EWZ Options History — November 2015 In November 2015, EWZ traded between $22.52 and $25.49. ATM implied volatility averaged 39.4%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 3.2% (HV 20d: 36.2%). Max pain ranged from $23.00 to $30.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.79.
Notable Days 2015-11-03 : Highest Volume — 342,494 contracts2015-11-30 : Largest IV spike — 8.3% change2015-11-13 : Highest IV Rank — 60.0%2015-11-30 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $24.11 $22.52 $25.49 $23.39 $22.52 Max Pain $28.98 $23.00 $30.00 $23.00 $30.00 ATM IV 39.4% 37.0% 43.1% 38.8% 42.2% Expected Move 11.5% 10.6% 13.0% 11.4% 13.0% HV 20d 36.2% 29.6% 44.3% 29.6% 44.3% HV 60d 41.7% 40.7% 42.5% 40.7% 41.8% IV Rank 47.9% 39.9% 60.0% 46.0% 57.0% IV Percentile 77.7% 67.9% 84.5% 80.2% 82.9% Term Structure -0.2% -0.9% 0.8% -0.2% -0.7% VWIV 40.1% 28.6% 46.2% 40.1% 46.2% Skew 25d 4.9% 3.6% 7.9% 4.5% 7.9% Skew 10d 8.6% 7.3% 11.5% 9.6% 11.5% Call IV 25d 37.6% 34.1% 41.4% 37.5% 38.3% Put IV 25d 42.6% 39.8% 46.3% 42.1% 46.3% Bid-Ask Spread % 4.37 3.12 6.73 4.69 3.18 Gamma HHI 0.08 0.06 0.18 0.08 0.09 Net GEX 1.6M -11.4M 36.6M -3.8M -11.4M Net DEX 2.53B 2.14B 2.94B 2.66B 2.94B Net VEX -10.4M -11.3M -8.5M -10.2M -8.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.12 4.59 0.38 0.97 Total Volume 161,257.5 27,693 342,494 286,254 96,894 Total OI 4,160,037.1 4,053,776 4,250,188 4,072,997 4,229,439
Daily Data (20 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 2015-11-02 $23.39 $23.00 38.8% 11.4% 29.6% 46.0% 40.1% 4.5% -0.2% -3.8M 2.66B -10.2M 0.38 4.69 N/A N/A 206,727 79,527 2,044,859 2,028,138 2015-11-03 $24.73 $23.00 38.0% 11.3% 35.6% 43.4% 41.9% 4.2% -0.2% 8.9M 2.35B -11.1M 0.62 3.58 N/A N/A 211,205 131,289 2,031,547 2,037,257 2015-11-04 $24.13 $23.50 38.9% 11.6% 36.3% 46.2% 41.5% 4.0% -0.1% 1.5M 2.48B -11.0M 0.56 4.31 N/A N/A 125,103 70,475 2,047,074 2,076,420 2015-11-05 $24.46 $30.00 37.7% 10.9% 35.6% 42.3% 28.6% 3.6% -0.1% 4.1M 2.41B -11.3M 0.62 5.27 N/A N/A 124,142 76,669 2,065,602 2,088,560 2015-11-06 $24.10 $30.00 38.7% 11.2% 35.6% 45.4% 39.1% 4.2% -0.1% -1.5M 2.51B -10.6M 1.51 6.35 N/A N/A 27,337 41,343 2,068,179 2,071,815 2015-11-09 $23.36 $30.00 39.9% 11.7% 36.7% 49.4% 42.3% 5.1% 0.6% -7.5M 2.69B -9.9M 4.59 4.20 N/A N/A 4,953 22,740 2,033,411 2,061,438 2015-11-10 $23.75 $30.00 40.8% 11.6% 32.6% 52.3% 39.9% 3.9% -0.3% -5.4M 2.61B -10.3M 0.37 4.55 N/A N/A 140,678 52,684 2,033,798 2,074,031 2015-11-11 $24.24 $30.00 40.6% 11.5% 33.3% 51.8% 42.0% 3.9% -0.4% 3.0M 2.41B -10.9M 0.42 6.73 N/A N/A 112,575 47,290 2,075,882 2,082,671 2015-11-12 $23.64 $30.00 41.4% 12.0% 34.3% 54.4% 38.9% 4.5% 0.3% -4.5M 2.59B -10.3M 0.40 4.26 N/A N/A 97,387 38,801 2,085,108 2,086,821 2015-11-13 $23.28 $30.00 43.1% 12.5% 34.6% 60.0% 44.6% 4.9% 0.8% -6.4M 2.70B -10.0M 0.84 4.87 N/A N/A 132,758 111,939 2,081,278 2,092,565 2015-11-16 $23.96 $30.00 41.8% 12.0% 36.0% 55.7% 43.9% 4.4% 0.1% -2.0M 2.60B -10.2M 1.24 5.74 N/A N/A 12,627 15,612 2,078,906 2,120,972 2015-11-17 $23.93 $30.00 41.3% 11.8% 35.3% 53.9% 40.9% 4.8% -0.9% -1.4M 2.58B -10.2M 0.60 4.51 N/A N/A 89,957 53,717 2,079,084 2,125,068 2015-11-18 $24.65 $30.00 38.5% 11.0% 36.3% 44.7% 38.1% 3.9% 0.4% 5.5M 2.42B -10.6M 0.52 3.71 N/A N/A 98,081 50,755 2,092,118 2,140,072 2015-11-19 $25.10 $30.00 37.0% 10.6% 35.3% 40.1% 37.1% 4.0% 0.3% 14.4M 2.26B -10.8M 0.48 3.12 N/A N/A 78,369 37,541 2,100,057 2,139,973 2015-11-20 $25.49 $30.00 37.2% 10.7% 35.6% 40.8% 39.3% 4.6% -0.7% 36.6M 2.14B -11.0M 0.56 3.57 N/A N/A 100,088 56,176 2,102,695 2,147,493 2015-11-23 $24.85 $30.00 37.2% 10.8% 36.6% 40.7% 38.1% 6.0% -0.6% 2.9M 2.44B -10.5M 0.34 3.58 N/A N/A 108,489 37,183 2,011,958 2,041,818 2015-11-24 $25.23 $30.00 37.0% 10.7% 36.7% 39.9% 37.6% 5.7% -0.3% 7.5M 2.35B -10.9M 0.12 3.63 N/A N/A 87,759 10,773 2,076,333 2,052,890 2015-11-25 $24.05 $30.00 39.1% 11.7% 40.9% 46.8% 41.6% 7.1% -0.8% -3.3M 2.60B -10.1M 0.22 3.46 N/A N/A 194,398 43,037 2,095,887 2,056,584 2015-11-27 $23.34 $30.00 39.0% 11.7% 42.3% 46.5% 41.0% 7.0% -0.4% -4.5M 2.76B -9.6M 0.43 4.14 N/A N/A 138,429 59,643 2,169,782 2,073,159 2015-11-30 $22.52 $30.00 42.2% 13.0% 44.3% 57.0% 46.2% 7.9% -0.7% -11.4M 2.94B -8.5M 0.97 3.18 N/A N/A 49,258 47,636 2,152,088 2,077,351
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