EWZ Options History — January 2016

In January 2016, EWZ traded between $17.34 and $20.22. ATM implied volatility averaged 43.7%, placing in the 61.6% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 10.8% (HV 20d: 32.8%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.64.

Notable Days

2016-01-12: Highest Volume — 362,360 contracts
2016-01-15: Largest IV spike — 9.3% change
2016-01-21: Highest IV Rank — 73.6%
2016-01-21: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.69	$17.34	$20.22	$20.03	$19.11
Max Pain	$21.08	$19.00	$22.00	$22.00	$19.00
ATM IV	43.7%	40.3%	47.4%	43.0%	40.3%
Expected Move	12.4%	11.2%	13.6%	12.1%	11.2%
HV 20d	32.8%	29.8%	35.5%	33.9%	34.9%
HV 60d	36.4%	35.3%	37.9%	36.7%	37.9%
IV Rank	61.6%	50.6%	73.6%	59.5%	50.6%
IV Percentile	80.6%	64.7%	92.9%	79.8%	64.7%
Term Structure	-0.0%	-0.8%	0.9%	-0.5%	0.8%
VWIV	44.0%	38.2%	53.6%	42.6%	38.2%
Skew 25d	5.0%	3.0%	6.7%	3.1%	5.0%
Skew 10d	8.9%	4.4%	14.3%	5.9%	8.2%
Call IV 25d	42.1%	38.1%	45.3%	42.5%	38.1%
Put IV 25d	47.1%	43.0%	52.0%	45.7%	43.0%
Bid-Ask Spread %	4.47	3.38	7.27	4.15	4.11
Gamma HHI	0.17	0.13	0.20	0.17	0.13
Net GEX	-12.4M	-21.3M	-5.0M	-18.4M	-5.0M
Net DEX	2.15B	1.01B	3.15B	2.97B	1.01B
Net VEX	-5.4M	-7.1M	-4.1M	-6.1M	-4.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.23	1.44	0.45	1.04
Total Volume	173,613.105	100,960	362,360	126,428	172,632
Total OI	3,242,970.474	2,104,563	4,235,652	3,920,747	2,486,086

Daily Data (19 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
2016-01-04	$20.03	$22.00	43.0%	12.1%	33.9%	59.5%	42.6%	3.1%	-0.5%	-18.4M	2.97B	-6.1M	0.45	4.15	N/A	N/A	86,907	39,521	1,884,487	2,036,260
2016-01-05	$20.22	$22.00	41.6%	11.8%	34.4%	54.9%	40.7%	3.0%	0.2%	-19.5M	2.98B	-6.0M	0.55	3.60	N/A	N/A	87,582	48,344	1,891,625	2,040,919
2016-01-06	$19.92	$22.00	41.3%	11.8%	34.5%	54.0%	42.9%	3.3%	-0.1%	-21.3M	3.02B	-6.0M	0.45	4.75	N/A	N/A	165,544	75,005	1,899,713	2,059,652
2016-01-07	$19.25	$22.00	43.9%	12.3%	35.5%	62.4%	43.2%	4.4%	-0.2%	-19.9M	3.03B	-5.6M	0.23	5.27	N/A	N/A	165,966	37,647	1,949,255	2,059,026
2016-01-08	$19.09	$22.00	43.8%	12.4%	33.7%	62.0%	43.0%	4.9%	-0.2%	-19.0M	3.09B	-5.5M	0.53	4.71	N/A	N/A	162,288	85,453	1,959,041	2,095,217
2016-01-11	$18.96	$22.00	43.1%	12.2%	32.0%	60.0%	43.6%	3.5%	-0.5%	-19.9M	3.12B	-5.5M	1.09	3.38	N/A	N/A	100,389	109,352	1,982,677	2,120,860
2016-01-12	$19.00	$22.00	42.8%	12.0%	32.1%	58.9%	40.7%	4.0%	-0.8%	-16.8M	3.10B	-5.3M	1.44	3.82	N/A	N/A	148,768	213,592	2,001,323	2,083,997
2016-01-13	$18.62	$22.00	43.4%	12.1%	32.3%	60.6%	43.0%	5.3%	-0.7%	-13.8M	3.15B	-5.4M	0.37	5.16	N/A	N/A	144,273	53,162	2,047,902	2,153,337
2016-01-14	$18.99	$22.00	41.6%	11.8%	33.8%	54.8%	41.0%	4.7%	-0.7%	-13.6M	2.97B	-7.1M	0.38	4.53	N/A	N/A	136,587	51,448	2,063,202	2,159,456
2016-01-15	$18.34	$22.00	45.4%	12.9%	33.2%	67.3%	44.3%	5.9%	-0.7%	-7.5M	3.07B	-5.8M	0.32	4.21	N/A	N/A	114,665	37,092	2,074,938	2,160,714
2016-01-19	$18.22	$21.00	45.6%	13.0%	32.9%	67.9%	44.9%	5.8%	0.9%	-7.8M	1.14B	-4.9M	0.64	4.79	N/A	N/A	68,069	43,859	1,111,908	992,655
2016-01-20	$17.81	$21.00	45.6%	13.1%	29.8%	68.0%	49.1%	6.3%	0.3%	-6.9M	1.17B	-4.1M	0.96	5.00	N/A	N/A	66,216	63,798	1,148,033	1,019,653
2016-01-21	$17.34	$21.00	47.4%	13.6%	29.8%	73.6%	46.6%	6.7%	-0.2%	-7.3M	1.21B	-4.4M	0.59	4.60	N/A	N/A	113,898	67,643	1,181,512	1,060,651
2016-01-22	$18.01	$20.00	44.9%	12.8%	33.4%	65.7%	47.1%	6.6%	0.5%	-8.8M	1.13B	-5.7M	0.49	3.86	N/A	N/A	71,818	35,105	1,233,250	1,111,740
2016-01-25	$17.70	$20.00	46.9%	13.6%	31.0%	71.9%	53.6%	6.4%	0.5%	-7.3M	1.20B	-4.9M	0.46	3.61	N/A	N/A	69,228	31,732	1,263,035	1,106,853
2016-01-26	$17.88	$20.00	44.3%	12.6%	31.6%	63.5%	46.3%	5.8%	-0.1%	-7.7M	1.16B	-5.1M	0.46	4.24	N/A	N/A	83,957	38,656	1,261,711	1,103,295
2016-01-27	$18.14	$19.50	43.4%	12.3%	32.0%	60.6%	43.3%	4.9%	0.3%	-8.0M	1.18B	-4.8M	0.38	7.27	N/A	N/A	88,666	33,899	1,276,115	1,115,911
2016-01-28	$18.49	$19.00	41.4%	11.7%	33.5%	54.3%	41.6%	4.5%	0.3%	-7.3M	1.08B	-5.8M	1.41	3.91	N/A	N/A	77,284	108,604	1,294,374	1,126,056
2016-01-29	$19.11	$19.00	40.3%	11.2%	34.9%	50.6%	38.2%	5.0%	0.8%	-5.0M	1.01B	-4.6M	1.04	4.11	N/A	N/A	84,713	87,919	1,310,419	1,175,667