EWZ Options History — August 2013 In August 2013, EWZ traded between $41.26 and $44.70. ATM implied volatility averaged 26.7%, placing in the 60.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.2% (HV 20d: 23.5%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.97.
Notable Days 2013-08-22 : Highest Volume — 131,576 contracts2013-08-05 : Largest IV spike — 13.3% change2013-08-28 : Highest IV Rank — 76.3%2013-08-28 : Largest Expected Move — 8.9%Monthly Statistics Metric Avg Min Max Open Close Price $43.16 $41.26 $44.70 $43.89 $42.39 Max Pain $45.05 $44.00 $46.00 $44.00 $45.00 ATM IV 26.7% 22.0% 30.9% 24.4% 28.4% Expected Move 7.6% 6.3% 8.9% 6.8% 8.5% HV 20d 23.5% 20.3% 27.1% 23.8% 26.8% HV 60d 25.1% 23.6% 26.7% 23.6% 26.0% IV Rank 60.8% 39.7% 76.3% 46.8% 67.7% IV Percentile 81.3% 52.8% 94.0% 71.0% 88.9% Term Structure -0.7% -1.6% 1.6% 0.5% -0.6% VWIV 26.9% 23.0% 32.2% 24.9% 29.0% Skew 25d 5.6% 3.9% 6.9% 3.9% 6.9% Skew 10d 11.2% 7.7% 14.3% 7.7% 14.3% Call IV 25d 24.0% 20.6% 28.1% 22.3% 26.2% Put IV 25d 29.6% 24.7% 33.9% 26.2% 33.1% Bid-Ask Spread % 7.17 5.40 8.87 6.24 7.49 Gamma HHI 0.12 0.09 0.19 0.11 0.12 Net GEX -49.7M -71.0M -29.7M -50.1M -49.2M Net DEX 2.42B 1.88B 2.98B 2.18B 2.71B Net VEX -12.2M -13.0M -10.6M -12.7M -12.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.97 0.55 4.67 1.34 1.50 Total Volume 63,572.409 21,298 131,576 28,041 59,823 Total OI 2,080,987.5 1,947,898 2,247,360 1,996,025 2,247,360
Daily Data (22 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 2013-08-01 $43.89 $44.00 24.4% 6.8% 23.8% 46.8% 24.9% 3.9% 0.5% -50.1M 2.18B -12.7M 1.34 6.24 N/A N/A 11,980 16,061 770,600 1,225,425 2013-08-02 $43.96 $44.00 22.0% 6.3% 23.1% 39.7% 23.0% 4.1% 1.6% -44.3M 2.16B -12.9M 1.19 7.33 N/A N/A 9,742 11,556 777,941 1,233,898 2013-08-05 $43.29 $46.00 24.9% 6.9% 24.0% 48.5% 26.4% 5.2% -0.6% -51.3M 2.35B -12.2M 2.44 6.55 N/A N/A 7,838 19,134 777,639 1,219,965 2013-08-06 $42.78 $46.00 26.3% 6.8% 24.2% 60.1% 23.4% 5.0% -0.3% -61.3M 2.53B -11.7M 1.51 6.07 N/A N/A 18,567 27,956 780,693 1,228,630 2013-08-07 $42.46 $45.00 24.4% 7.1% 24.0% 53.6% 24.5% 5.1% -1.2% -61.8M 2.60B -11.4M 2.11 5.40 N/A N/A 7,730 16,281 793,159 1,233,946 2013-08-08 $43.82 $45.00 23.8% 6.9% 23.6% 51.4% 25.4% 5.0% -0.7% -48.6M 2.19B -12.4M 1.90 