EWZ Options History — June 2015 In June 2015, EWZ traded between $32.49 and $34.52. ATM implied volatility averaged 29.0%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.6% (HV 20d: 26.4%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.04.
Notable Days 2015-06-12 : Highest Volume — 208,587 contracts2015-06-25 : Largest IV spike — 14.0% change2015-06-01 : Highest IV Rank — 20.5%2015-06-15 : Largest Expected Move — 8.7%Monthly Statistics Metric Avg Min Max Open Close Price $33.35 $32.49 $34.52 $32.49 $32.70 Max Pain $38.23 $37.00 $40.00 $40.00 $38.00 ATM IV 29.0% 24.6% 32.3% 32.3% 28.6% Expected Move 8.2% 7.1% 8.7% 8.6% 8.6% HV 20d 26.4% 22.8% 29.3% 25.8% 22.8% HV 60d 28.0% 25.3% 31.4% 31.2% 25.3% IV Rank 14.8% 7.0% 20.5% 20.5% 13.7% IV Percentile 30.4% 15.1% 52.0% 52.0% 25.4% Term Structure -0.3% -1.4% 1.1% -1.2% -0.1% VWIV 29.2% 24.8% 36.1% 29.9% 31.0% Skew 25d 3.9% 1.6% 5.7% 4.1% 4.1% Skew 10d 6.6% 1.7% 9.5% 6.4% 8.2% Call IV 25d 27.2% 24.6% 29.6% 29.2% 26.5% Put IV 25d 31.1% 26.2% 33.2% 33.2% 30.6% Bid-Ask Spread % 5.02 3.30 6.52 4.27 4.68 Gamma HHI 0.10 0.07 0.17 0.09 0.08 Net GEX -45.1M -56.6M -27.6M -49.8M -30.6M Net DEX 2.70B 2.01B 3.12B 3.12B 2.31B Net VEX -12.3M -13.1M -11.3M -12.4M -11.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.04 0.72 1.44 1.00 1.44 Total Volume 147,463.545 31,131 208,587 183,875 128,640 Total OI 2,675,544.045 2,130,607 2,975,990 2,831,740 2,239,524
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 2015-06-01 $32.49 $40.00 32.3% 8.6% 25.8% 20.5% 29.9% 4.1% -1.2% -49.8M 3.12B -12.4M 1.00 4.27 N/A N/A 91,808 92,067 1,163,046 1,668,694 2015-06-02 $33.59 $40.00 31.5% 8.5% 29.3% 19.1% 29.5% 4.4% -1.2% -47.6M 2.82B -13.1M 1.22 4.25 N/A N/A 14,012 17,119 1,168,744 1,674,405 2015-06-03 $33.22 $40.00 30.8% 8.3% 28.6% 17.8% 28.9% 2.9% -1.2% -48.6M 2.91B -12.9M 1.23 4.44 N/A N/A 57,163 70,173 1,176,074 1,680,467 2015-06-04 $32.80 $38.00 31.2% 8.6% 28.7% 18.5% 30.2% 3.0% -1.0% -49.8M 3.07B -12.5M 1.05 5.74 N/A N/A 61,703 64,562 1,176,902 1,681,426 2015-06-05 $32.75 $38.00 31.3% 8.6% 28.5% 18.7% 31.2% 3.9% -1.4% -52.9M 3.12B -12.2M 1.11 4.87 N/A N/A 72,031 79,952 1,177,160 1,687,837 2015-06-08 $33.15 $38.00 30.5% 8.6% 27.7% 17.4% 36.1% 4.1% -0.1% -54.0M 2.99B -12.4M 1.26 5.25 N/A N/A 