EWZ Options History — February 2015 In February 2015, EWZ traded between $33.22 and $35.70. ATM implied volatility averaged 33.7%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 1.1% (HV 20d: 34.9%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.38.
Notable Days 2015-02-13 : Highest Volume — 173,060 contracts2015-02-12 : Largest IV drop — 6.2% change2015-02-11 : Highest IV Rank — 33.9%2015-02-11 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $34.93 $33.22 $35.70 $34.71 $35.37 Max Pain $37.89 $37.00 $38.00 $38.00 $38.00 ATM IV 33.7% 30.1% 37.9% 35.5% 30.1% Expected Move 9.9% 8.8% 11.0% 10.6% 8.8% HV 20d 34.9% 32.4% 38.5% 36.1% 32.9% HV 60d 35.5% 32.1% 37.6% 36.2% 32.1% IV Rank 27.2% 21.4% 33.9% 30.1% 21.4% IV Percentile 75.8% 52.0% 89.7% 88.1% 52.0% Term Structure -0.1% -2.1% 1.4% -0.4% -0.0% VWIV 34.8% 31.3% 39.4% 36.4% 31.3% Skew 25d 6.5% 4.5% 7.9% 7.9% 5.7% Skew 10d 13.6% 9.8% 16.3% 14.4% 9.8% Call IV 25d 30.9% 28.4% 34.0% 31.7% 28.4% Put IV 25d 37.3% 34.0% 41.1% 39.5% 34.1% Bid-Ask Spread % 5.80 3.86 8.84 6.91 5.35 Gamma HHI 0.11 0.08 0.15 0.13 0.09 Net GEX -33.7M -39.8M -26.5M -39.8M -35.0M Net DEX 2.04B 1.79B 2.44B 2.13B 1.89B Net VEX -11.7M -12.7M -10.2M -10.9M -12.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.38 0.35 3.22 0.35 1.36 Total Volume 121,322.632 51,791 173,060 56,884 125,184 Total OI 2,057,449.421 1,898,666 2,268,131 1,898,666 2,062,941
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 2015-02-02 $34.71 $38.00 35.5% 10.6% 36.1% 30.1% 36.4% 7.9% -0.4% -39.8M 2.13B -10.9M 0.35 6.91 N/A N/A 42,006 14,878 734,342 1,164,324 2015-02-03 $35.62 $37.00 33.5% 9.6% 34.9% 26.9% 35.4% 6.1% -0.0% -30.5M 1.85B -11.6M 0.74 6.24 N/A N/A 62,776 46,501 769,656 1,163,705 2015-02-04 $35.28 $37.00 33.8% 9.8% 34.7% 27.3% 36.8% 5.9% -0.0% -30.5M 1.90B -11.3M 0.67 6.70 N/A N/A 74,847 49,846 785,457 1,161,437 2015-02-05 $35.49 $38.00 33.5% 9.9% 33.4% 26.9% 32.7% 7.3% -0.3% -29.6M 1.88B -11.5M 0.63 5.80 N/A N/A 66,162 41,697 803,882 1,175,783 2015-02-06 $34.45 $38.00 34.5% 10.4% 34.2% 28.5% 35.9% 7.1% 0.1% -36.3M 2.12B -10.7M 1.02 7.00 N/A N/A 63,880 64,989 809,006 1,171,583 2015-02-09 $34.93 $38.00 34.2% 10.2% 34.7% 28.0% 34.8% 7.2% 1.1% -31.6M 2.01B -11.1M 0.84 8.84 N/A N/A 56,566 47,598 821,424 1,193,105 2015-02-10 $33.83 $38.00 35.7% 10.5% 35.6% 30.4% 35.9% 7.4% 0.9% -36.0M 2.26B -10.6M 1.64 6.98 N/A N/A 49,186 80,656 838,924 1,201,035 2015-02-11 $33.22 $38.00 37.9% 11.0% 35.8% 33.9% 39.4% 7.1% 0.2% -38.3M 2.44B -10.2M 3.22 3.86 N/A N/A 36,818 118,701 851,784 1,232,620 2015-02-12 $34.48 $38.00 35.5% 10.5% 38.3% 30.1% 38.6% 7.3% 1.4% -39.3M 2.20B -11.2M 1.44 5.33 N/A N/A 45,630 65,600 854,193 1,287,967 2015-02-13 $35.01 $38.00 34.1% 9.9% 38.5% 27.8% 35.4% 6.6% 1.0% -30.0M 2.05B -11.8M 1.89 5.75 N/A N/A 59,780 113,280 866,264 1,307,801 2015-02-17 $35.33 $38.00 35.0% 10.1% 36.7% 29.3% 32.8% 7.3% -1.7% -32.7M 2.03B -12.5M 1.71 4.92 N/A N/A 46,801 79,882 863,828 1,347,157 2015-02-18 $35.36 $38.00 35.6% 10.2% 36.3% 30.3% 33.4% 6.3% -2.1% -30.7M 1.97B -12.5M 2.13 5.53 N/A N/A 49,343 105,343 872,086 1,345,132 2015-02-19 $34.98 $38.00 33.8% 9.7% 34.1% 27.4% 36.8% 6.1% -0.9% -36.8M 2.09B -12.3M 0.82 5.13 N/A N/A 28,387 23,404 890,971 1,359,093 2015-02-20 $34.86 $38.00 31.8% 9.2% 33.5% 24.2% 32.0% 5.8% -0.7% -37.9M 2.14B -12.3M 0.81 4.73 N/A N/A 44,492 35,906 907,969 1,360,162 2015-02-23 $34.82 $38.00 31.7% 9.2% 32.4% 24.0% 35.8% 5.6% -0.3% -34.9M 1.98B -12.3M 1.80 6.44 N/A N/A 53,140 95,487 733,678 1,211,938 2015-02-24 $35.70 $38.00 31.4% 9.2% 33.8% 23.5% 31.9% 6.1% -0.2% -26.5M 1.79B -12.5M 2.18 4.41 N/A N/A 39,056 85,217 738,095 1,211,104 2015-02-25 $35.21 $38.00 31.7% 9.2% 33.7% 23.9% 32.7% 5.9% -0.1% -30.9M 1.95B -12.3M 0.89 4.95 N/A N/A 69,234 61,325 754,758 1,223,493 2015-02-26 $34.95 $38.00 31.1% 9.1% 32.6% 23.0% 33.7% 4.5% 0.5% -32.7M 2.00B -12.3M 1.99 5.29 N/A N/A 53,956 107,576 777,144 1,237,698 2015-02-27 $35.37 $38.00 30.1% 8.8% 32.9% 21.4% 31.3% 5.7% -0.0% -35.0M 1.89B -12.7M 1.36 5.35 N/A N/A 52,990 72,194 790,533 1,272,408
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