EWZ Options History — August 2014 In August 2014, EWZ traded between $47.99 and $53.70. ATM implied volatility averaged 24.4%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.0% (HV 20d: 22.3%). Max pain ranged from $50.50 to $52.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.43.
Notable Days 2014-08-27 : Highest Volume — 214,003 contracts2014-08-18 : Largest IV drop — 10.6% change2014-08-07 : Highest IV Rank — 57.1%2014-08-05 : Largest Expected Move — 8.5%Monthly Statistics Metric Avg Min Max Open Close Price $50.06 $47.99 $53.70 $48.75 $53.70 Max Pain $51.10 $50.50 $52.00 $51.00 $52.00 ATM IV 24.4% 22.0% 26.9% 25.8% 23.1% Expected Move 8.0% 7.3% 8.5% 8.4% 7.3% HV 20d 22.3% 19.9% 24.0% 22.8% 20.5% HV 60d 21.0% 20.7% 21.5% 20.7% 21.5% IV Rank 43.1% 30.2% 57.1% 50.9% 35.8% IV Percentile 45.1% 16.3% 74.6% 62.3% 33.3% Term Structure 0.4% -0.4% 1.6% -0.3% 0.4% VWIV 29.3% 24.0% 32.1% 30.3% 24.0% Skew 25d 2.9% 2.4% 3.6% 3.2% 2.5% Skew 10d 5.7% 4.0% 7.2% 7.2% 6.0% Call IV 25d 23.3% 20.8% 26.1% 24.6% 21.9% Put IV 25d 26.2% 23.3% 28.8% 27.8% 24.4% Bid-Ask Spread % 5.94 4.28 7.94 5.19 7.72 Gamma HHI 0.06 0.05 0.18 0.06 0.06 Net GEX -5.6M -116.1M 80.2M -33.4M 57.2M Net DEX 405.4M -1.73B 1.68B 1.21B -1.73B Net VEX -26.7M -27.8M -25.8M -27.8M -26.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.43 0.47 2.67 2.07 0.85 Total Volume 97,690.333 25,637 214,003 29,706 126,986 Total OI 3,372,268.667 3,174,801 3,660,216 3,210,282 3,660,216
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 2014-08-01 $48.75 $51.00 25.8% 8.4% 22.8% 50.9% 30.3% 3.2% -0.3% -33.4M 1.21B -27.8M 2.07 5.19 N/A N/A 9,681 20,025 1,289,598 1,920,684 2014-08-04 $49.11 $51.00 25.6% 8.3% 22.9% 50.0% 30.6% 3.6% 0.4% -28.3M 951.7M -27.4M 0.94 4.95 N/A N/A 16,581 15,587 1,274,901 1,899,900 2014-08-05 $48.41 $51.00 26.6% 8.5% 23.5% 55.3% 32.0% 3.3% 0.2% -38.6M 1.33B -27.3M 1.33 5.26 N/A N/A 29,339 38,972 1,283,944 1,908,757 2014-08-06 $48.75 $51.00 26.4% 8.4% 23.0% 54.1% 31.9% 3.3% 0.3% -37.1M 1.19B -27.2M 2.26 4.28 N/A N/A 7,854 17,783 1,289,730 1,919,158 2014-08-07 $48.13 $51.50 26.9% 8.4% 23.5% 57.1% 32.1% 3.2% 0.3% -46.4M 1.51B -26.9M 1.43 5.10 N/A N/A 42,879 61,172 1,292,795 1,924,962 2014-08-08 $47.99 $51.50 25.6% 8.4% 23.4% 50.1% 31.6% 3.1% 0.8% -116.1M 1.68B -26.7M 2.12 4.77 N/A N/A 22,278 47,140 1,306,611 1,951,770 2014-08-11 $49.02 $51.00 25.3% 8.3% 23.5% 48.2% 28.5% 3.1% 0.1% -36.2M 1.05B -26.7M 1.28 4.44 N/A N/A 30,027 38,492 1,292,866 1,950,774 2014-08-12 $48.83 $51.00 25.5% 8.4% 23.6% 49.2% 29.2% 3.1% 0.3% -34.3M 1.13B -26.7M 0.88 4.36 N/A N/A 31,854 27,963 1,313,910 1,965,299 2014-08-13 $48.12 $51.00 26.8% 8.4% 24.0% 56.6% 29.6% 2.5% 0.0% -43.5M 1.54B -26.2M 1.71 6.11 N/A N/A 62,929 107,448 1,322,562 1,971,366 2014-08-14 $48.41 $51.50 25.9% 8.3% 23.4% 51.8% 29.1% 2.8% -0.4% -52.0M 1.51B -26.7M 1.50 7.76 N/A N/A 71,503 107,215 1,345,679 2,026,575 2014-08-15 $49.42 $51.50 26.1% 8.3% 21.4% 52.8% 28.9% 3.4% -0.4% -11.9M 726.3M -27.5M 0.94 6.97 N/A N/A 60,503 56,948 1,398,578 2,083,549 2014-08-18 $50.10 $50.50 23.3% 8.0% 21.3% 37.4% 27.4% 2.6% 1.6% 7.8M 319.3M -26.9M 2.67 5.28 N/A N/A 24,130 64,411 1,349,411 2,003,034 2014-08-19 $50.98 $50.50 22.1% 7.8% 21.8% 30.8% 27.7% 2.5% 1.3% 26.8M -194.9M -26.4M 2.27 6.23 N/A N/A 37,956 86,012 1,357,530 2,003,644 2014-08-20 $51.04 $51.00 22.0% 7.8% 21.3% 30.2% 29.8% 2.5% 1.1% 22.1M -202.1M -26.6M 1.56 5.49 N/A N/A 31,943 49,696 1,368,626 2,045,873 2014-08-21 $51.04 $51.00 22.2% 7.7% 21.0% 31.0% 29.7% 2.7% 1.0% 27.2M -248.6M -26.8M 0.47 6.60 N/A N/A 43,454 20,597 1,392,143 2,068,914 2014-08-22 $50.41 $51.00 22.1% 7.6% 21.3% 30.7% 31.3% 2.5% 0.7% 16.6M 210.4M -26.3M 2.57 6.18 N/A N/A 21,951 56,400 1,395,020 2,077,305 2014-08-25 $51.13 $51.00 22.8% 7.5% 21.9% 34.4% 28.4% 2.6% 0.6% 17.6M -107.3M -25.9M 0.68 6.30 N/A N/A 55,059 37,460 1,378,125 2,060,513 2014-08-26 $51.98 $51.00 22.5% 7.4% 22.2% 32.6% 29.9% 2.6% 0.3% 35.0M -627.8M -25.8M 0.67 6.90 N/A N/A 103,749 69,764 1,398,500 2,075,612 2014-08-27 $53.18 $51.00 22.1% 7.3% 22.8% 30.5% 27.4% 2.4% 0.5% 80.2M -1.51B -26.0M 0.67 6.87 N/A N/A 128,214 85,789 1,471,721 2,126,364 2014-08-28 $52.76 $51.00 23.1% 7.3% 19.9% 35.9% 25.9% 2.7% 0.5% 70.5M -1.22B -26.4M 1.10 7.94 N/A N/A 39,809 43,944 1,497,060 2,154,063 2014-08-29 $53.70 $52.00 23.1% 7.3% 20.5% 35.8% 24.0% 2.5% 0.4% 57.2M -1.73B -26.1M 0.85 7.72 N/A N/A 68,481 58,505 1,478,076 2,182,140
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