EWZ Options History — September 2015 In September 2015, EWZ traded between $20.73 and $24.37. ATM implied volatility averaged 48.7%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 5.9% (HV 20d: 42.8%). Max pain ranged from $24.00 to $32.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.00.
Notable Days 2015-09-24 : Highest Volume — 305,236 contracts2015-09-30 : Largest IV drop — 8.4% change2015-09-28 : Highest IV Rank — 56.2%2015-09-28 : Largest Expected Move — 16.9%Monthly Statistics Metric Avg Min Max Open Close Price $22.81 $20.73 $24.37 $23.77 $21.88 Max Pain $25.38 $24.00 $32.00 $32.00 $24.00 ATM IV 48.7% 42.2% 55.5% 50.3% 50.4% Expected Move 14.1% 12.1% 16.9% 15.4% 14.9% HV 20d 42.8% 38.9% 47.1% 38.9% 45.6% HV 60d 34.3% 31.6% 38.1% 31.6% 38.1% IV Rank 43.9% 32.0% 56.2% 47.8% 46.9% IV Percentile 90.3% 84.9% 94.4% 92.1% 90.1% Term Structure -0.7% -1.8% 1.0% -1.1% -0.6% VWIV 51.1% 42.3% 61.2% 57.4% 55.7% Skew 25d 9.2% 8.4% 10.8% 9.3% 8.5% Skew 10d 17.4% 14.1% 22.2% 19.4% 16.3% Call IV 25d 45.1% 38.4% 51.2% 47.0% 47.3% Put IV 25d 54.3% 47.2% 61.3% 56.3% 55.8% Bid-Ask Spread % 6.65 3.49 10.65 4.99 5.44 Gamma HHI 0.12 0.09 0.17 0.10 0.16 Net GEX -21.2M -26.1M -16.5M -23.7M -19.4M Net DEX 3.22B 2.91B 3.53B 3.24B 2.96B Net VEX -6.8M -8.0M -5.5M -7.2M -6.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.48 2.84 0.67 1.27 Total Volume 200,753.381 30,819 305,236 242,898 218,717 Total OI 3,280,805.952 2,972,783 3,538,802 3,078,363 3,257,307
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 2015-09-01 $23.77 $32.00 50.3% 15.4% 38.9% 47.8% 57.4% 9.3% -1.1% -23.7M 3.24B -7.2M 0.67 4.99 N/A N/A 145,080 97,818 1,265,598 1,812,765 2015-09-02 $23.89 $32.00 47.6% 14.5% 39.2% 42.3% 53.1% 9.2% -0.3% -24.6M 3.23B -7.6M 0.78 3.49 N/A N/A 153,295 118,810 1,317,842 1,854,343 2015-09-03 $24.25 $25.00 49.1% 13.5% 39.6% 44.6% 47.8% 8.7% -0.7% -25.5M 3.26B -8.0M 0.69 6.91 N/A N/A 143,094 99,090 1,353,128 1,915,976 2015-09-04 $23.16 $25.00 51.6% 14.3% 42.0% 49.1% 54.2% 10.6% -0.4% -20.6M 3.35B -7.2M 1.07 10.65 N/A N/A 116,610 124,794 1,384,369 1,937,706 2015-09-08 $23.57 $25.00 48.0% 13.3% 40.3% 42.5% 49.5% 9.9% -1.8% -25.6M 3.38B -7.4M 2.84 7.91 N/A N/A 8,016 22,803 1,387,439 1,969,063 2015-09-09 $23.55 $25.00 46.6% 12.9% 39.8% 39.9% 51.9% 8.8% -1.4% -26.1M 3.40B -7.1M 0.48 9.17 N/A N/A 117,071 56,404 1,392,442 1,974,458 2015-09-10 $23.09 $25.00 48.1% 13.6% 40.0% 42.7% 48.7% 8.4% -1.2% -25.5M 3.46B -6.6M 1.32 8.57 N/A N/A 125,638 166,096 1,420,620 1,972,084 2015-09-11 $22.93 $25.00 47.0% 13.4% 39.7% 40.8% 46.1% 8.4% -0.8% -21.9M 3.50B -6.8M 0.93 6.79 N/A N/A 106,325 98,550 1,436,559 2,020,208 2015-09-14 $23.73 $25.00 46.3% 13.1% 42.2% 39.4% 45.9% 8.9% 0.8% -23.6M 3.40B -7.2M 0.68 6.40 N/A N/A 110,694 75,615 1,430,726 1,992,055 2015-09-15 $23.59 $25.00 44.8% 12.8% 42.2% 36.8% 47.0% 8.6% 1.0% -22.2M 3.44B -6.9M 1.58 8.42 N/A N/A 24,220 38,340 1,454,827 2,003,008 2015-09-16 $24.37 $25.00 44.9% 12.9% 44.1% 36.9% 47.3% 9.8% -1.4% -20.5M 3.35B -7.6M 0.65 8.60 N/A N/A 118,236 77,197 1,472,425 2,012,648 2015-09-17 $24.18 $25.00 42.2% 12.1% 43.4% 32.0% 42.3% 8.8% 0.2% -18.2M 3.34B -7.8M 0.70 7.96 N/A N/A 103,115 72,213 1,498,361 2,015,922 2015-09-18 $22.83 $25.00 44.9% 12.9% 47.1% 36.8% 45.3% 8.7% -0.9% -16.7M 3.53B -6.5M 1.26 6.34 N/A N/A 106,531 134,548 1,508,807 2,029,995 2015-09-21 $22.49 $25.00 46.0% 13.1% 46.1% 39.0% 45.7% 8.6% -1.7% -21.1M 2.91B -6.3M 0.72 6.41 N/A N/A 97,976 70,320 1,225,602 1,747,181 2015-09-22 $21.53 $25.00 48.8% 14.3% 46.2% 44.1% 51.4% 9.4% -0.9% -19.9M 2.97B -5.7M 0.79 5.33 N/A N/A 78,322 61,917 1,255,697 1,773,784 2015-09-23 $21.11 $24.00 50.8% 15.1% 46.4% 47.7% 53.8% 8.5% -0.5% -18.7M 2.99B -5.5M 0.86 4.88 N/A N/A 104,584 89,436 1,275,477 1,793,544 2015-09-24 $21.77 $24.00 53.2% 15.7% 46.2% 52.1% 57.7% 10.6% -1.0% -19.0M 2.94B -6.1M 1.05 5.15 N/A N/A 148,776 156,460 1,305,853 1,820,842 2015-09-25 $21.64 $24.00 51.6% 14.8% 42.2% 49.1% 54.7% 10.2% -0.6% -16.5M 2.95B -6.4M 1.06 5.69 N/A N/A 123,884 131,875 1,351,541 1,866,197 2015-09-28 $20.73 $24.00 55.5% 16.9% 43.8% 56.2% 61.2% 10.8% -0.8% -17.9M 2.95B -5.8M 0.87 5.16 N/A N/A 98,517 85,638 1,316,970 1,860,836 2015-09-29 $20.97 $24.00 55.0% 16.6% 44.3% 55.3% 57.0% 9.8% -1.2% -18.7M 2.98B -6.0M 0.78 5.37 N/A N/A 106,263 82,933 1,323,666 1,889,054 2015-09-30 $21.88 $24.00 50.4% 14.9% 45.6% 46.9% 55.7% 8.5% -0.6% -19.4M 2.96B -6.5M 1.27 5.44 N/A N/A 96,380 122,337 1,339,330 1,917,977
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