EWZ Options History — October 2015 In October 2015, EWZ traded between $21.64 and $25.13. ATM implied volatility averaged 44.6%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 0.1% (HV 20d: 44.7%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.69.
Notable Days 2015-10-21 : Highest Volume — 560,114 contracts2015-10-02 : Largest IV drop — 8.5% change2015-10-27 : Highest IV Rank — 57.5%2015-10-01 : Largest Expected Move — 15.1%Monthly Statistics Metric Avg Min Max Open Close Price $23.53 $21.64 $25.13 $21.64 $22.85 Max Pain $22.95 $22.00 $24.00 $24.00 $23.00 ATM IV 44.6% 39.2% 51.1% 51.1% 39.2% Expected Move 12.8% 11.3% 15.1% 15.1% 11.3% HV 20d 44.7% 30.3% 51.5% 45.5% 30.3% HV 60d 40.5% 37.9% 41.7% 37.9% 40.4% IV Rank 42.7% 34.7% 57.5% 48.3% 47.2% IV Percentile 85.9% 81.0% 90.9% 90.9% 81.0% Term Structure -0.4% -1.2% 0.1% -0.7% 0.0% VWIV 45.6% 40.5% 54.8% 54.8% 40.5% Skew 25d 6.1% 4.5% 8.6% 8.6% 4.5% Skew 10d 11.9% 8.5% 16.1% 15.4% 8.5% Call IV 25d 42.4% 37.7% 47.7% 47.7% 37.7% Put IV 25d 48.5% 42.2% 56.3% 56.3% 42.2% Bid-Ask Spread % 5.81 3.50 7.39 4.73 3.99 Gamma HHI 0.10 0.07 0.15 0.15 0.09 Net GEX -12.0M -19.4M -1.8M -19.4M -9.8M Net DEX 2.76B 2.51B 3.00B 3.00B 2.84B Net VEX -8.5M -10.0M -6.5M -6.5M -9.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.12 1.60 1.05 0.39 Total Volume 212,242.682 62,482 560,114 198,067 350,134 Total OI 3,618,566.909 3,318,675 4,000,535 3,318,675 4,000,535
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 2015-10-01 $21.64 $24.00 51.1% 15.1% 45.5% 48.3% 54.8% 8.6% -0.7% -19.4M 3.00B -6.5M 1.05 4.73 N/A N/A 96,420 101,647 1,355,000 1,963,675 2015-10-02 $22.94 $24.00 46.8% 13.6% 50.4% 40.3% 49.0% 8.2% -0.4% -18.4M 2.87B -7.3M 1.60 5.98 N/A N/A 85,944 137,860 1,372,170 1,981,533 2015-10-05 $23.62 $22.00 45.4% 12.8% 48.9% 37.9% 46.3% 7.7% -0.4% -16.9M 2.83B -7.8M 0.98 7.11 N/A N/A 31,524 30,958 1,361,937 2,018,222 2015-10-06 $23.87 $22.50 44.3% 12.6% 48.6% 35.8% 47.3% 7.0% -0.3% -16.5M 2.77B -8.0M 0.97 6.96 N/A N/A 75,705 73,188 1,368,580 2,027,893 2015-10-07 $24.26 $22.50 45.2% 12.8% 48.9% 37.4% 46.1% 6.8% -0.6% -14.7M 2.70B -8.3M 0.79 6.82 N/A N/A 122,098 96,328 1,364,458 2,025,803 2015-10-08 $24.86 $22.50 44.4% 12.6% 48.9% 36.0% 44.2% 6.1% -0.4% -11.0M 2.58B -8.7M 0.95 7.06 N/A N/A 91,182 