EWZ Options History — November 2014 In November 2014, EWZ traded between $38.82 and $44.04. ATM implied volatility averaged 33.1%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 16.0% (HV 20d: 49.0%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.68.
Notable Days 2014-11-21 : Highest Volume — 363,177 contracts2014-11-11 : Largest IV drop — 6.7% change2014-11-20 : Highest IV Rank — 29.9%2014-11-06 : Largest Expected Move — 8.6%Monthly Statistics Metric Avg Min Max Open Close Price $41.25 $38.82 $44.04 $42.12 $41.85 Max Pain $43.21 $43.00 $44.00 $44.00 $43.00 ATM IV 33.1% 30.2% 35.4% 32.8% 32.5% Expected Move 8.2% 7.9% 8.6% 7.9% 8.3% HV 20d 49.0% 40.2% 57.2% 56.1% 40.2% HV 60d 44.4% 43.2% 46.9% 43.5% 46.9% IV Rank 26.2% 21.6% 29.9% 25.8% 25.3% IV Percentile 85.4% 79.0% 89.3% 87.7% 82.1% Term Structure -1.0% -2.2% 0.4% -1.0% -1.8% VWIV 29.2% 28.0% 31.0% 30.3% 29.1% Skew 25d 1.5% -0.3% 3.2% 1.4% 2.8% Skew 10d 2.2% -1.6% 5.9% 3.6% 2.9% Call IV 25d 32.2% 29.6% 34.2% 32.1% 31.1% Put IV 25d 33.7% 30.9% 36.1% 33.5% 33.8% Bid-Ask Spread % 14.46 12.15 22.10 16.49 22.10 Gamma HHI 0.09 0.06 0.12 0.07 0.07 Net GEX -62.4M -115.1M 18.6M -39.4M -36.3M Net DEX 4.43B 2.36B 6.06B 4.04B 3.62B Net VEX -19.1M -22.2M -15.7M -21.9M -17.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.31 1.61 1.19 0.86 Total Volume 168,699.737 69,212 363,177 182,791 69,212 Total OI 5,172,024.737 4,354,045 5,528,353 5,321,271 4,433,130
Daily Data (19 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 2014-11-03 $42.12 $44.00 32.8% 7.9% 56.1% 25.8% 30.3% 1.4% -1.0% -39.4M 4.04B -21.9M 1.19 16.49 N/A N/A 83,384 99,407 2,788,257 2,533,014 2014-11-04 $42.49 $44.00 33.6% 8.2% 55.8% 27.0% 28.0% 2.3% -0.9% -28.6M 3.81B -22.2M 0.66 14.63 N/A N/A 113,873 74,866 2,795,987 2,543,756 2014-11-05 $42.11 $44.00 33.6% 8.2% 55.8% 27.0% 28.6% 1.8% -0.5% -37.7M 4.09B -21.8M 0.76 14.40 N/A N/A 94,406 72,146 2,837,659 2,554,470 2014-11-06 $40.39 $44.00 34.6% 8.6% 57.2% 28.7% 29.7% 1.8% -0.8% -88.4M 5.26B -19.6M 0.57 13.46 N/A N/A 127,051 72,072 2,835,436 2,563,916 2014-11-07 $40.98 $43.00 33.2% 8.4% 57.2% 26.3% 28.7% 1.3% -0.9% -115.1M 4.98B -20.0M 0.48 13.12 N/A N/A 132,582 64,147 2,864,322 2,579,604 2014-11-10 $40.54 $43.00 32.6% 8.4% 55.2% 25.3% 30.2% 0.3% 0.2% -83.1M 5.02B -19.3M 0.51 13.56 N/A N/A 85,051 43,434 2,775,432 2,515,820 2014-11-11 $40.53 $43.00 30.4% 8.0% 54.7% 21.9% 28.5% 1.3% 0.4% -93.4M 5.19B -18.2M 0.40 12.33 N/A N/A 111,653 44,495 2,760,074 2,507,068 2014-11-12 $40.51 $43.00 30.7% 8.1% 51.0% 22.4% 28.6% -0.1% 0.1% -90.4M 5.11B -18.4M 0.64 14.76 N/A N/A 117,527 75,453 2,837,555 2,527,443 2014-11-13 $39.66 $43.00 30.2% 8.0% 49.9% 21.6% 28.3% 1.6% 0.3% -110.8M 5.73B -16.5M 1.61 13.69 N/A N/A 61,203 98,741 2,856,574 2,547,214 2014-11-14 $39.28 $43.00 31.9% 8.3% 47.0% 24.3% 29.2% 0.5% 0.0% -109.8M 5.90B -16.6M 0.77 14.46 N/A N/A 72,818 55,884 2,859,807 2,588,403 2014-11-17 $38.82 $43.00 32.4% 8.3% 45.9% 25.1% 29.6% 0.9% -1.5% -111.7M 6.06B -15.7M 0.65 14.39 N/A N/A 83,736 54,145 2,770,184 2,561,816 2014-11-18 $39.79 $43.00 33.4% 8.2% 44.2% 26.7% 28.6% -0.3% -2.2% -100.0M 5.52B -16.9M 0.49 12.36 N/A N/A 113,860 56,081 2,789,157 2,562,254 2014-11-19 $40.92 $43.00 34.4% 8.3% 45.5% 28.3% 28.6% 0.9% -2.1% -66.5M 4.71B -18.7M 0.31 12.40 N/A N/A 104,719 32,749 2,837,311 2,574,663 2014-11-20 $41.09 $43.00 35.4% 8.4% 43.3% 29.9% 30.4% 1.6% -1.8% -49.2M 4.58B -18.9M 0.90 12.15 N/A N/A 171,031 153,388 2,865,865 2,577,809 2014-11-21 $44.04 $43.00 35.1% 8.2% 47.3% 29.4% 31.0% 3.2% -2.1% 18.6M 2.36B -21.3M 0.51 12.89 N/A N/A 239,751 123,426 2,891,713 2,636,640 2014-11-24 $42.64 $43.00 34.9% 8.3% 43.9% 29.1% 29.0% 2.7% -1.3% -19.2M 2.84B -19.7M 0.39 13.85 N/A N/A 57,041 22,352 2,160,357 2,193,688 2014-11-25 $42.69 $43.00 33.7% 8.2% 40.8% 27.2% 28.9% 1.8% -1.2% -16.7M 2.82B -19.5M 0.55 14.63 N/A N/A 79,531 44,028 2,163,525 2,196,578 2014-11-26 $43.25 $43.00 33.0% 8.2% 40.9% 26.1% 29.3% 3.1% -1.1% -7.4M 2.47B -19.9M 0.58 19.16 N/A N/A 63,272 36,780 2,172,145 2,209,824 2014-11-28 $41.85 $43.00 32.5% 8.3% 40.2% 25.3% 29.1% 2.8% -1.8% -36.3M 3.62B -17.9M 0.86 22.10 N/A N/A 37,191 32,021 2,192,771 2,240,359
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