EWZ Options History — October 2014 In October 2014, EWZ traded between $39.32 and $47.81. ATM implied volatility averaged 59.0%, placing in the 76.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 9.2% (HV 20d: 49.9%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.83.
Notable Days 2014-10-23 : Highest Volume — 802,837 contracts2014-10-27 : Largest IV drop — 52.8% change2014-10-06 : Highest IV Rank — 100.0%2014-10-20 : Largest Expected Move — 12.8%Monthly Statistics Metric Avg Min Max Open Close Price $43.62 $39.32 $47.81 $41.91 $43.22 Max Pain $45.91 $43.00 $47.00 $44.00 $43.00 ATM IV 59.0% 29.3% 79.5% 53.5% 32.0% Expected Move 10.2% 7.4% 12.8% 9.1% 7.6% HV 20d 49.9% 36.0% 60.4% 36.0% 59.8% HV 60d 35.9% 29.3% 43.2% 29.4% 43.2% IV Rank 76.4% 20.2% 100.0% 99.5% 24.5% IV Percentile 95.4% 81.7% 100.0% 99.6% 86.5% Term Structure -4.0% -7.5% -0.2% -3.5% -0.4% VWIV 35.8% 26.4% 43.9% 32.4% 28.5% Skew 25d 0.2% -15.0% 9.3% -2.5% 0.9% Skew 10d -0.1% -17.0% 12.2% -6.1% 4.2% Call IV 25d 56.2% 29.9% 69.9% 54.4% 32.3% Put IV 25d 56.4% 29.1% 74.2% 52.0% 33.2% Bid-Ask Spread % 23.65 13.07 43.55 18.10 18.60 Gamma HHI 0.07 0.05 0.12 0.07 0.07 Net GEX -38.2M -141.5M 22.1M -108.1M -27.5M Net DEX 2.99B 243.7M 6.28B 4.79B 3.33B Net VEX -26.9M -32.7M -16.7M -22.4M -23.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.34 1.70 0.58 0.38 Total Volume 333,652.435 185,714 802,837 463,997 294,274 Total OI 5,161,055.87 4,309,580 5,885,968 4,309,580 5,885,968
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 2014-10-01 $41.91 $44.00 53.5% 9.1% 36.0% 99.5% 32.4% -2.5% -3.5% -108.1M 4.79B -22.4M 0.58 18.10 N/A N/A 292,937 171,060 1,880,668 2,428,912 2014-10-02 $42.28 $44.00 53.0% 9.0% 36.7% 98.3% 31.7% -3.7% -4.3% -88.5M 4.48B -23.7M 0.97 16.95 N/A N/A 116,350 112,597 2,050,989 2,469,847 2014-10-03 $43.38 $43.00 52.5% 8.7% 38.8% 97.0% 32.6% -2.1% -4.3% -74.8M 3.96B -25.2M 0.63 22.78 N/A N/A 118,595 74,940 2,136,311 2,554,688 2014-10-06 $46.03 $43.00 63.8% 10.1% 44.9% 100.0% 34.9% 1.8% -4.6% -11.9M 1.63B -29.6M 0.82 22.67 N/A N/A 142,992 117,749 2,182,561 2,549,902 2014-10-07 $46.72 $47.00 70.7% 10.9% 45.0% 100.0% 37.6% 3.4% -6.2% 5.1M 886.2M -31.0M 0.61 15.25 N/A N/A 223,006 136,102 2,227,882 2,592,439 2014-10-08 $46.91 $47.00 75.8% 11.7% 45.0% 100.0% 39.4% 7.3% -7.0% 12.9M 613.6M -32.7M 1.01 13.98 N/A N/A 154,338 156,210 2,342,728 2,655,791 2014-10-09 $46.85 $47.00 70.9% 11.5% 45.0% 