EWZ Options History — July 2015 In July 2015, EWZ traded between $28.03 and $32.91. ATM implied volatility averaged 30.9%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 2.8% (HV 20d: 28.2%). Max pain ranged from $32.00 to $38.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.30.
Notable Days 2015-07-28 : Highest Volume — 314,407 contracts2015-07-23 : Largest IV spike — 10.5% change2015-07-27 : Highest IV Rank — 28.0%2015-07-27 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $30.81 $28.03 $32.91 $32.35 $28.67 Max Pain $32.82 $32.00 $38.00 $38.00 $32.00 ATM IV 30.9% 26.7% 38.1% 27.7% 34.1% Expected Move 8.9% 7.8% 11.0% 8.3% 9.6% HV 20d 28.2% 22.8% 31.8% 22.8% 30.9% HV 60d 26.3% 24.9% 27.8% 25.4% 27.8% IV Rank 16.7% 10.5% 28.0% 12.2% 21.0% IV Percentile 42.9% 14.7% 89.7% 21.0% 69.0% Term Structure -0.1% -0.8% 0.7% 0.3% -0.4% VWIV 31.5% 27.1% 39.0% 28.7% 33.8% Skew 25d 4.3% 2.4% 6.2% 3.3% 4.5% Skew 10d 7.8% 4.2% 13.7% 6.1% 7.3% Call IV 25d 29.3% 24.9% 36.4% 26.6% 32.4% Put IV 25d 33.5% 28.4% 40.9% 30.0% 37.0% Bid-Ask Spread % 6.73 4.54 9.67 4.58 5.10 Gamma HHI 0.08 0.07 0.11 0.08 0.07 Net GEX -35.5M -43.1M -29.1M -33.9M -33.6M Net DEX 2.60B 2.32B 2.94B 2.38B 2.93B Net VEX -10.5M -11.6M -8.9M -11.2M -10.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.30 0.63 1.83 1.47 0.63 Total Volume 179,496.636 123,748 314,407 193,566 173,335 Total OI 2,414,818.409 2,245,413 2,624,403 2,253,237 2,624,403
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 2015-07-01 $32.35 $38.00 27.7% 8.3% 22.8% 12.2% 28.7% 3.3% 0.3% -33.9M 2.38B -11.2M 1.47 4.58 N/A N/A 78,341 115,225 912,932 1,340,305 2015-07-02 $32.91 $37.00 27.3% 8.1% 23.2% 11.5% 28.6% 4.3% -0.2% -32.0M 2.32B -11.6M 1.13 4.54 N/A N/A 72,996 82,457 927,454 1,371,963 2015-07-06 $31.90 $33.50 29.1% 8.4% 25.8% 14.6% 29.1% 3.9% -0.1% -33.0M 2.50B -10.7M 1.16 9.67 N/A N/A 76,349 88,419 930,987 1,356,420 2015-07-07 $31.70 $33.50 29.3% 8.5% 25.3% 14.9% 29.4% 5.1% -0.1% -35.9M 2.59B -10.3M 1.20 9.21 N/A N/A 73,340 87,788 939,408 1,379,912 2015-07-08 $30.87 $33.00 31.6% 8.9% 26.7% 18.8% 32.5% 3.3% -0.7% -39.1M 2.70B -9.8M 1.06 9.55 N/A N/A 104,538 110,930 943,613 1,412,386 2015-07-09 $31.14 $33.00 30.3% 8.6% 26.4% 16.5% 32.3% 2.4% -0.6% -38.5M 2.61B -10.7M 1.22 9.10 N/A N/A 90,506 