,883
2013-01-14$56.68$57.0017.2%4.9%13.6%23.2%17.1%2.5%1.9%69.1M25.1M-13.4M1.733.76N/AN/A10,85018,8021,116,3131,181,863
2013-01-15$56.50$57.0016.9%4.8%13.5%22.1%17.1%2.5%1.9%68.2M97.2M-13.4M1.175.28N/AN/A14,55117,0861,117,6181,186,187
2013-01-16$56.33$57.0016.9%4.8%13.5%22.2%17.3%2.1%1.9%56.2M223.3M-13.4M2.184.57N/AN/A12,04226,2711,116,5201,190,723
2013-01-17$56.85$57.0016.3%4.7%13.7%20.6%16.4%2.2%2.2%72.0M-64.5M-13.0M0.334.14N/AN/A60,67519,8681,113,1211,178,742
2013-01-18$56.84$57.0015.3%4.4%13.1%17.6%15.5%2.0%2.0%74.6M-98.1M-13.2M0.494.29N/AN/A69,39334,1961,144,1511,194,676
2013-01-22$56.82$56.5015.1%4.3%12.9%17.1%15.2%2.1%1.5%56.6M-593.6M-13.0M1.435.01N/AN/A18,41526,244552,722551,993
2013-01-23$56.84$56.5014.9%4.3%12.2%16.5%15.5%2.1%1.5%63.5M-619.7M-13.2M1.263.84N/AN/A21,69327,228571,257566,570
2013-01-24$56.70$56.5015.4%4.4%12.1%18.0%15.6%2.0%1.5%58.2M-573.0M-13.4M0.165.07N/AN/A97,21415,427577,657583,893
2013-01-25$56.77$56.5014.7%4.4%12.0%16.2%16.0%2.0%1.6%50.1M-448.3M-13.3M1.445.57N/AN/A12,41917,836554,748593,133
2013-01-28$56.61$57.0018.5%4.8%12.0%26.8%17.7%2.0%1.2%69.9M-740.2M-13.7M5.263.65N/AN/A7,70140,526635,276587,631
2013-01-29$57.20$57.0018.3%4.8%12.4%26.1%16.7%1.8%1.2%74.7M-957.6M-13.8M2.013.12N/AN/A19,05738,366638,893600,329
2013-01-30$56.57$57.0020.4%4.9%12.5%32.1%17.2%1.8%1.0%48.5M-356.0M-13.5M4.666.54N/AN/A7,96537,092572,108613,924
2013-01-31$56.77$57.0017.3%4.7%10.7%23.4%17.2%2.0%1.0%45.2M-360.2M-13.9M4.244.00N/AN/A7,47031,670573,964657,003