EWZ Options History — October 2013 In October 2013, EWZ traded between $48.21 and $51.61. ATM implied volatility averaged 23.0%, placing in the 48.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.4% (HV 20d: 19.6%). Max pain ranged from $47.50 to $52.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 1.34.
Notable Days 2013-10-31 : Highest Volume — 159,475 contracts2013-10-10 : Largest IV drop — 9.7% change2013-10-08 : Highest IV Rank — 66.7%2013-10-08 : Largest Expected Move — 8.1%Monthly Statistics Metric Avg Min Max Open Close Price $49.88 $48.21 $51.61 $48.37 $50.16 Max Pain $49.33 $47.50 $52.00 $48.00 $50.00 ATM IV 23.0% 19.4% 28.2% 26.3% 21.5% Expected Move 6.5% 5.6% 8.1% 7.0% 6.1% HV 20d 19.6% 13.4% 26.8% 26.8% 16.6% HV 60d 24.2% 23.4% 25.8% 25.8% 23.7% IV Rank 48.8% 36.4% 66.7% 60.3% 43.6% IV Percentile 58.8% 35.7% 88.1% 77.4% 52.4% Term Structure -0.0% -1.1% 1.6% 0.2% 0.4% VWIV 23.8% 19.0% 28.8% 23.4% 21.1% Skew 25d 3.9% 2.9% 5.4% 4.2% 3.2% Skew 10d 7.9% 5.7% 10.7% 9.0% 6.5% Call IV 25d 21.3% 18.3% 25.7% 22.7% 20.2% Put IV 25d 25.2% 21.3% 31.2% 26.9% 23.4% Bid-Ask Spread % 6.53 4.45 9.30 5.11 6.04 Gamma HHI 0.07 0.06 0.10 0.06 0.06 Net GEX -7.3M -28.3M 27.2M -17.4M -19.8M Net DEX 664.0M -79.4M 1.17B 1.14B 904.1M Net VEX -14.0M -14.6M -13.3M -14.6M -13.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.34 0.24 4.58 0.24 1.35 Total Volume 58,139.826 16,157 159,475 53,392 159,475 Total OI 2,076,435 1,903,906 2,230,007 2,064,371 2,101,150
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 2013-10-01 $48.37 $48.00 26.3% 7.0% 26.8% 60.3% 23.4% 4.2% 0.2% -17.4M 1.14B -14.6M 0.24 5.11 N/A N/A 43,216 10,176 824,887 1,239,484 2013-10-02 $48.89 $48.00 25.9% 6.7% 26.8% 58.9% 26.6% 4.2% 1.6% -8.6M 893.1M -14.6M 4.58 4.45 N/A N/A 8,392 38,418 830,713 1,242,014 2013-10-03 $48.40 $0.00 25.2% 7.2% 26.6% 56.3% 27.3% 3.7% 0.2% -21.5M 1.12B -14.6M 1.52 4.58 N/A N/A 18,292 27,786 825,509 1,256,317 2013-10-04 $48.53 $50.00 25.1% 7.2% 25.7% 56.0% 25.4% 4.2% -0.1% -6.1M 1.03B -14.5M 0.60 5.56 N/A N/A 13,113 7,885 832,948 1,247,241 2013-10-07 $48.52 $47.50 26.6% 7.6% 22.7% 61.4% 28.8% 4.9% -0.7% -16.6M 1.07B -14.3M 2.27 7.51 N/A N/A 8,263 18,733 822,216 1,242,222 2013-10-08 $48.21 $47.50 28.2% 8.1% 22.9% 66.7% 28.8% 5.4% -1.1% -20.7M 1.17B -14.3M 1.51 8.23 N/A N/A 18,069 27,342 825,392 1,247,088 2013-10-09 $48.46 $48.00 27.2% 7.8% 22.8% 63.5% 28.0% 5.4% -0.7% -17.5M 1.09B -14.4M 2.14 7.80 N/A N/A 12,858 27,521 831,146 1,264,115 2013-10-10 $49.35 $0.00 24.6% 7.1% 22.9% 54.3% 23.8% 5.1% -0.4% 2.7M 708.4M -14.3M 0.68 7.36 N/A N/A 22,298 15,170 836,558 1,271,224 2013-10-11 $49.77 $49.00 23.1% 6.7% 22.9% 49.2% 24.2% 4.6% -0.3% 16.6M 497.4M -14.2M 0.69 5.78 N/A N/A 44,625 30,933 852,998 1,282,506 2013-10-14 $50.44 $48.00 23.0% 6.6% 23.2% 48.7% 28.3% 4.0% -0.0% 24.8M 128.3M -14.2M 1.61 6.33 N/A N/A 24,235 38,973 887,598 1,284,875 2013-10-15 $50.07 $48.50 23.8% 6.8% 23.3% 51.5% 26.3% 4.6% -0.7% 27.2M 319.1M -14.1M 1.01 5.02 N/A N/A 43,134 43,714 889,154 1,284,688 2013-10-16 $50.50 $49.00 22.6% 6.5% 15.7% 47.4% 24.2% 4.3% -0.1% 19.8M 183.9M -14.1M 1.64 5.43 N/A N/A 33,408 54,915 862,856 1,315,676 2013-10-17 $50.90 $49.00 20.7% 5.9% 15.8% 40.9% 21.4% 3.6% 0.5% -2.1M -79.4M -13.5M 0.71 4.97 N/A N/A 43,602 30,759 853,896 1,323,700 2013-10-18 $50.70 $49.00 20.3% 5.8% 13.6% 39.4% 21.0% 3.4% 0.8% -18.8M -40.5M -13.5M 0.98 6.05 N/A N/A 58,230 56,866 890,043 1,339,964 2013-10-21 $51.02 $49.00 19.7% 5.7% 13.4% 37.4% 19.7% 3.2% -0.1% -14.1M 508.9M -13.6M 0.78 4.63 N/A N/A 18,370 14,392 737,820 1,166,086 2013-10-22 $51.61 $51.00 19.4% 5.6% 13.8% 36.4% 19.0% 3.0% -0.1% -7.7M 299.7M -13.3M 0.67 6.63 N/A N/A 34,017 22,770 750,230 1,169,611 2013-10-23 $50.37 $51.00 20.8% 6.0% 15.8% 41.1% 21.7% 3.4% -0.2% -19.3M 773.3M -13.9M 2.79 6.87 N/A N/A 12,359 34,433 779,096 1,185,601 2013-10-24 $49.99 $49.50 21.3% 6.1% 16.1% 43.0% 22.1% 3.7% -0.1% -28.3M 988.9M -14.0M 1.00 7.35 N/A N/A 31,485 31,462 783,840 1,211,188 2013-10-25 $50.24 $49.00 21.2% 6.1% 15.9% 42.4% 21.5% 3.5% -0.2% -19.2M 861.4M -13.7M 2.43 7.46 N/A N/A 4,705 11,452 803,424 1,221,752 2013-10-28 $50.94 $52.00 21.1% 6.0% 16.4% 42.3% 20.5% 2.9% 0.2% -11.4M 588.0M -14.0M 0.48 9.08 N/A N/A 26,445 12,574 810,550 1,207,822 2013-10-29 $50.97 $51.50 20.9% 6.0% 16.2% 41.4% 22.4% 3.1% -0.0% -4.0M 529.8M -13.6M 0.59 8.68 N/A N/A 31,615 18,544 831,481 1,210,132 2013-10-30 $50.93 $51.50 20.7% 5.9% 15.9% 40.9% 21.1% 3.1% 0.2% -6.8M 580.2M -13.8M 0.55 9.30 N/A N/A 33,723 18,469 852,070 1,229,124 2013-10-31 $50.16 $50.00 21.5% 6.1% 16.6% 43.6% 21.1% 3.2% 0.4% -19.8M 904.1M -13.7M 1.35 6.04 N/A N/A 67,730 91,745 867,100 1,234,050
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