EWZ Options History — August 2015

In August 2015, EWZ traded between $23.94 and $28.08. ATM implied volatility averaged 38.6%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 8.3% (HV 20d: 30.3%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.95.

Notable Days

2015-08-06: Highest Volume — 269,139 contracts
2015-08-24: Largest IV spike — 18.4% change
2015-08-24: Highest IV Rank — 44.6%
2015-08-24: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.21	$23.94	$28.08	$28.08	$24.87
Max Pain	$33.17	$32.00	$35.00	$32.00	$32.00
ATM IV	38.6%	34.2%	47.7%	35.4%	43.9%
Expected Move	11.3%	9.6%	14.0%	10.1%	13.3%
HV 20d	30.3%	26.4%	36.4%	30.0%	36.4%
HV 60d	28.3%	27.2%	30.7%	27.9%	30.7%
IV Rank	28.7%	21.2%	44.6%	23.2%	36.9%
IV Percentile	85.6%	68.7%	92.1%	79.4%	90.5%
Term Structure	-0.3%	-1.5%	0.8%	-0.3%	-1.1%
VWIV	39.4%	33.6%	49.1%	36.4%	49.1%
Skew 25d	5.7%	3.4%	9.5%	5.5%	7.7%
Skew 10d	9.7%	6.1%	18.3%	7.4%	14.2%
Call IV 25d	36.5%	32.6%	44.1%	33.0%	41.1%
Put IV 25d	42.2%	37.5%	53.6%	38.5%	48.8%
Bid-Ask Spread %	5.20	3.28	8.55	6.79	4.79
Gamma HHI	0.10	0.07	0.12	0.07	0.10
Net GEX	-28.3M	-35.8M	-22.3M	-32.6M	-25.5M
Net DEX	3.19B	2.96B	3.32B	2.96B	3.23B
Net VEX	-8.6M	-9.6M	-7.1M	-9.6M	-7.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.56	2.90	1.32	1.75
Total Volume	181,660.143	45,050	269,139	45,050	254,066
Total OI	2,916,421.857	2,626,200	3,086,169	2,626,200	3,061,330

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
2015-08-03	$28.08	$32.00	35.4%	10.1%	30.0%	23.2%	36.4%	5.5%	-0.3%	-32.6M	2.96B	-9.6M	1.32	6.79	N/A	N/A	19,397	25,653	1,053,928	1,572,272
2015-08-04	$27.94	$32.00	34.5%	9.8%	30.0%	21.8%	35.7%	5.9%	-0.6%	-33.5M	3.04B	-9.4M	0.92	5.55	N/A	N/A	90,164	82,669	1,065,554	1,593,494
2015-08-05	$27.82	$32.00	34.2%	9.6%	29.1%	21.2%	33.6%	4.9%	-0.5%	-35.8M	3.06B	-9.3M	0.69	4.10	N/A	N/A	100,890	69,904	1,069,152	1,614,241
2015-08-06	$27.25	$35.00	36.3%	10.6%	29.1%	24.8%	35.6%	4.2%	-0.2%	-35.2M	3.15B	-8.8M	0.89	5.82	N/A	N/A	142,268	126,871	1,082,773	1,627,394
2015-08-07	$26.83	$34.00	36.8%	10.7%	26.4%	25.7%	37.3%	4.7%	-0.3%	-29.0M	3.21B	-9.0M	0.95	4.39	N/A	N/A	115,574	109,329	1,152,700	1,677,449
2015-08-10	$27.74	$34.00	36.6%	10.7%	28.9%	25.3%	35.3%	5.9%	0.6%	-28.7M	3.10B	-9.5M	0.60	4.48	N/A	N/A	116,954	70,313	1,169,126	1,685,640
2015-08-11	$26.99	$34.00	37.4%	11.0%	29.3%	26.8%	37.0%	5.4%	0.8%	-27.2M	3.18B	-9.1M	2.90	6.08	N/A	N/A	21,684	62,797	1,178,751	1,691,665
2015-08-12	$26.79	$34.00	37.6%	10.9%	29.2%	27.1%	39.1%	5.3%	0.4%	-27.8M	3.21B	-9.1M	0.72	5.31	N/A	N/A	100,369	72,135	1,197,662	1,703,742
2015-08-13	$26.23	$34.00	38.5%	11.1%	29.5%	28.7%	38.1%	5.4%	0.4%	-28.7M	3.25B	-8.7M	0.84	4.97	N/A	N/A	118,797	99,238	1,206,875	1,712,366
2015-08-14	$26.25	$34.00	37.9%	10.9%	29.3%	27.7%	36.7%	5.8%	-0.1%	-27.3M	3.29B	-8.7M	0.75	4.86	N/A	N/A	119,402	90,111	1,226,543	1,741,031
2015-08-17	$26.18	$33.50	36.3%	10.4%	29.3%	24.8%	37.1%	4.0%	0.2%	-29.6M	3.23B	-8.8M	0.76	3.28	N/A	N/A	132,530	100,342	1,219,046	1,726,800
2015-08-18	$26.40	$33.00	36.0%	10.4%	29.7%	24.3%	37.8%	4.2%	-0.3%	-29.0M	3.19B	-8.8M	0.56	4.86	N/A	N/A	157,792	89,086	1,245,776	1,740,787
2015-08-19	$25.75	$33.00	37.0%	10.6%	29.6%	26.1%	37.6%	3.7%	0.1%	-28.4M	3.29B	-8.3M	1.11	4.83	N/A	N/A	28,139	31,241	1,260,414	1,773,292
2015-08-20	$26.06	$33.00	38.0%	10.9%	27.3%	27.8%	39.0%	3.4%	-0.9%	-26.3M	3.24B	-8.7M	0.68	3.96	N/A	N/A	110,281	75,418	1,281,619	1,783,033
2015-08-21	$25.20	$33.00	40.3%	11.6%	28.3%	31.7%	40.8%	4.3%	-1.1%	-24.8M	3.32B	-8.2M	0.69	4.31	N/A	N/A	95,277	65,529	1,293,945	1,790,170
2015-08-24	$24.14	$33.00	47.7%	14.0%	31.1%	44.6%	48.5%	9.5%	-1.5%	-22.3M	3.19B	-7.3M	0.93	8.55	N/A	N/A	88,464	82,292	1,215,873	1,719,622
2015-08-25	$23.94	$33.00	43.5%	12.9%	29.7%	37.3%	44.5%	7.7%	-0.3%	-24.4M	3.25B	-7.1M	0.62	5.63	N/A	N/A	82,774	51,333	1,224,381	1,749,161
2015-08-26	$24.75	$33.00	41.5%	12.6%	31.7%	33.8%	43.0%	7.2%	-0.9%	-26.7M	3.25B	-7.4M	0.92	6.68	N/A	N/A	114,121	105,436	1,242,518	1,751,343
2015-08-27	$25.85	$32.50	39.0%	11.6%	36.3%	29.4%	40.5%	7.3%	-0.6%	-26.4M	3.12B	-8.6M	0.56	4.94	N/A	N/A	124,960	69,402	1,260,128	1,797,094
2015-08-28	$25.37	$32.50	41.8%	12.4%	36.4%	33.2%	45.4%	7.5%	-1.0%	-25.0M	3.19B	-8.4M	0.72	5.01	N/A	N/A	117,668	84,193	1,272,498	1,813,671
2015-08-31	$24.87	$32.00	43.9%	13.3%	36.4%	36.9%	49.1%	7.7%	-1.1%	-25.5M	3.23B	-7.7M	1.75	4.79	N/A	N/A	92,221	161,845	1,262,427	1,798,903