EWZ Options History — July 2014 In July 2014, EWZ traded between $47.32 and $51.68. ATM implied volatility averaged 22.2%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.3% (HV 20d: 18.9%). Max pain ranged from $50.00 to $51.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.74.
Notable Days 2014-07-18 : Highest Volume — 135,938 contracts2014-07-31 : Largest IV spike — 7.4% change2014-07-31 : Highest IV Rank — 50.5%2014-07-31 : Largest Expected Move — 8.4%Monthly Statistics Metric Avg Min Max Open Close Price $49.49 $47.32 $51.68 $47.88 $48.50 Max Pain $50.48 $50.00 $51.50 $50.00 $51.50 ATM IV 22.2% 20.5% 25.7% 22.0% 25.7% Expected Move 7.8% 7.5% 8.4% 7.6% 8.4% HV 20d 18.9% 14.7% 23.0% 21.4% 23.0% HV 60d 20.2% 19.2% 20.9% 20.6% 20.8% IV Rank 30.3% 21.7% 50.5% 25.7% 50.5% IV Percentile 19.0% 4.0% 60.3% 12.7% 60.3% Term Structure 0.4% -0.3% 1.5% 0.3% 0.1% VWIV 27.6% 22.3% 34.0% 26.9% 30.9% Skew 25d 3.0% 2.6% 3.5% 3.5% 3.3% Skew 10d 6.3% 5.6% 7.9% 7.3% 6.3% Call IV 25d 21.3% 19.9% 24.3% 21.0% 24.3% Put IV 25d 24.3% 22.8% 27.7% 24.4% 27.7% Bid-Ask Spread % 6.66 3.80 12.24 6.95 5.50 Gamma HHI 0.08 0.05 0.20 0.07 0.06 Net GEX -2.1M -45.4M 70.4M -24.8M -45.4M Net DEX 568.9M -392.9M 1.53B 1.30B 1.33B Net VEX -26.8M -28.2M -25.2M -25.7M -27.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.74 0.37 7.44 1.68 1.56 Total Volume 67,342.682 18,594 135,938 20,150 75,686 Total OI 3,000,484.864 2,815,381 3,180,466 2,815,381 3,180,466
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 2014-07-01 $47.88 $50.00 22.0% 7.6% 21.4% 25.7% 26.9% 3.5% 0.3% -24.8M 1.30B -25.7M 1.68 6.95 N/A N/A 7,527 12,623 1,081,261 1,734,120 2014-07-02 $47.32 $50.00 22.3% 7.6% 21.6% 27.0% 30.8% 3.3% 0.2% -36.7M 1.53B -25.5M 3.36 7.05 N/A N/A 15,465 51,942 1,084,260 1,740,268 2014-07-03 $47.84 $50.00 21.4% 7.6% 21.8% 22.7% 29.5% 2.9% 0.3% -26.2M 1.32B -25.7M 0.84 6.19 N/A N/A 10,124 8,470 1,099,563 1,779,646 2014-07-07 $47.90 $50.00 21.8% 7.6% 18.4% 24.7% 27.8% 3.0% 0.4% -23.6M 1.26B -25.2M 7.44 7.06 N/A N/A 4,182 31,099 1,096,854 1,761,549 2014-07-08 $47.75 $50.00 22.3% 7.6% 14.7% 27.0% 29.8% 3.0% -0.3% -27.8M 1.31B -25.3M 2.12 7.32 N/A N/A 32,137 68,032 1,098,232 1,778,371 2014-07-09 $48.46 $50.00 22.1% 7.5% 15.7% 30.6% 28.0% 2.9% 0.4% -12.3M 1.06B -26.2M 1.72 7.76 