EWZ Options History — April 2015 In April 2015, EWZ traded between $32.24 and $37.15. ATM implied volatility averaged 32.1%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 0.3% (HV 20d: 32.4%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.03.
Notable Days 2015-04-02 : Highest Volume — 258,795 contracts2015-04-22 : Largest IV drop — 4.2% change2015-04-01 : Highest IV Rank — 28.7%2015-04-01 : Largest Expected Move — 10.4%Monthly Statistics Metric Avg Min Max Open Close Price $34.89 $32.24 $37.15 $32.24 $36.17 Max Pain $32.62 $32.00 $34.00 $33.00 $34.00 ATM IV 32.1% 29.5% 34.7% 34.7% 31.0% Expected Move 9.2% 8.5% 10.4% 10.4% 9.0% HV 20d 32.4% 24.9% 40.8% 39.7% 25.2% HV 60d 33.9% 32.2% 34.9% 34.6% 32.2% IV Rank 24.6% 20.5% 28.7% 28.7% 22.9% IV Percentile 54.7% 38.1% 77.0% 77.0% 42.9% Term Structure -0.1% -0.8% 0.6% -0.3% -0.1% VWIV 32.3% 28.1% 35.9% 35.9% 32.5% Skew 25d 4.6% 2.9% 6.4% 3.9% 4.9% Skew 10d 9.4% 7.1% 13.3% 7.9% 9.1% Call IV 25d 30.2% 27.2% 32.5% 32.5% 28.7% Put IV 25d 34.8% 32.1% 37.5% 36.4% 33.6% Bid-Ask Spread % 6.67 4.47 9.54 5.71 5.16 Gamma HHI 0.07 0.05 0.12 0.07 0.05 Net GEX -8.7M -18.5M 7.1M -18.5M -10.0M Net DEX 1.56B 1.09B 2.00B 2.00B 1.52B Net VEX -14.9M -16.5M -12.8M -12.8M -15.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.03 0.63 1.57 0.80 1.52 Total Volume 182,321.667 43,268 258,795 245,502 211,857 Total OI 2,462,602.143 2,322,207 2,594,889 2,322,207 2,532,265
Daily Data (21 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 2015-04-01 $32.24 $33.00 34.7% 10.4% 39.7% 28.7% 35.9% 3.9% -0.3% -18.5M 2.00B -12.8M 0.80 5.71 N/A N/A 136,413 109,089 966,712 1,355,495 2015-04-02 $33.19 $32.00 34.4% 9.7% 40.8% 28.3% 32.0% 5.2% -0.4% -14.7M 1.76B -13.9M 1.03 8.88 N/A N/A 127,281 131,514 997,188 1,394,245 2015-04-06 $33.72 $32.00 34.3% 9.8% 39.8% 28.1% 32.4% 4.3% -0.1% -11.0M 1.66B -14.1M 0.71 8.94 N/A N/A 132,624 94,167 1,001,205 1,376,952 2015-04-07 $33.53 $32.00 33.5% 9.6% 37.0% 26.9% 31.7% 4.4% 0.3% -13.4M 1.76B -14.1M 0.67 9.54 N/A N/A 122,133 82,012 1,026,815 1,398,904 2015-04-08 $34.27 $32.00 32.2% 9.3% 37.1% 24.8% 33.6% 4.6% 0.2% -7.7M 1.54B -14.5M 0.81 8.57 N/A N/A 23,896 19,372 1,028,931 1,403,606 2015-04-09 $34.12 $32.00 33.0% 9.5% 37.3% 26.1% 32.8% 4.7% 0.0% -9.9M 1.60B -14.5M 0.85 9.34 N/A N/A 109,902 93,216 1,036,466 1,414,498 2015-04-10 $34.45 $32.00 32.1% 9.3% 37.0% 24.7% 31.2% 6.4% 0.2% -10.0M 1.60B -14.4M 0.86 8.25 N/A N/A 99,894 85,455 1,044,219 1,435,410 2015-04-13 $33.83 $32.00 33.2% 9.5% 34.9% 26.4% 33.2% 4.2% 0.2% -12.2M 1.73B -14.1M 0.78 7.05 N/A N/A 104,130 80,775 1,045,680 1,427,969 2015-04-14 $34.38 $32.00 32.6% 9.3% 35.0% 25.4% 33.8% 4.7% 0.2% -7.7M 1.62B -14.4M 0.66 7.07 N/A N/A 127,341 83,481 1,058,527 1,447,930 2015-04-15 $35.24 $32.00 32.6% 9.4% 34.5% 25.5% 33.0% 5.3% -0.2% 3.2M 1.36B -15.0M 0.80 6.06 N/A N/A 98,351 79,048 1,079,074 1,453,717 2015-04-16 $35.26 $32.50 31.4% 9.0% 33.6% 23.6% 32.5% 4.5% -0.1% 7.1M 1.31B -15.0M 0.96 6.78 N/A N/A 95,866 91,782 1,088,219 1,462,966 2015-04-17 $34.56 $32.50 32.5% 9.3% 31.3% 25.3% 33.8% 4.5% 0.6% -11.4M 1.53B -14.8M 1.44 6.26 N/A N/A 78,850 113,759 1,117,104 1,477,785 2015-04-20 $34.51 $33.00 32.7% 9.4% 28.4% 25.6% 33.3% 5.1% -0.8% -14.3M 1.80B -14.6M 1.47 4.93 N/A N/A 68,056 100,328 999,853 1,374,653 2015-04-21 $34.47 $33.00 32.5% 9.3% 27.8% 25.3% 34.1% 2.9% -0.5% -17.3M 1.83B -14.7M 1.32 5.71 N/A N/A 79,945 105,569 992,353 1,392,805 2015-04-22 $35.39 $33.00 31.1% 8.9% 28.9% 23.1% 30.0% 4.4% -0.7% -14.6M 1.65B -15.2M 1.02 5.97 N/A N/A 108,633 110,628 999,345 1,406,796 2015-04-23 $36.21 $33.00 30.1% 8.5% 28.5% 21.5% 30.2% 4.5% -0.3% 3.7M 1.44B -15.8M 1.52 4.47 N/A N/A 59,425 90,194 1,031,252 1,431,184 2015-04-24 $37.15 $33.00 29.6% 8.5% 27.3% 20.6% 28.1% 5.6% -0.4% -7.8M 1.09B -16.5M 0.63 5.24 N/A N/A 127,126 80,218 1,048,894 1,443,318 2015-04-27 $36.83 $33.00 29.9% 8.7% 25.5% 21.1% 31.4% 3.8% -0.1% -3.6M 1.23B -16.3M 1.57 5.14 N/A N/A 50,148 78,664 1,070,728 1,424,050 2015-04-28 $36.83 $33.00 29.5% 8.7% 24.9% 20.5% 30.8% 3.6% 0.2% -5.2M 1.26B -16.2M 1.01 5.40 N/A N/A 64,027 64,874 1,070,674 1,430,289 2015-04-29 $36.43 $34.00 30.5% 8.9% 25.9% 22.1% 31.8% 4.5% -0.1% -7.4M 1.42B -16.0M 1.24 5.57 N/A N/A 48,545 60,167 1,082,773 1,443,796 2015-04-30 $36.17 $34.00 31.0% 9.0% 25.2% 22.9% 32.5% 4.9% -0.1% -10.0M 1.52B -15.8M 1.52 5.16 N/A N/A 83,987 127,870 1,085,391 1,446,874
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