6.77 N/A N/A 21,211 40,207 793,388 1,241,865 2013-08-09 $44.61 $45.00 23.2% 6.7% 23.5% 49.3% 24.2% 4.9% -0.5% -30.8M 1.88B -13.0M 0.95 8.63 N/A N/A 21,272 20,259 801,445 1,244,973 2013-08-12 $44.70 $45.00 25.8% 6.9% 21.6% 58.4% 26.5% 5.5% -0.9% -29.7M 1.89B -13.0M 3.40 7.55 N/A N/A 15,173 51,592 808,630 1,242,603 2013-08-13 $44.42 $45.00 26.6% 7.2% 21.7% 61.3% 26.1% 5.0% -1.5% -40.0M 2.04B -12.7M 2.98 6.82 N/A N/A 12,598 37,489 808,979 1,267,707 2013-08-14 $44.13 $45.00 27.5% 7.2% 21.1% 64.6% 25.6% 5.4% -0.8% -46.8M 2.13B -12.7M 2.59 5.91 N/A N/A 25,096 65,062 813,007 1,284,299 2013-08-15 $43.95 $46.00 25.2% 7.2% 21.1% 56.4% 25.1% 6.0% -1.3% -57.7M 2.26B -12.3M 1.35 7.99 N/A N/A 39,255 52,849 817,117 1,294,140 2013-08-16 $43.14 $45.00 26.5% 7.6% 21.7% 60.8% 27.2% 6.9% -1.5% -71.0M 2.54B -11.9M 2.17 7.05 N/A N/A 29,299 63,697 831,662 1,316,393 2013-08-19 $42.49 $45.00 28.1% 8.0% 21.1% 66.4% 28.0% 6.7% -1.0% -51.6M 2.64B -11.2M 1.89 7.43 N/A N/A 25,791 48,844 765,645 1,182,253 2013-08-20 $42.12 $45.00 27.9% 8.0% 20.3% 65.8% 30.8% 6.5% -0.2% -53.6M 2.73B -11.2M 4.67 6.68 N/A N/A 10,255 47,920 778,678 1,205,546 2013-08-21 $41.26 $45.00 28.6% 8.2% 20.4% 68.4% 27.7% 6.9% -1.2% -58.0M 2.98B -10.6M 1.39 5.88 N/A N/A 25,565 35,497 781,923 1,235,042 2013-08-22 $41.96 $45.00 26.9% 7.7% 21.1% 62.5% 27.2% 6.3% -0.2% -58.1M 2.79B -11.2M 2.60 8.32 N/A N/A 36,501 95,075 798,355 1,238,295 2013-08-23 $43.78 $45.00 25.8% 7.4% 26.6% 58.6% 26.1% 4.8% -0.3% -46.0M 2.26B -12.9M 0.55 8.48 N/A N/A 80,445 43,996 820,647 1,294,404 2013-08-26 $43.04 $45.00 29.1% 8.4% 27.0% 70.1% 28.1% 5.5% -1.2% -42.4M 2.43B -12.6M 0.69 8.87 N/A N/A 44,919 30,876 864,601 1,299,295 2013-08-27 $42.50 $45.00 30.7% 8.8% 27.1% 75.5% 31.7% 5.4% -1.6% -45.0M 2.61B -12.3M 3.25 7.25 N/A N/A 14,855 48,351 887,015 1,311,090 2013-08-28 $42.42 $45.00 30.9% 8.9% 27.1% 76.3% 32.2% 6.0% -1.5% -46.2M 2.61B -12.3M 2.04 7.50 N/A N/A 16,744 34,095 896,676 1,324,426 2013-08-29 $42.36 $45.00 30.4% 8.7% 26.8% 74.7% 29.5% 5.9% -1.2% -48.8M 2.66B -12.3M 0.84 7.62 N/A N/A 30,993 26,144 904,929 1,337,441 2013-08-30 $42.39 $45.00 28.4% 8.5% 26.8% 67.7% 29.0% 6.9% -0.6% -49.2M 2.71B -12.1M 1.50 7.49 N/A N/A 23,911 35,912 898,468 1,348,892
« Jul 2013 | All History | Sep 2013 » Home EWZ History August 2013