EWZ Options History — May 2015 In May 2015, EWZ traded between $32.35 and $37.19. ATM implied volatility averaged 29.6%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 6.0% (HV 20d: 23.6%). Max pain ranged from $34.50 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.48.
Notable Days 2015-05-26 : Highest Volume — 248,756 contracts2015-05-26 : Largest IV spike — 13.4% change2015-05-26 : Highest IV Rank — 24.9%2015-05-06 : Largest Expected Move — 8.9%Monthly Statistics Metric Avg Min Max Open Close Price $35.52 $32.35 $37.19 $36.19 $32.35 Max Pain $39.73 $34.50 $40.00 $34.50 $40.00 ATM IV 29.6% 27.2% 32.8% 29.8% 32.6% Expected Move 8.4% 7.9% 8.9% 8.6% 8.4% HV 20d 23.6% 21.9% 25.7% 23.7% 25.7% HV 60d 31.0% 30.1% 32.1% 32.1% 31.3% IV Rank 20.1% 16.9% 24.9% 21.1% 20.9% IV Percentile 38.7% 30.6% 60.3% 37.7% 57.1% Term Structure 0.4% -1.7% 2.6% 0.2% -1.7% VWIV 30.1% 27.0% 34.7% 30.5% 29.8% Skew 25d 3.7% 1.0% 4.6% 4.6% 1.0% Skew 10d 7.0% 1.9% 9.9% 7.2% 1.9% Call IV 25d 27.9% 25.8% 31.9% 27.9% 31.9% Put IV 25d 31.6% 28.6% 33.6% 32.5% 32.9% Bid-Ask Spread % 5.05 3.88 6.88 5.59 3.92 Gamma HHI 0.08 0.06 0.11 0.06 0.09 Net GEX -27.9M -56.8M -7.0M -15.4M -49.0M Net DEX 1.94B 1.25B 3.23B 1.55B 3.23B Net VEX -14.8M -16.0M -12.5M -16.0M -12.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.48 0.60 2.54 1.74 1.22 Total Volume 136,671.6 17,890 248,756 129,378 197,932 Total OI 2,632,579.7 2,499,899 2,843,820 2,583,045 2,843,820
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 2015-05-01 $36.19 $34.50 29.8% 8.6% 23.7% 21.1% 30.5% 4.6% 0.2% -15.4M 1.55B -16.0M 1.74 5.59 N/A N/A 47,146 82,232 1,091,614 1,491,431 2015-05-04 $36.13 $40.00 29.7% 8.8% 23.4% 20.8% 31.1% 4.5% 0.5% -18.0M 1.61B -15.8M 2.32 6.02 N/A N/A 5,386 12,504 1,073,940 1,483,189 2015-05-05 $36.62 $40.00 30.1% 8.6% 23.4% 21.5% 32.7% 4.6% 0.2% -14.7M 1.45B -15.8M 1.85 5.77 N/A N/A 46,204 85,672 1,074,917 1,493,425 2015-05-06 $36.27 $40.00 30.4% 8.9% 22.9% 22.0% 34.7% 4.5% 0.0% -20.6M 1.54B -15.8M 2.11 4.91 N/A N/A 47,950 101,299 1,075,578 1,509,999 2015-05-07 $36.44 $40.00 30.3% 8.9% 22.7% 21.7% 33.5% 4.2% -0.2% -18.1M 1.50B -15.6M 1.65 5.03 N/A N/A 45,973 75,803 1,083,767 1,506,966 2015-05-08 $37.19 $40.00 28.3% 8.2% 23.5% 18.6% 30.0% 4.3% 0.1% -8.8M 1.25B -15.9M 2.54 4.97 N/A N/A 9,260 23,536 1,084,390 1,504,930 2015-05-11 $36.37 $40.00 29.4% 8.6% 24.0% 20.4% 29.2% 4.2% 0.5% -18.1M 1.51B -15.3M 0.60 4.03 N/A N/A 55,939 33,559 1,076,761 1,494,712 2015-05-12 $36.50 $40.00 29.2% 8.5% 23.5% 20.0% 29.5% 3.8% 0.7% -15.7M 1.50B -15.4M 1.18 4.64 N/A N/A 59,897 70,645 1,121,582 1,517,902 2015-05-13 $36.09 $40.00 29.0% 8.3% 22.6% 19.7% 29.2% 4.3% -0.5% -21.9M 1.65B -15.1M 0.99 5.38 N/A N/A 93,410 92,072 1,126,985 1,528,130 2015-05-14 $36.78 $40.00 27.8% 8.0% 23.5% 17.8% 34.2% 3.9% 0.2% -11.4M 1.39B -15.7M 1.32 4.66 N/A N/A 64,605 85,583 1,154,305 1,542,198 2015-05-15 $37.09 $40.00 27.2% 7.9% 22.0% 16.9% 27.8% 3.9% 0.6% -7.0M 1.29B -15.8M 1.28 4.65 N/A N/A 62,853 80,513 1,156,736 1,560,043 2015-05-18 $36.13 $40.00 28.3% 8.1% 24.4% 18.6% 29.1% 3.9% 2.0% -26.3M 1.82B -14.9M 1.95 6.88 N/A N/A 15,812 30,807 1,025,583 1,474,316 2015-05-19 $35.54 $40.00 28.4% 8.1% 25.3% 18.8% 27.9% 3.3% 2.2% -36.4M 2.04B -14.5M 1.50 5.70 N/A N/A 32,488 48,778 1,028,488 1,490,572 2015-05-20 $35.62 $40.00 28.3% 8.1% 23.5% 18.6% 28.5% 2.5% 2.4% -38.7M 2.04B -14.8M 0.72 5.63 N/A N/A 89,018 64,217 1,042,337 1,528,424 2015-05-21 $35.23 $40.00 27.9% 7.9% 22.2% 18.0% 27.0% 2.3% 2.3% -44.3M 2.18B -14.5M 1.08 5.66 N/A N/A 56,107 60,391 1,059,876 1,536,042 2015-05-22 $34.22 $40.00 28.5% 7.9% 21.9% 18.9% 27.5% 2.2% 2.6% -38.6M 2.47B -13.8M 1.43 4.90 N/A N/A 97,606 139,388 1,070,973 1,538,556 2015-05-26 $33.10 $40.00 32.3% 8.7% 24.2% 24.9% 30.3% 3.4% -1.2% -46.6M 2.79B -13.1M 1.53 3.88 N/A N/A 98,228 150,528 1,088,825 1,567,440 2015-05-27 $33.44 $40.00 32.4% 8.4% 24.8% 20.6% 30.6% 4.5% -1.3% -51.7M 2.88B -13.2M 1.51 4.75 N/A N/A 74,391 112,289 1,135,635 1,634,415 2015-05-28 $33.15 $40.00 32.8% 8.5% 24.7% 21.2% 29.3% 3.6% -1.3% -56.8M 3.03B -13.1M 1.05 3.99 N/A N/A 89,300 94,111 1,155,845 1,676,947 2015-05-29 $32.35 $40.00 32.6% 8.4% 25.7% 20.9% 29.8% 1.0% -1.7% -49.0M 3.23B -12.5M 1.22 3.92 N/A N/A 89,058 108,874 1,159,619 1,684,201
« Apr 2015 | All History | Jun 2015 » Home EWZ History May 2015