N/A N/A 20,921 36,056 1,107,998 1,815,418 2014-07-10 $48.58 $50.00 21.9% 7.5% 15.6% 29.6% 22.3% 2.9% -0.3% -4.0M 971.6M -25.9M 3.68 8.73 N/A N/A 6,144 22,618 1,112,020 1,821,217 2014-07-11 $48.80 $50.00 20.8% 7.5% 15.5% 23.0% 25.3% 2.7% 0.1% 2.7M 839.8M -25.8M 0.47 8.85 N/A N/A 64,985 30,786 1,113,396 1,821,103 2014-07-14 $49.80 $50.00 21.1% 7.5% 17.0% 25.2% 25.0% 3.0% 0.7% 24.7M 308.8M -26.3M 0.73 7.73 N/A N/A 69,145 50,139 1,144,538 1,818,698 2014-07-15 $49.72 $50.00 20.9% 7.5% 16.9% 24.0% 25.7% 3.1% 1.5% 20.9M 390.9M -26.7M 1.12 6.39 N/A N/A 19,466 21,735 1,188,178 1,849,515 2014-07-16 $49.51 $50.00 20.5% 7.5% 16.7% 21.7% 24.2% 3.1% 1.5% 20.3M 471.1M -26.5M 0.72 7.46 N/A N/A 37,246 26,780 1,190,300 1,852,336 2014-07-17 $48.67 $50.00 22.0% 7.6% 15.9% 30.1% 24.5% 3.3% 0.9% -5.7M 950.6M -27.0M 0.37 10.05 N/A N/A 71,896 26,248 1,215,072 1,871,806 2014-07-18 $50.30 $50.00 21.4% 7.6% 19.6% 26.6% 26.6% 3.2% 0.5% 70.4M -208.0M -27.2M 0.74 12.24 N/A N/A 78,259 57,679 1,265,471 1,884,635 2014-07-21 $51.08 $0.00 22.6% 8.0% 20.3% 33.1% 28.8% 2.8% 0.5% 9.6M -106.6M -27.9M 1.02 3.80 N/A N/A 43,978 44,642 1,179,066 1,759,523 2014-07-22 $51.68 $51.00 22.8% 7.9% 20.6% 34.1% 29.3% 2.6% 0.4% 14.0M -392.9M -27.8M 1.13 3.89 N/A N/A 38,238 43,277 1,201,060 1,790,749 2014-07-23 $50.98 $51.00 22.6% 8.0% 21.2% 33.2% 27.9% 2.9% 0.5% 10.4M -71.4M -28.0M 1.33 5.21 N/A N/A 52,013 69,281 1,221,758 1,813,510 2014-07-24 $51.47 $51.00 22.2% 8.0% 19.4% 31.0% 26.5% 2.8% 0.2% 16.7M -324.2M -28.1M 1.48 5.00 N/A N/A 11,229 16,578 1,247,646 1,843,309 2014-07-25 $51.06 $51.00 22.1% 8.0% 19.8% 30.4% 26.7% 2.7% 0.4% 6.5M -103.4M -28.2M 2.10 5.10 N/A N/A 9,067 19,037 1,251,347 1,861,804 2014-07-28 $51.12 $51.50 23.1% 8.0% 19.6% 36.1% 28.1% 3.1% -0.3% 1.5M -78.0M -27.8M 1.27 5.24 N/A N/A 18,747 23,769 1,226,854 1,856,292 2014-07-29 $50.52 $51.50 23.6% 8.1% 20.0% 38.7% 34.0% 3.0% -0.1% -11.1M 210.8M -27.8M 1.81 4.51 N/A N/A 10,152 18,341 1,241,210 1,873,722 2014-07-30 $49.92 $51.50 23.9% 8.2% 20.7% 40.6% 28.3% 2.7% 0.0% -25.8M 552.2M -27.8M 1.54 4.45 N/A N/A 41,715 64,085 1,247,463 1,889,063 2014-07-31 $48.50 $51.50 25.7% 8.4% 23.0% 50.5% 30.9% 3.3% 0.1% -45.4M 1.33B -27.5M 1.56 5.50 N/A N/A 29,621 46,065 1,274,384 1,906,082
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