EWZ Options History — September 2014 In September 2014, EWZ traded between $43.45 and $54.00. ATM implied volatility averaged 36.1%, placing in the 88.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 8.6% (HV 20d: 27.5%). Max pain ranged from $46.00 to $52.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.08.
Notable Days 2014-09-30 : Highest Volume — 405,446 contracts2014-09-23 : Largest IV spike — 16.6% change2014-09-11 : Highest IV Rank — 100.0%2014-09-29 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $48.83 $43.45 $54.00 $53.90 $43.45 Max Pain $50.60 $46.00 $52.00 $52.00 $46.00 ATM IV 36.1% 23.7% 53.6% 23.7% 53.1% Expected Move 8.1% 7.2% 9.5% 7.3% 9.3% HV 20d 27.5% 19.3% 35.6% 20.5% 35.2% HV 60d 23.4% 19.7% 28.5% 20.5% 28.5% IV Rank 88.0% 39.3% 100.0% 39.3% 98.7% IV Percentile 89.9% 40.9% 100.0% 40.9% 99.6% Term Structure 1.7% -4.3% 7.5% 4.6% -2.7% VWIV 29.4% 25.1% 37.1% 31.0% 37.1% Skew 25d 2.4% -1.1% 4.1% 2.6% -1.1% Skew 10d 4.6% 0.0% 8.2% 6.0% 1.1% Call IV 25d 34.8% 22.0% 55.0% 22.7% 54.0% Put IV 25d 37.1% 25.2% 55.2% 25.3% 52.8% Bid-Ask Spread % 8.64 5.42 15.14 6.67 13.87 Gamma HHI 0.06 0.05 0.15 0.06 0.06 Net GEX -28.7M -133.3M 52.9M 50.1M -79.1M Net DEX 1.39B -1.76B 3.90B -1.68B 3.90B Net VEX -25.0M -25.9M -23.3M -25.3M -23.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.08 0.64 1.79 0.88 0.95 Total Volume 159,555.095 65,129 405,446 65,129 405,446 Total OI 3,793,196.476 3,393,209 4,072,737 3,610,784 4,033,122
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 2014-09-02 $53.90 $52.00 23.7% 7.3% 20.5% 39.3% 31.0% 2.6% 4.6% 50.1M -1.68B -25.3M 0.88 6.67 N/A N/A 34,657 30,472 1,436,495 2,174,289 2014-09-03 $54.00 $52.00 24.2% 7.2% 19.3% 42.2% 25.9% 3.0% 4.3% 52.9M -1.76B -25.2M 1.10 8.20 N/A N/A 35,422 39,068 1,463,411 2,180,229 2014-09-04 $53.10 $52.00 24.8% 7.2% 20.8% 51.0% 26.9% 2.9% 4.8% 35.8M -1.12B -25.6M 1.45 7.36 N/A N/A 32,929 47,587 1,471,375 2,198,735 2014-09-05 $53.16 $52.00 25.1% 7.3% 19.9% 53.5% 27.2% 3.2% 4.9% 47.2M -1.12B -25.5M 1.28 7.11 N/A N/A 44,362 56,763 1,486,944 2,227,213 2014-09-08 $51.42 $52.00 29.1% 7.4% 24.0% 78.5% 25.1% 4.0% -0.7% 15.3M -7.3M -25.5M 1.44 6.92 N/A N/A 29,983 43,131 1,501,592 2,213,461 2014-09-09 $50.29 $52.00 31.6% 7.6% 24.6% 94.0% 29.0% 4.1% -1.3% -15.4M 859.4M -25.5M 1.18 6.40 N/A N/A 69,010 81,417 1,512,106 2,227,470 2014-09-10 $49.80 $52.00 32.2% 7.6% 24.9% 99.7% 26.6% 4.0% -1.6% -30.7M 1.28B -25.5M 0.88 5.86 N/A N/A 75,389 66,440 1,531,899 2,268,146 2014-09-11 $49.96 $52.00 32.7% 7.7% 24.2% 100.0% 29.6% 3.2% -1.4% -16.9M 1.09B -25.8M 0.64 5.42 N/A N/A 65,701 41,808 1,583,371 2,285,072 2014-09-12 $47.81 $52.00 34.0% 7.9% 29.1% 100.0% 29.1% 1.8% -1.3% -66.2M 2.54B -25.2M 0.88 6.00 N/A N/A 105,397 92,370 1,609,220 2,298,187 2014-09-15 $48.37 $52.00 35.3% 8.0% 28.4% 100.0% 29.5% 2.9% 0.4% -46.1M 2.01B -25.1M 0.89 6.32 N/A N/A 49,690 44,462 1,624,197 2,298,317 2014-09-16 $49.81 $52.00 35.1% 7.9% 30.0% 98.6% 28.1% 3.0% -0.0% -11.0M 937.2M -25.9M 1.03 6.18 N/A N/A 95,861 99,094 1,635,772 2,307,757 2014-09-17 $49.09 $52.00 35.4% 7.9% 29.6% 100.0% 29.3% 2.0% -0.6% -37.3M 1.49B -25.2M 1.74 5.89 N/A N/A 45,259 78,624 1,667,133 2,344,839 2014-09-18 $48.37 $52.00 35.5% 7.9% 29.9% 100.0% 27.2% 2.6% -0.2% -68.8M 2.06B -24.8M 1.48 6.36 N/A N/A 50,601 74,804 1,663,206 2,349,990 2014-09-19 $47.75 $52.00 36.0% 8.1% 30.1% 100.0% 27.4% 2.1% 0.2% -133.3M 2.62B -24.5M 1.79 6.78 N/A N/A 44,388 79,435 1,692,697 2,380,040 2014-09-22 $46.51 $52.00 38.4% 8.2% 31.1% 100.0% 29.1% 2.5% 5.2% -53.2M 2.41B -23.3M 0.84 8.40 N/A N/A 141,110 118,834 1,420,523 1,972,686 2014-09-23 $46.21 $0.00 44.8% 9.1% 30.3% 100.0% 31.4% 1.7% 5.8% -45.3M 2.47B -24.2M 0.77 11.12 N/A N/A 109,622 83,985 1,497,771 2,035,600 2014-09-24 $46.80 $47.00 43.0% 8.9% 30.0% 93.5% 31.3% 1.6% 6.3% -39.0M 2.21B -25.3M 0.91 13.84 N/A N/A 154,483 140,062 1,569,193 2,099,990 2014-09-25 $45.42 $47.00 45.1% 9.2% 29.3% 100.0% 32.1% 0.1% 5.9% -57.8M 3.00B -24.7M 0.77 15.14 N/A N/A 49,791 38,379 1,608,783 2,153,212 2014-09-26 $46.49 $46.00 46.1% 9.1% 31.3% 100.0% 30.7% 3.2% 7.5% -36.9M 2.44B -25.3M 0.74 12.58 N/A N/A 84,648 62,703 1,640,382 2,168,924 2014-09-29 $43.72 $46.00 53.6% 9.5% 35.6% 100.0% 33.2% 0.2% -4.3% -66.5M 3.65B -23.4M 1.03 15.04 N/A N/A 151,564 155,906 1,653,334 2,170,443 2014-09-30 $43.45 $46.00 53.1% 9.3% 35.2% 98.7% 37.1% -1.1% -2.7% -79.1M 3.90B -23.6M 0.95 13.87 N/A N/A 207,546 197,900 1,752,501 2,280,621
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