EWZ Options History — February 2013

In February 2013, EWZ traded between $54.20 and $57.08. ATM implied volatility averaged 17.7%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 6.4% (HV 20d: 11.2%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.62.

Notable Days

  • 2013-02-13: Highest Volume — 78,843 contracts
  • 2013-02-25: Largest IV spike — 53.2% change
  • 2013-02-25: Highest IV Rank — 49.9%
  • 2013-02-25: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.66$54.20$57.08$57.08$55.13
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV17.7%14.3%26.7%15.5%17.7%
Expected Move4.8%4.1%5.8%4.9%4.8%
HV 20d11.2%8.9%14.4%10.7%13.7%
HV 60d12.6%11.7%13.5%13.3%12.8%
IV Rank24.5%15.0%49.9%18.2%24.5%
IV Percentile12.2%0.4%73.0%2.4%11.1%
Term Structure0.1%-1.3%1.3%0.4%-0.0%
VWIV17.4%15.0%19.4%19.3%16.8%
Skew 25d3.2%2.3%4.0%3.3%3.2%
Skew 10d6.8%4.9%9.7%6.7%6.4%
Call IV 25d15.6%13.6%18.5%15.7%15.8%
Put IV 25d18.8%16.1%22.6%19.0%19.0%
Bid-Ask Spread %6.705.198.237.298.12
Gamma HHI0.120.090.160.130.10
Net GEX833.3K-34.2M56.6M56.6M-22.1M
Net DEX229.8M-461.6M870.9M-461.6M509.4M
Net VEX-14.6M-15.2M-14.0M-14.1M-15.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.484.142.381.00
Total Volume46,681.31612,48578,84326,34323,098
Total OI1,353,045.8951,255,1091,433,0691,255,1091,433,069

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$57.08$55.0015.5%4.9%10.7%18.2%19.3%3.3%0.4%56.6M-461.6M-14.1M2.387.29N/AN/A7,79318,550575,553679,556
2013-02-04$56.30$55.0018.9%5.1%11.7%27.8%18.7%3.8%-0.5%22.9M38.0M-14.9M0.485.19N/AN/A26,37712,755575,365752,525
2013-02-05$56.12$55.0019.6%5.0%11.6%29.7%17.4%3.5%-0.2%31.8M-46.5M-14.2M1.935.53N/AN/A15,67330,309589,924703,320
2013-02-06$56.11$55.0016.2%5.0%10.6%20.3%18.8%3.5%0.3%28.3M-15.8M-14.6M2.025.86N/AN/A21,74844,037598,786720,782
2013-02-07$55.98$55.0017.3%5.0%10.4%23.4%18.2%3.6%-0.3%17.8M53.2M-14.6M1.215.35N/AN/A13,78816,710592,859733,076
2013-02-08$55.94$55.0016.8%4.8%9.7%21.9%17.4%3.6%0.3%14.3M99.3M-14.4M0.896.45N/AN/A16,30714,583592,129738,920
2013-02-11$55.83$55.0016.4%4.7%9.1%20.7%17.5%3.3%1.0%3.1M176.5M-14.2M1.976.23N/AN/A4,2048,281590,690741,998
2013-02-12$55.90$55.0015.5%4.4%8.9%18.4%17.5%3.2%0.2%-3.8M130.7M-14.0M1.726.07N/AN/A16,76428,771590,269744,756
2013-02-13$56.41$55.0015.1%4.3%9.5%17.3%15.6%2.5%0.7%35.2M-106.0M-14.1M1.625.86N/AN/A30,08048,763598,545764,937
2013-02-14$56.15$55.0015.4%4.4%9.5%18.1%16.2%2.4%0.4%-4.7M39.9M-14.6M1.227.73N/AN/A33,04240,239610,340783,090
2013-02-15$56.17$55.0014.7%4.2%8.9%16.0%15.5%2.3%0.5%-18.9M32.9M-14.5M1.606.96N/AN/A29,30446,828626,013802,741
2013-02-19$56.32$55.0014.3%4.1%9.0%15.0%15.0%2.5%1.3%3.2M-106.9M-14.4M0.946.79N/AN/A27,58725,947537,322757,215
2013-02-20$55.09$55.0016.4%4.7%11.8%20.7%16.4%3.1%0.2%-13.7M427.0M-14.7M4.147.09N/AN/A13,39455,511552,091773,079
2013-02-21$54.25$55.0017.8%5.1%12.7%24.8%18.0%3.6%-0.3%-30.9M844.6M-14.9M1.207.95N/AN/A26,91532,278556,575804,005
2013-02-22$54.82$55.0017.4%4.8%13.5%23.8%17.6%3.1%-0.1%-25.6M629.2M-15.0M2.187.10N/AN/A14,02630,508559,029811,188
2013-02-25$54.20$55.0026.7%5.8%13.9%49.9%19.4%4.0%-1.3%-34.2M870.9M-15.0M0.595.34N/AN/A28,34816,685555,789820,548
2013-02-26$54.66$55.0024.1%5.4%14.4%42.4%19.0%3.5%-0.7%-22.6M701.3M-15.2M1.848.23N/AN/A16,94131,106576,590836,746
2013-02-27$55.03$55.0020.4%4.9%14.1%32.1%17.1%3.3%0.1%-20.9M550.7M-15.2M1.918.19N/AN/A6,77012,925576,163852,289
2013-02-28$55.13$55.0017.7%4.8%13.7%24.5%16.8%3.2%-0.0%-22.1M509.4M-15.1M1.008.12N/AN/A11,55211,546572,793860,276