61,250 77,362 1,172,018 1,690,146 2015-06-09 $33.13 $38.00 30.1% 8.5% 27.0% 16.7% 29.8% 3.3% -0.5% -54.6M 2.99B -12.5M 0.96 5.43 N/A N/A 58,825 56,696 1,175,716 1,698,004 2015-06-10 $33.58 $38.00 29.3% 8.2% 27.7% 15.3% 28.9% 2.9% -0.8% -55.5M 2.84B -12.7M 0.84 4.73 N/A N/A 78,810 66,523 1,175,353 1,698,698 2015-06-11 $33.63 $38.00 29.4% 8.3% 27.6% 15.6% 29.2% 5.7% -0.9% -56.6M 2.92B -12.5M 0.86 6.47 N/A N/A 75,205 64,629 1,194,325 1,716,452 2015-06-12 $33.35 $38.00 29.4% 8.5% 26.3% 15.6% 31.4% 4.4% 1.1% -54.9M 3.01B -12.2M 0.74 6.52 N/A N/A 119,682 88,905 1,194,795 1,719,979 2015-06-15 $33.14 $38.00 30.4% 8.7% 25.8% 17.2% 30.1% 5.0% -1.3% -54.9M 3.03B -12.1M 0.72 4.41 N/A N/A 113,892 82,498 1,215,190 1,711,281 2015-06-16 $33.80 $38.00 29.2% 8.4% 26.1% 15.2% 29.8% 4.8% 0.1% -51.4M 2.80B -12.5M 1.10 4.46 N/A N/A 91,491 101,095 1,220,349 1,708,877 2015-06-17 $33.91 $37.00 28.3% 8.1% 25.8% 13.7% 29.2% 4.3% -0.4% -54.0M 2.80B -12.5M 0.86 5.46 N/A N/A 82,093 70,290 1,228,261 1,719,236 2015-06-18 $34.52 $37.00 27.1% 7.7% 26.7% 11.6% 28.2% 3.7% 0.4% -49.7M 2.56B -12.7M 0.85 4.64 N/A N/A 100,808 86,180 1,228,344 1,718,024 2015-06-19 $33.73 $38.00 27.2% 7.8% 27.6% 11.9% 26.9% 4.5% 1.1% -30.3M 2.95B -12.3M 0.82 6.27 N/A N/A 112,877 92,764 1,242,001 1,733,989 2015-06-22 $34.08 $37.00 27.3% 7.7% 26.0% 12.0% 25.9% 3.6% -0.2% -27.6M 2.01B -12.3M 1.20 4.73 N/A N/A 60,141 72,019 850,213 1,280,394 2015-06-23 $34.09 $37.00 25.9% 7.4% 22.9% 9.2% 25.5% 3.9% 0.3% -28.3M 2.06B -12.1M 1.26 4.45 N/A N/A 62,145 78,043 864,204 1,296,136 2015-06-24 $33.90 $39.00 24.6% 7.1% 22.8% 7.0% 24.8% 1.6% 0.5% -32.7M 2.12B -11.8M 1.18 5.84 N/A N/A 70,806 83,478 881,118 1,317,051 2015-06-25 $32.65 $40.00 28.1% 8.3% 26.4% 12.9% 28.2% 3.8% -0.0% -35.4M 2.32B -11.5M 1.14 3.30 N/A N/A 70,460 79,983 893,449 1,337,692 2015-06-26 $33.05 $38.00 27.7% 8.0% 25.2% 12.2% 27.6% 4.2% -0.4% -42.5M 2.27B -11.8M 0.96 5.27 N/A N/A 60,777 58,452 904,275 1,351,324 2015-06-29 $32.54 $38.00 28.9% 8.6% 25.8% 14.2% 30.1% 4.3% -0.2% -30.1M 2.35B -11.3M 1.15 4.92 N/A N/A 54,388 62,401 908,294 1,322,502 2015-06-30 $32.70 $38.00 28.6% 8.6% 22.8% 13.7% 31.0% 4.1% -0.1% -30.6M 2.31B -11.4M 1.44 4.68 N/A N/A 52,747 75,893 910,672 1,328,852
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