EWZ Options History — January 2015 In January 2015, EWZ traded between $34.15 and $37.85. ATM implied volatility averaged 33.1%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 0.5% (HV 20d: 32.6%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.91.
Notable Days 2015-01-30 : Highest Volume — 226,881 contracts2015-01-30 : Largest IV spike — 8.7% change2015-01-05 : Highest IV Rank — 30.6%2015-01-30 : Largest Expected Move — 10.3%Monthly Statistics Metric Avg Min Max Open Close Price $35.99 $34.15 $37.85 $35.37 $34.36 Max Pain $39.05 $39.00 $40.00 $40.00 $39.00 ATM IV 33.1% 30.6% 35.8% 33.2% 35.3% Expected Move 9.4% 8.8% 10.3% 9.6% 10.3% HV 20d 32.6% 28.9% 37.6% 31.4% 37.6% HV 60d 40.2% 35.4% 44.3% 43.4% 36.2% IV Rank 26.3% 22.2% 30.6% 26.4% 29.8% IV Percentile 77.5% 63.5% 88.5% 81.7% 86.9% Term Structure -0.3% -1.8% 0.7% -0.4% 0.0% VWIV 33.1% 29.7% 35.8% 33.8% 34.9% Skew 25d 5.2% 3.6% 6.8% 5.4% 6.2% Skew 10d 10.5% 6.7% 14.0% 9.1% 11.0% Call IV 25d 30.9% 28.2% 33.7% 31.1% 32.9% Put IV 25d 36.1% 33.5% 39.1% 36.5% 39.1% Bid-Ask Spread % 7.76 5.79 10.86 5.99 7.01 Gamma HHI 0.12 0.08 0.25 0.12 0.14 Net GEX -39.0M -61.1M -16.4M -47.8M -41.2M Net DEX 3.25B 1.23B 4.71B 4.63B 2.23B Net VEX -10.7M -12.1M -8.9M -9.7M -10.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.91 0.91 4.56 1.19 1.21 Total Volume 103,661.2 14,935 226,881 101,841 226,881 Total OI 2,755,759.05 1,574,687 3,761,799 3,470,209 1,844,451
Daily Data (20 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 2015-01-02 $35.37 $40.00 33.2% 9.6% 31.4% 26.4% 33.8% 5.4% -0.4% -47.8M 4.63B -9.7M 1.19 5.99 N/A N/A 46,464 55,377 1,611,154 1,859,055 2015-01-05 $34.15 $39.00 35.8% 10.0% 32.7% 30.6% 34.5% 4.5% -0.6% -43.7M 4.71B -8.9M 0.94 9.58 N/A N/A 17,841 16,719 1,616,855 1,855,358 2015-01-06 $34.76 $39.00 34.5% 9.8% 33.6% 28.4% 35.1% 4.5% 0.3% -41.3M 4.33B -9.2M 2.00 8.82 N/A N/A 27,014 53,902 1,630,854 1,764,334 2015-01-07 $35.70 $39.00 34.2% 9.5% 33.6% 28.0% 33.1% 3.6% -0.7% -42.2M 4.50B -10.2M 1.91 7.13 N/A N/A 14,037 26,880 1,652,724 1,885,959 2015-01-08 $36.33 $39.00 32.8% 9.4% 34.4% 25.7% 30.8% 3.7% -0.0% -41.0M 4.43B -10.6M 1.46 8.03 N/A N/A 54,862 80,165 1,659,722 1,904,293 2015-01-09 $36.22 $39.00 32.9% 9.4% 33.8% 25.9% 33.2% 5.5% 0.3% -42.3M 4.49B -10.7M 2.46 6.76 N/A N/A 29,539 72,658 1,686,563 1,927,671 2015-01-12 $35.38 $39.00 34.4% 9.9% 34.4% 28.2% 34.1% 6.4% 0.0% -45.7M 4.67B -10.0M 2.61 7.14 N/A N/A 36,314 94,807 1,685,164 1,930,127 2015-01-13 $35.61 $39.00 33.7% 9.3% 33.1% 27.1% 33.0% 5.3% -0.8% -46.6M 4.64B -10.4M 2.30 8.05 N/A N/A 47,884 110,317 1,694,645 1,951,602 2015-01-14 $36.06 $39.00 34.1% 9.5% 30.3% 27.8% 32.6% 5.9% -1.0% -45.6M 4.59B -10.8M 1.17 6.66 N/A N/A 91,031 106,073 1,714,084 1,975,440 2015-01-15 $35.55 $39.00 34.4% 9.4% 29.9% 28.3% 33.6% 4.2% -1.8% -46.6M 4.66B -10.5M 1.05 6.54 N/A N/A 63,082 66,294 1,750,327 1,987,085 2015-01-16 $36.72 $39.00 32.3% 8.9% 28.9% 24.9% 30.5% 4.8% -1.8% -39.9M 4.46B -11.2M 0.91 9.90 N/A N/A 9,147 8,314 1,771,054 1,990,745 2015-01-20 $36.11 $39.00 33.4% 9.5% 29.3% 26.7% 35.8% 6.2% -0.8% -24.8M 1.59B -10.5M 1.70 8.84 N/A N/A 23,323 39,596 618,376 956,311 2015-01-21 $37.31 $39.00 31.5% 9.0% 31.2% 23.7% 29.7% 6.8% -0.2% -21.2M 1.36B -11.4M 1.58 10.86 N/A N/A 23,088 36,432 631,053 980,740 2015-01-22 $37.85 $39.00 30.6% 8.8% 31.1% 22.2% 33.2% 5.3% 0.0% -16.4M 1.23B -11.9M 2.70 7.85 N/A N/A 36,711 99,189 657,295 1,005,952 2015-01-23 $36.85 $39.00 30.8% 8.8% 32.7% 22.5% 33.7% 5.2% 0.7% -61.1M 1.55B -11.6M 4.56 7.70 N/A N/A 20,786 94,772 661,130 1,072,534 2015-01-26 $36.53 $39.00 31.5% 9.1% 32.9% 23.7% 31.5% 5.2% 0.0% -30.8M 1.64B -11.5M 2.35 5.79 N/A N/A 24,025 56,363 660,595 1,080,453 2015-01-27 $36.97 $39.00 31.1% 9.0% 33.1% 23.1% 34.1% 5.3% 0.1% -29.5M 1.62B -12.1M 3.34 6.89 N/A N/A 3,441 11,494 680,229 1,125,201 2015-01-28 $36.03 $39.00 33.5% 9.5% 34.4% 26.8% 31.8% 5.0% -0.3% -35.6M 1.82B -11.4M 1.56 7.84 N/A N/A 53,753 83,683 678,422 1,122,432 2015-01-29 $35.94 $39.00 32.5% 9.2% 34.3% 25.3% 32.0% 5.9% 0.2% -37.4M 1.88B -11.3M 1.29 7.76 N/A N/A 48,556 62,410 697,109 1,138,083 2015-01-30 $34.36 $39.00 35.3% 10.3% 37.6% 29.8% 34.9% 6.2% 0.0% -41.2M 2.23B -10.3M 1.21 7.01 N/A N/A 102,616 124,265 698,449 1,146,002
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