91.7% 39.3% 3.8% -4.3% 14.1M 699.2M -32.7M 1.15 19.64 N/A N/A 156,340 179,015 2,395,975 2,712,343 2014-10-10 $45.57 $47.00 69.5% 11.2% 43.4% 89.4% 38.0% 3.0% -6.4% -14.8M 1.87B -31.7M 1.18 25.00 N/A N/A 108,576 128,356 2,474,717 2,793,840 2014-10-13 $47.19 $47.00 71.2% 11.4% 45.1% 92.2% 38.4% 4.6% -4.9% 15.3M 482.4M -31.9M 1.29 23.87 N/A N/A 96,692 124,379 2,433,861 2,746,729 2014-10-14 $47.81 $47.00 69.4% 11.2% 44.0% 89.2% 38.9% 9.3% -4.4% 22.1M 243.7M -31.7M 1.10 24.70 N/A N/A 101,452 111,311 2,429,451 2,757,462 2014-10-15 $44.95 $47.00 70.3% 11.7% 48.7% 90.8% 39.7% 7.0% -4.8% -37.5M 2.46B -30.1M 1.70 23.19 N/A N/A 90,526 153,918 2,462,714 2,795,147 2014-10-16 $43.28 $47.00 73.1% 12.2% 50.0% 95.5% 42.4% 1.7% -6.1% -68.4M 3.61B -28.4M 1.03 24.45 N/A N/A 91,585 94,129 2,469,660 2,806,999 2014-10-17 $45.08 $47.00 73.9% 12.0% 52.6% 96.8% 43.9% 5.1% -7.5% -23.3M 2.34B -30.0M 0.53 22.48 N/A N/A 154,725 81,392 2,507,393 2,832,572 2014-10-20 $43.56 $47.00 79.5% 12.8% 53.1% 100.0% 43.1% 4.9% -4.6% -14.1M 2.29B -29.2M 0.53 24.74 N/A N/A 208,147 110,528 2,215,300 2,385,260 2014-10-21 $41.51 $47.00 74.3% 12.3% 55.5% 91.8% 42.2% -4.1% -2.9% -29.4M 3.36B -26.6M 0.62 30.87 N/A N/A 201,901 125,660 2,287,225 2,411,269 2014-10-22 $41.36 $47.00 66.7% 11.2% 55.1% 79.6% 39.5% -9.6% -5.9% -36.5M 3.55B -26.3M 0.47 35.83 N/A N/A 300,717 140,988 2,379,454 2,483,964 2014-10-23 $39.82 $47.00 55.0% 9.9% 55.6% 61.0% 34.7% -14.7% -3.8% -60.0M 4.74B -23.2M 0.34 43.55 N/A N/A 597,839 204,998 2,547,825 2,548,216 2014-10-24 $41.61 $47.00 62.1% 10.8% 57.5% 72.4% 36.3% -15.0% -4.3% -14.0M 3.20B -28.8M 0.58 36.46 N/A N/A 372,769 215,495 2,935,436 2,663,633 2014-10-27 $39.32 $47.00 29.3% 7.4% 56.9% 20.2% 27.4% -0.8% -0.6% -141.5M 6.28B -16.7M 0.58 13.07 N/A N/A 308,466 178,621 3,081,094 2,653,511 2014-10-28 $41.23 $45.00 29.4% 7.4% 59.9% 20.3% 28.0% -0.7% -0.2% -89.3M 4.92B -20.4M 0.77 24.53 N/A N/A 225,005 172,985 3,138,375 2,667,132 2014-10-29 $41.01 $45.00 30.6% 7.5% 58.6% 22.2% 26.4% 2.3% -0.5% -86.4M 5.20B -20.5M 1.25 20.68 N/A N/A 120,600 150,869 3,170,646 2,693,592 2014-10-30 $42.70 $44.00 31.6% 7.6% 60.4% 23.8% 27.5% 1.8% -0.6% -21.0M 3.79B -23.3M 0.93 22.48 N/A N/A 131,826 123,046 3,169,760 2,695,044 2014-10-31 $43.22 $43.00 32.0% 7.6% 59.8% 24.5% 28.5% 0.9% -0.4% -27.5M 3.33B -23.6M 0.38 18.60 N/A N/A 213,216 81,058 3,185,072 2,700,896
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