86,346 1,419,664 2,053,683 2015-10-09 $25.13 $22.50 43.7% 12.6% 48.8% 34.7% 47.6% 6.3% 0.1% -9.1M 2.51B -9.0M 1.02 6.25 N/A N/A 80,182 81,624 1,437,625 2,066,310 2015-10-12 $24.68 $23.00 44.9% 12.7% 48.1% 37.0% 45.2% 6.5% -0.3% -10.4M 2.60B -8.7M 1.03 5.89 N/A N/A 74,177 76,518 1,436,764 2,053,702 2015-10-13 $23.47 $23.00 47.7% 13.6% 51.5% 42.1% 50.5% 6.2% -0.4% -16.0M 2.83B -7.9M 0.75 6.75 N/A N/A 102,189 76,516 1,437,124 2,057,258 2015-10-14 $23.64 $23.00 46.4% 13.2% 50.2% 39.6% 44.0% 6.8% -0.2% -12.3M 2.84B -7.9M 0.67 7.39 N/A N/A 114,326 76,353 1,469,552 2,094,603 2015-10-15 $23.94 $23.00 45.5% 12.9% 50.3% 38.0% 46.8% 6.2% -0.2% -8.8M 2.83B -7.8M 0.31 6.63 N/A N/A 202,615 63,500 1,475,094 2,112,261 2015-10-16 $23.73 $23.00 45.9% 13.0% 45.8% 38.7% 44.2% 5.8% -0.5% -14.0M 2.81B -8.5M 0.47 5.27 N/A N/A 139,570 65,450 1,585,996 2,122,650 2015-10-19 $23.56 $23.00 46.1% 13.1% 45.5% 39.2% 45.7% 6.6% -1.0% -14.8M 2.80B -8.3M 0.40 6.02 N/A N/A 118,074 47,794 1,467,142 1,968,530 2015-10-20 $23.11 $23.00 45.1% 12.9% 43.0% 37.2% 43.4% 6.1% -1.2% -17.1M 2.85B -8.0M 0.58 5.95 N/A N/A 122,867 70,810 1,490,990 1,977,300 2015-10-21 $22.87 $23.00 44.7% 12.8% 42.4% 40.4% 44.5% 5.6% -1.0% -18.0M 2.89B -7.7M 0.12 5.13 N/A N/A 501,671 58,443 1,508,204 1,983,229 2015-10-22 $23.58 $23.00 43.5% 12.5% 42.4% 44.7% 42.5% 5.5% -1.0% -3.8M 2.58B -10.0M 0.48 6.33 N/A N/A 87,031 41,421 1,909,548 1,985,912 2015-10-23 $23.63 $23.00 42.6% 12.3% 42.3% 48.0% 44.6% 4.6% -0.8% -1.8M 2.58B -9.9M 0.63 6.37 N/A N/A 101,898 64,586 1,915,681 1,986,394 2015-10-26 $23.31 $23.00 42.8% 12.5% 39.1% 48.4% 44.7% 5.2% -0.2% -4.9M 2.63B -9.7M 0.23 5.88 N/A N/A 138,532 32,301 1,912,278 1,978,684 2015-10-27 $23.21 $23.00 42.4% 12.3% 39.2% 57.5% 43.3% 5.0% -0.3% -5.8M 2.68B -9.4M 0.51 3.73 N/A N/A 193,426 98,517 1,915,337 1,982,326 2015-10-28 $22.98 $23.00 42.2% 12.4% 36.9% 57.0% 43.7% 4.8% 0.1% -9.6M 2.78B -9.4M 0.64 4.02 N/A N/A 139,249 88,870 1,948,422 2,028,047 2015-10-29 $22.79 $23.00 41.5% 12.2% 36.8% 54.5% 43.2% 4.5% 0.1% -11.7M 2.83B -9.1M 0.65 3.50 N/A N/A 140,277 91,218 1,955,533 2,032,823 2015-10-30 $22.85 $23.00 39.2% 11.3% 30.3% 47.2% 40.5% 4.5% 0.0% -9.8M 2.84B -9.0M 0.39 3.99 N/A N/A 251,320 98,814 1,963,845 2,036,690
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