EWZ Options History — December 2015 In December 2015, EWZ traded between $20.68 and $23.83. ATM implied volatility averaged 42.5%, placing in the 57.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 3.8% (HV 20d: 38.7%). Max pain ranged from $30.00 to $38.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.59.
Notable Days 2015-12-21 : Highest Volume — 741,446 contracts2015-12-11 : Largest IV spike — 9.6% change2015-12-11 : Highest IV Rank — 79.2%2015-12-11 : Largest Expected Move — 14.4%Monthly Statistics Metric Avg Min Max Open Close Price $22.25 $20.68 $23.83 $22.58 $20.71 Max Pain $35.18 $30.00 $38.00 $30.00 $35.00 ATM IV 42.5% 37.2% 49.1% 42.1% 40.1% Expected Move 12.3% 10.5% 14.4% 13.2% 11.4% HV 20d 38.7% 35.0% 43.4% 43.4% 35.5% HV 60d 39.5% 36.4% 41.4% 40.8% 36.4% IV Rank 57.9% 40.7% 79.2% 56.5% 49.9% IV Percentile 80.0% 62.3% 96.4% 81.7% 71.8% Term Structure 0.1% -2.5% 2.9% -1.3% 0.2% VWIV 43.7% 36.5% 52.1% 47.0% 40.2% Skew 25d 5.0% 2.1% 7.4% 7.0% 4.0% Skew 10d 7.8% 3.1% 11.9% 10.8% 6.5% Call IV 25d 41.0% 36.3% 47.6% 38.9% 38.6% Put IV 25d 46.0% 39.9% 53.3% 45.9% 42.6% Bid-Ask Spread % 3.91 2.81 6.79 2.97 3.22 Gamma HHI 0.10 0.07 0.15 0.08 0.14 Net GEX -8.4M -19.6M 5.2M -12.7M -16.4M Net DEX 2.90B 2.56B 3.49B 2.93B 2.92B Net VEX -8.9M -11.0M -6.7M -8.8M -6.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.31 1.09 1.03 0.58 Total Volume 292,325.455 151,484 741,446 213,355 151,484 Total OI 4,436,541.182 3,849,805 4,973,955 4,294,102 3,940,459
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 2015-12-01 $22.58 $30.00 42.1% 13.2% 43.4% 56.5% 47.0% 7.0% -1.3% -12.7M 2.93B -8.8M 1.03 2.97 N/A N/A 105,270 108,085 2,184,582 2,109,520 2015-12-02 $23.07 $30.00 43.8% 14.0% 38.9% 62.2% 49.1% 7.1% -0.8% -8.6M 2.82B -9.5M 0.64 6.57 N/A N/A 157,242 100,474 2,237,627 2,178,835 2015-12-03 $23.83 $38.00 42.2% 11.8% 40.0% 57.0% 40.9% 6.8% -0.7% 2.1M 2.56B -10.7M 0.65 3.28 N/A N/A 207,102 134,388 2,326,472 2,219,420 2015-12-04 $23.48 $37.00 41.0% 11.8% 39.9% 52.9% 40.6% 7.2% -0.3% -181.0K 2.75B -10.3M 0.64 4.02 N/A N/A 131,984 84,893 2,394,910 2,277,417 2015-12-07 $23.29 $36.00 41.6% 12.2% 39.7% 55.0% 41.4% 6.6% 2.0% -1.7M 2.89B -10.0M 0.79 4.02 N/A N/A 86,040 68,017 2,407,491 2,277,471 2015-12-08 $23.35 $36.00 45.0% 12.8% 38.2% 65.8% 45.3% 5.3% 0.0% -1.1M 2.88B -10.4M 0.50 6.79 N/A N/A 299,236 150,617 2,456,829 2,318,018 2015-12-09 $23.82 $36.00 43.4% 12.3% 38.4% 60.7% 43.1% 6.1% -0.2% 5.2M 2.66B -11.0M 0.32 3.38 N/A N/A 260,383 84,118 2,475,390 2,323,346 2015-12-10 $22.89 $36.00 44.8% 13.0% 40.1% 65.3% 45.3% 6.3% 0.7% -7.8M 2.95B -10.1M 0.41 4.25 N/A N/A 146,804 59,855 2,474,197 2,333,910 2015-12-11 $22.48 $36.00 49.1% 14.4% 39.6% 79.2% 52.1% 6.9% 2.9% -19.6M 3.04B -10.0M 0.63 3.74 N/A N/A 122,498 77,638 2,498,475 2,350,022 2015-12-14 $22.40 $36.00 49.0% 14.1% 39.4% 79.1% 50.1% 4.8% -0.4% -10.7M 3.07B -9.8M 0.33 4.46 N/A N/A 240,223 78,516 2,490,479 2,346,236 2015-12-15 $22.37 $36.00 45.8% 13.2% 37.7% 68.6% 46.0% 2.1% -2.5% -11.1M 3.08B -9.7M 0.31 3.32 N/A N/A 179,438 55,507 2,513,588 2,352,957 2015-12-16 $22.85 $36.00 43.8% 12.6% 38.7% 62.0% 46.6% 3.0% 0.5% -7.1M 2.99B -9.6M 0.45 5.26 N/A N/A 115,235 51,736 2,530,347 2,357,352 2015-12-17 $22.33 $36.00 43.1% 12.4% 37.4% 59.8% 43.5% 4.4% -0.7% -14.5M 3.15B -9.4M 0.58 3.37 N/A N/A 127,778 74,485 2,539,680 2,372,136 2015-12-18 $21.25 $35.00 44.8% 12.9% 39.5% 65.4% 45.5% 7.4% -1.2% -4.6M 3.49B -8.3M 0.60 3.56 N/A N/A 152,500 91,825 2,578,332 2,395,623 2015-12-21 $20.68 $35.00 44.7% 13.0% 39.0% 65.1% 45.1% 4.1% 0.5% -7.9M 2.75B -7.7M 0.54 3.81 N/A N/A 480,175 261,271 2,077,355 1,963,132 2015-12-22 $20.94 $35.00 40.8% 11.7% 39.4% 52.2% 43.2% 3.2% 0.4% -14.2M 2.92B -7.4M 0.39 3.84 N/A N/A 381,967 149,665 1,832,054 2,064,790 2015-12-23 $21.50 $35.00 37.5% 10.7% 40.5% 41.7% 43.2% 2.9% 0.8% -10.2M 2.78B -7.4M 0.45 3.34 N/A N/A 218,931 98,142 1,841,353 2,021,624 2015-12-24 $21.49 $35.00 37.2% 10.5% 37.7% 40.7% 36.6% 3.7% 1.3% -12.6M 2.79B -7.4M 0.48 3.86 N/A N/A 191,122 91,995 1,863,333 2,035,813 2015-12-28 $21.71 $35.00 39.0% 11.0% 36.9% 46.6% 38.7% 3.8% 0.4% -8.0M 2.76B -7.3M 0.75 2.95 N/A N/A 186,554 140,541 1,853,738 2,020,955 2015-12-29 $21.59 $35.00 37.7% 10.5% 35.0% 42.2% 36.5% 2.9% 0.7% -9.5M 2.78B -7.4M 0.76 2.81 N/A N/A 160,014 120,915 1,866,648 2,052,185 2015-12-30 $20.85 $35.00 39.0% 11.2% 36.8% 46.4% 41.0% 4.5% 0.7% -14.6M 2.77B -6.8M 1.09 3.16 N/A N/A 118,070 128,427 1,871,244 1,978,561 2015-12-31 $20.71 $35.00 40.1% 11.4% 35.5% 49.9% 40.2% 4.0% 0.2% -16.4M 2.92B -6.7M 0.58 3.22 N/A N/A 95,980 55,504 1,893,494 2,046,965
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