110,543 988,519 1,448,785 2015-07-10 $31.99 $33.00 28.8% 8.4% 28.5% 14.0% 29.5% 4.8% -0.1% -38.2M 2.49B -11.3M 1.18 8.20 N/A N/A 71,023 83,791 998,248 1,461,769 2015-07-13 $32.57 $33.00 27.6% 7.9% 29.3% 12.0% 28.1% 4.2% 0.2% -30.6M 2.40B -11.4M 1.51 6.24 N/A N/A 55,335 83,372 1,006,116 1,459,836 2015-07-14 $32.72 $32.00 27.2% 7.8% 29.3% 11.3% 27.8% 4.6% 0.0% -29.1M 2.36B -11.5M 1.33 7.59 N/A N/A 53,156 70,592 1,009,144 1,464,053 2015-07-15 $32.49 $32.00 27.0% 7.8% 28.4% 10.9% 27.8% 4.1% 0.2% -32.0M 2.44B -11.2M 1.46 5.49 N/A N/A 59,882 87,310 1,010,536 1,472,064 2015-07-16 $32.32 $32.00 26.7% 7.8% 28.3% 10.5% 27.1% 3.0% 0.7% -33.0M 2.47B -11.1M 1.28 6.05 N/A N/A 56,726 72,823 1,016,624 1,482,928 2015-07-17 $31.56 $32.00 28.9% 8.3% 28.2% 13.0% 30.3% 3.5% 0.2% -34.4M 2.62B -10.8M 1.83 5.71 N/A N/A 57,857 105,801 1,023,164 1,495,112 2015-07-20 $31.16 $32.00 29.5% 8.5% 27.6% 13.9% 29.1% 4.6% 0.2% -37.6M 2.39B -10.3M 1.26 6.91 N/A N/A 60,416 75,925 887,191 1,358,222 2015-07-21 $31.26 $32.00 29.1% 8.4% 27.2% 12.3% 28.6% 4.0% -0.2% -39.0M 2.43B -10.5M 1.04 5.32 N/A N/A 60,828 63,355 904,278 1,395,078 2015-07-22 $30.48 $32.00 31.2% 9.0% 28.1% 16.0% 31.0% 4.1% -0.6% -42.8M 2.57B -10.1M 1.40 5.81 N/A N/A 63,708 89,406 903,911 1,401,116 2015-07-23 $29.17 $32.00 34.5% 9.9% 31.2% 21.7% 34.5% 4.5% -0.8% -43.1M 2.77B -9.3M 1.80 5.30 N/A N/A 76,181 136,895 911,856 1,417,258 2015-07-24 $28.46 $32.00 36.6% 10.5% 29.9% 25.3% 37.4% 5.4% 0.4% -32.8M 2.94B -8.9M 1.42 7.89 N/A N/A 105,582 149,809 945,416 1,467,789 2015-07-27 $28.03 $32.00 38.1% 11.0% 29.1% 28.0% 39.0% 4.2% -0.4% -31.6M 2.80B -9.2M 1.71 5.97 N/A N/A 90,166 154,540 950,154 1,456,901 2015-07-28 $28.50 $32.00 36.8% 10.5% 30.3% 25.7% 37.5% 6.2% 0.3% -36.3M 2.80B -9.7M 1.60 6.99 N/A N/A 121,109 193,298 968,675 1,508,311 2015-07-29 $29.08 $32.00 34.6% 9.8% 31.5% 21.8% 36.1% 4.8% -0.1% -38.3M 2.80B -10.4M 0.97 6.31 N/A N/A 113,750 109,854 1,015,628 1,565,576 2015-07-30 $28.53 $32.00 34.8% 10.1% 31.8% 22.2% 35.4% 5.2% -0.1% -36.3M 2.88B -10.0M 0.87 6.55 N/A N/A 86,551 75,118 1,024,273 1,567,691 2015-07-31 $28.67 $32.00 34.1% 9.6% 30.9% 21.0% 33.8% 4.5% -0.4% -33.6M 2.93B -10.0M 0.63 5.10 N/A N/A 106,306 67,029 1,038,569 1,585,834
« Jun 2015 | All History | Aug 2015 » Home EWZ History July 2015