EWZ Options History — May 2014 In May 2014, EWZ traded between $46.49 and $49.68. ATM implied volatility averaged 22.3%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 1.7% (HV 20d: 20.5%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.77.
Notable Days 2014-05-09 : Highest Volume — 151,078 contracts2014-05-27 : Largest IV spike — 47.5% change2014-05-05 : Highest IV Rank — 49.4%2014-05-01 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $48.31 $46.49 $49.68 $46.86 $46.49 Max Pain $48.00 $47.00 $50.00 $47.00 $50.00 ATM IV 22.3% 16.6% 24.6% 24.4% 24.6% Expected Move 7.4% 7.2% 7.6% 7.6% 7.4% HV 20d 20.5% 18.3% 22.4% 19.6% 22.0% HV 60d 23.2% 21.8% 24.7% 23.9% 22.4% IV Rank 39.6% 17.1% 49.4% 48.8% 43.1% IV Percentile 19.3% 2.0% 35.7% 34.9% 35.3% Term Structure 0.5% -6.8% 8.4% 0.2% -0.8% VWIV 26.5% 23.7% 31.0% 31.0% 25.8% Skew 25d 4.6% 2.5% 8.0% 3.8% 5.1% Skew 10d 7.9% 5.4% 11.1% 8.7% 7.6% Call IV 25d 20.7% 15.6% 23.2% 23.1% 22.1% Put IV 25d 25.3% 23.2% 27.5% 26.9% 27.2% Bid-Ask Spread % 7.18 5.95 9.81 7.13 7.12 Gamma HHI 0.07 0.06 0.09 0.06 0.06 Net GEX 796.1K -74.2M 49.9M -32.9M -74.2M Net DEX 146.1M -773.3M 1.73B 832.3M 1.73B Net VEX -24.5M -25.2M -23.9M -24.0M -24.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.77 0.45 7.65 0.91 1.45 Total Volume 75,812.857 45,873 151,078 48,234 84,895 Total OI 3,067,027.571 2,892,133 3,230,796 2,906,511 3,230,796
Daily Data (21 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 2014-05-01 $46.86 $47.00 24.4% 7.6% 19.6% 48.8% 31.0% 3.8% 0.2% -32.9M 832.3M -24.0M 0.91 7.13 N/A N/A 25,250 22,984 1,044,687 1,861,824 2014-05-02 $48.48 $47.00 23.6% 7.5% 22.3% 45.5% 27.7% 2.8% 0.1% 16.5M -85.4M -24.0M 0.65 6.68 N/A N/A 43,271 28,094 1,054,914 1,876,191 2014-05-05 $48.12 $47.00 24.6% 7.5% 22.4% 49.4% 29.7% 3.5% 0.1% -4.7M 161.4M -23.9M 0.80 7.32 N/A N/A 25,522 20,351 1,050,119 1,842,014 2014-05-06 $48.69 $47.00 24.2% 7.5% 20.8% 48.0% 28.8% 3.4% 0.0% 7.8M -217.8M -24.2M 1.58 6.89 N/A N/A 24,535 38,734 1,066,068 1,856,267 2014-05-07 $49.19 $47.00 24.2% 7.5% 21.0% 47.9% 25.9% 3.5% 0.0% 22.3M -519.8M -24.2M 0.50 6.31 N/A N/A 63,327 31,798 1,087,869 1,872,065 2014-05-08 $48.75 $47.00 24.0% 7.5% 21.3% 47.1% 25.1% 3.0% 0.2% 22.6M -301.1M -24.4M 1.18 5.95 N/A N/A 26,866 31,652 1,125,811 1,888,925 2014-05-09 $48.54 $47.00 23.5% 7.5% 21.3% 45.1% 26.0% 3.1% -0.1% 17.2M -143.6M -24.2M 1.08 9.81 N/A N/A 72,671 78,407 1,124,041 1,912,178 2014-05-12 $49.26 $47.00 22.6% 7.4% 21.6% 41.6% 26.5% 3.0% -3.6% 34.5M -587.6M -24.6M 0.55 6.58 N/A N/A 60,175 33,026 1,166,641 1,938,924 2014-05-13 $49.10 $47.00 22.1% 7.4% 21.6% 39.6% 28.4% 2.8% -5.0% 40.9M -503.8M -25.0M 0.66 7.37 N/A N/A 37,426 24,741 1,180,607 1,928,447 2014-05-14 $49.68 $47.00 22.0% 7.3% 18.7% 39.5% 25.6% 2.5% -6.8% 46.8M -773.3M -25.2M 1.28 7.63 N/A N/A 42,228 53,971 1,196,896 1,941,068 2014-05-15 $49.00 $47.00 22.0% 7.4% 19.3% 39.3% 24.9% 3.1% -3.8% 36.7M -346.0M -25.0M 1.64 7.50 N/A N/A 25,752 42,219 1,224,903 1,974,071 2014-05-16 $49.28 $47.00 20.6% 7.4% 18.3% 34.1% 23.7% 2.6% -4.1% 49.9M -603.9M -25.2M 3.12 8.49 N/A N/A 18,153 56,589 1,227,217 1,995,423 2014-05-19 $48.86 $47.00 19.0% 7.4% 18.6% 27.9% 23.8% 7.1% 6.5% 913.0K 9.2M -25.0M 0.45 6.76 N/A N/A 65,967 29,475 1,131,584 1,839,196 2014-05-20 $47.81 $47.00 20.2% 7.4% 20.3% 32.4% 25.3% 7.9% 6.4% -17.4M 511.9M -24.7M 2.22 6.53 N/A N/A 34,263 76,037 1,163,704 1,845,414 2014-05-21 $48.03 $50.00 19.5% 7.4% 20.3% 29.3% 26.8% 8.0% 7.3% -17.4M 426.3M -25.0M 4.31 7.12 N/A N/A 11,266 48,520 1,188,640 1,883,961 2014-05-22 $48.22 $50.00 17.8% 7.3% 20.2% 22.8% 25.5% 7.8% 8.4% -15.9M 340.5M -25.0M 2.17 7.02 N/A N/A 15,780 34,245 1,195,294 1,908,440 2014-05-23 $47.83 $50.00 16.6% 7.3% 19.5% 17.1% 24.9% 8.0% 8.1% -19.0M 580.9M -24.7M 2.26 7.45 N/A N/A 16,877 38,195 1,196,921 1,913,843 2014-05-27 $47.08 $50.00 24.5% 7.4% 20.3% 48.0% 25.2% 5.0% -0.8% -43.4M 1.06B -24.4M 7.65 7.48 N/A N/A 9,919 75,854 1,189,529 1,914,971 2014-05-28 $47.65 $50.00 23.9% 7.2% 20.6% 45.9% 27.6% 5.7% -0.8% -25.2M 688.2M -24.3M 1.33 7.14 N/A N/A 30,651 40,640 1,192,623 1,976,316 2014-05-29 $47.50 $50.00 23.5% 7.4% 20.6% 39.0% 29.4% 5.5% -0.9% -29.4M 812.4M -24.1M 1.34 6.52 N/A N/A 22,136 29,608 1,207,969 1,991,208 2014-05-30 $46.49 $50.00 24.6% 7.4% 22.0% 43.1% 25.8% 5.1% -0.8% -74.2M 1.73B -24.3M 1.45 7.12 N/A N/A 34,669 50,226 1,221,193 2,009,603
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