EWZ Options History — March 2015 In March 2015, EWZ traded between $29.31 and $34.48. ATM implied volatility averaged 35.4%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 2.6% (HV 20d: 32.8%). Max pain ranged from $33.00 to $38.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.30.
Notable Days 2015-03-30 : Highest Volume — 267,052 contracts2015-03-13 : Largest IV spike — 9.4% change2015-03-13 : Highest IV Rank — 35.2%2015-03-13 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $31.41 $29.31 $34.48 $34.48 $31.35 Max Pain $34.00 $33.00 $38.00 $38.00 $33.00 ATM IV 35.4% 32.4% 38.8% 32.6% 32.6% Expected Move 10.2% 9.3% 11.1% 9.6% 9.3% HV 20d 32.8% 25.8% 39.0% 30.1% 39.0% HV 60d 33.2% 31.8% 35.3% 32.4% 34.7% IV Rank 29.8% 25.1% 35.2% 25.5% 25.5% IV Percentile 80.4% 61.5% 90.5% 68.7% 61.5% Term Structure -0.3% -1.5% 0.8% -0.9% 0.2% VWIV 35.8% 32.0% 40.3% 33.9% 33.2% Skew 25d 5.0% 3.7% 6.5% 5.4% 5.3% Skew 10d 9.5% 5.9% 12.9% 8.9% 10.9% Call IV 25d 33.3% 30.1% 36.9% 30.1% 30.8% Put IV 25d 38.3% 34.5% 42.2% 35.5% 36.1% Bid-Ask Spread % 6.18 3.67 8.59 5.75 4.75 Gamma HHI 0.10 0.06 0.26 0.10 0.08 Net GEX -29.9M -49.0M 3.7M -38.6M -19.3M Net DEX 2.48B 1.89B 3.05B 2.09B 2.19B Net VEX -10.7M -12.4M -8.8M -11.9M -11.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.30 0.28 3.97 2.35 0.95 Total Volume 114,970.227 18,069 267,052 114,533 262,356 Total OI 2,238,406.773 2,025,632 2,536,787 2,025,632 2,276,234
Daily Data (22 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 2015-03-02 $34.48 $38.00 32.6% 9.6% 30.1% 25.5% 33.9% 5.4% -0.9% -38.6M 2.09B -11.9M 2.35 5.75 N/A N/A 34,195 80,338 773,804 1,251,828 2015-03-03 $34.19 $38.00 32.4% 9.7% 30.0% 25.1% 34.0% 4.0% -0.4% -43.4M 2.17B -11.8M 1.17 6.62 N/A N/A 62,393 73,018 776,379 1,268,020 2015-03-04 $33.28 $38.00 33.0% 9.8% 29.6% 26.1% 34.8% 5.8% -0.7% -48.2M 2.41B -11.1M 0.94 3.67 N/A N/A 66,145 62,392 794,763 1,278,933 2015-03-05 $32.83 $34.00 32.5% 9.3% 29.8% 25.3% 32.0% 6.5% -0.2% -48.3M 2.46B -10.7M 0.69 8.59 N/A N/A 43,421 30,177 819,297 1,271,010 2015-03-06 $31.94 $34.00 34.0% 9.7% 30.7% 27.7% 32.5% 5.1% -0.9% -46.7M 2.62B -9.9M 0.81 5.62 N/A N/A 87,040 70,094 822,258 1,272,698 2015-03-09 $30.77 $34.00 35.9% 10.3% 31.6% 30.6% 36.3% 3.7% 0.4% -44.6M 2.81B -9.1M 1.46 5.20 N/A N/A 44,352 64,934 847,684 1,305,504 2015-03-10 $30.46 $34.00 37.9% 10.8% 30.8% 33.9% 36.2% 3.8% -0.2% -46.0M 2.83B -9.2M 1.24 6.78 N/A N/A 48,592 60,259 878,521 1,322,495 2015-03-11 $30.61 $34.00 36.1% 10.2% 29.5% 31.1% 36.3% 5.2% -0.9% -49.0M 2.84B -9.5M 1.90 6.16 N/A N/A 27,430 52,003 916,632 1,353,732 2015-03-12 $30.36 $34.00 35.4% 10.4% 29.2% 29.9% 35.4% 3.7% 0.8% -48.8M 2.93B -9.6M 1.40 5.95 N/A N/A 34,360 48,098 936,663 1,377,506 2015-03-13 $29.31 $34.00 38.8% 11.1% 26.6% 35.2% 39.1% 5.8% -0.4% -27.5M 3.05B -8.8M 1.69 6.24 N/A N/A 51,102 86,401 963,206 1,400,298 2015-03-16 $29.52 $33.00 37.9% 10.8% 25.8% 33.9% 38.6% 4.2% 0.3% -28.1M 2.88B -9.3M 0.79 6.03 N/A N/A 53,813 42,658 968,899 1,392,143 2015-03-17 $30.46 $33.00 37.4% 10.7% 28.9% 33.1% 36.6% 5.0% -0.4% -29.4M 2.79B -10.1M 0.69 6.50 N/A N/A 108,416 75,195 998,208 1,405,264 2015-03-18 $31.34 $33.00 36.7% 10.5% 31.5% 31.9% 35.9% 5.4% -1.5% -28.6M 2.70B -11.1M 0.66 8.43 N/A N/A 24,800 16,262 1,065,137 1,428,139 2015-03-19 $30.22 $33.00 37.1% 10.6% 33.3% 32.5% 38.7% 5.2% 0.2% -23.1M 2.87B -10.4M 1.50 6.31 N/A N/A 22,447 33,652 1,078,472 1,434,772 2015-03-20 $31.54 $33.00 34.3% 9.8% 37.7% 28.1% 33.8% 4.6% 0.5% 3.7M 2.67B -11.4M 0.28 6.23 N/A N/A 76,412 21,032 1,084,550 1,452,237 2015-03-23 $32.17 $33.00 34.9% 10.1% 38.7% 29.1% 34.8% 5.8% -0.3% -14.6M 1.91B -12.0M 0.50 6.81 N/A N/A 55,106 27,545 890,137 1,204,121 2015-03-24 $32.15 $33.00 34.9% 10.1% 37.2% 29.1% 35.8% 5.8% -0.2% -11.4M 1.89B -12.4M 1.84 5.62 N/A N/A 6,368 11,701 932,200 1,227,534 2015-03-25 $31.64 $33.00 37.0% 10.9% 37.3% 32.4% 40.3% 4.0% -0.3% -12.7M 1.93B -12.0M 3.97 6.70 N/A N/A 10,548 41,872 934,010 1,229,863 2015-03-26 $30.98 $33.00 36.7% 10.5% 37.7% 32.0% 39.7% 5.3% -0.4% -16.6M 2.11B -11.5M 0.93 6.54 N/A N/A 101,838 94,519 941,595 1,250,046 2015-03-27 $30.29 $33.00 35.1% 10.1% 37.5% 29.4% 35.5% 4.5% -0.5% -18.6M 2.27B -10.7M 1.80 5.62 N/A N/A 17,499 31,510 948,062 1,259,667 2015-03-30 $31.11 $33.00 34.6% 9.8% 38.8% 28.6% 34.8% 5.6% -0.3% -18.2M 2.16B -11.3M 0.96 5.84 N/A N/A 136,022 131,030 943,371 1,269,057 2015-03-31 $31.35 $33.00 32.6% 9.3% 39.0% 25.5% 33.2% 5.3% 0.2% -19.3M 2.19B -11.8M 0.95 4.75 N/A N/A 134,738 127,618 960,724 1,315,510
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