EWZ Options History — February 2016

In February 2016, EWZ traded between $18.61 and $21.11. ATM implied volatility averaged 46.7%, placing in the 71.4% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 3.9% (HV 20d: 50.6%). Max pain ranged from $19.00 to $23.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.71.

Notable Days

2016-02-12: Highest Volume — 311,258 contracts
2016-02-02: Largest IV spike — 9.4% change
2016-02-09: Highest IV Rank — 88.8%
2016-02-09: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.89	$18.61	$21.11	$19.90	$20.48
Max Pain	$22.38	$19.00	$23.00	$19.00	$23.00
ATM IV	46.7%	40.6%	52.0%	40.6%	44.5%
Expected Move	13.5%	11.5%	14.9%	11.5%	13.7%
HV 20d	50.6%	38.3%	54.5%	38.3%	53.9%
HV 60d	41.6%	37.0%	43.9%	37.0%	42.4%
IV Rank	71.4%	51.8%	88.8%	51.8%	64.2%
IV Percentile	85.6%	65.1%	98.8%	65.1%	76.2%
Term Structure	-0.5%	-1.8%	1.0%	0.5%	-0.1%
VWIV	48.5%	43.3%	53.1%	43.3%	48.7%
Skew 25d	6.2%	4.5%	7.8%	4.9%	5.1%
Skew 10d	11.3%	8.3%	13.7%	10.7%	8.6%
Call IV 25d	44.6%	39.3%	49.2%	39.3%	42.8%
Put IV 25d	50.8%	44.2%	56.4%	44.2%	47.9%
Bid-Ask Spread %	4.14	3.16	6.73	3.72	3.55
Gamma HHI	0.13	0.09	0.17	0.12	0.13
Net GEX	-3.4M	-8.3M	2.0M	-4.1M	-2.7M
Net DEX	959.8M	776.5M	1.14B	903.0M	909.4M
Net VEX	-6.4M	-6.9M	-5.3M	-6.0M	-6.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.33	2.98	0.53	0.43
Total Volume	162,709.3	93,960	311,258	143,637	186,817
Total OI	2,685,109.1	2,488,328	2,956,000	2,500,079	2,607,332

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
2016-02-01	$19.90	$19.00	40.6%	11.5%	38.3%	51.8%	43.3%	4.9%	0.5%	-4.1M	903.0M	-6.0M	0.53	3.72	N/A	N/A	94,060	49,577	1,333,466	1,166,613
2016-02-02	$18.61	$19.00	44.5%	13.3%	43.5%	64.2%	45.3%	6.7%	0.4%	-6.6M	1.14B	-5.3M	0.92	3.98	N/A	N/A	87,503	80,731	1,353,192	1,171,664
2016-02-03	$19.69	$19.00	47.4%	14.2%	48.3%	73.9%	52.4%	6.6%	-0.2%	-4.7M	965.6M	-6.3M	0.70	4.10	N/A	N/A	170,121	118,906	1,337,051	1,217,604
2016-02-04	$20.48	$23.00	46.9%	13.6%	50.1%	72.0%	48.4%	6.8%	-0.3%	465.5K	797.8M	-6.9M	0.61	4.90	N/A	N/A	83,163	50,919	1,408,096	1,260,381
2016-02-05	$19.99	$23.00	48.8%	13.7%	49.2%	78.4%	50.3%	7.8%	-0.8%	44.8K	896.9M	-6.8M	0.33	6.61	N/A	N/A	127,775	41,974	1,410,021	1,277,793
2016-02-08	$19.56	$23.00	51.9%	14.2%	49.8%	88.3%	53.1%	7.4%	-1.8%	-1.7M	979.7M	-6.6M	1.22	6.73	N/A	N/A	53,562	65,292	1,457,663	1,281,520
2016-02-09	$19.36	$23.00	52.0%	14.9%	49.9%	88.8%	52.8%	7.2%	0.3%	-4.1M	1.06B	-6.4M	0.79	3.44	N/A	N/A	52,358	41,602	1,462,609	1,304,641
2016-02-10	$19.74	$23.00	50.0%	13.9%	50.4%	82.2%	52.3%	6.2%	-1.5%	-3.0M	989.7M	-6.3M	0.66	4.23	N/A	N/A	79,172	52,513	1,465,286	1,300,990
2016-02-11	$18.98	$23.00	51.5%	14.6%	51.9%	86.9%	52.7%	7.6%	-0.6%	-7.3M	1.14B	-6.1M	0.43	4.94	N/A	N/A	101,093	43,158	1,498,759	1,302,770
2016-02-12	$19.36	$23.00	49.2%	14.3%	51.9%	79.7%	51.9%	6.7%	1.0%	-4.4M	1.03B	-6.3M	2.98	4.17	N/A	N/A	78,167	233,091	1,497,892	1,282,683
2016-02-16	$19.44	$23.00	47.9%	13.8%	50.2%	75.5%	48.2%	6.9%	-1.3%	-8.3M	1.08B	-6.0M	0.33	4.01	N/A	N/A	83,499	27,682	1,478,384	1,360,536
2016-02-17	$20.21	$23.00	47.2%	13.5%	51.6%	73.0%	48.0%	6.8%	-1.1%	-2.3M	854.0M	-6.6M	0.59	4.62	N/A	N/A	92,427	54,565	1,502,224	1,365,319
2016-02-18	$19.68	$22.50	45.6%	13.0%	51.9%	67.8%	45.9%	6.3%	0.5%	-5.8M	962.4M	-6.4M	0.55	3.80	N/A	N/A	103,902	57,323	1,536,228	1,378,892
2016-02-19	$19.83	$23.00	44.1%	12.7%	50.5%	63.2%	43.4%	5.9%	-0.6%	-4.3M	1.05B	-6.2M	0.48	3.37	N/A	N/A	104,730	49,985	1,546,930	1,409,070
2016-02-22	$21.11	$23.00	43.5%	12.7%	53.2%	61.2%	45.4%	5.0%	-0.7%	2.0M	776.5M	-6.9M	0.65	3.22	N/A	N/A	119,179	77,230	1,320,153	1,199,750
2016-02-23	$20.56	$23.00	43.9%	12.9%	53.9%	62.2%	46.0%	6.0%	-0.7%	-1.8M	877.6M	-6.5M	0.61	3.41	N/A	N/A	83,076	50,658	1,292,238	1,196,090
2016-02-24	$20.38	$23.00	45.1%	13.5%	54.2%	66.3%	48.7%	4.7%	-1.1%	-2.8M	906.8M	-6.6M	0.36	3.30	N/A	N/A	122,845	43,675	1,326,048	1,211,306
2016-02-25	$20.36	$23.00	44.7%	13.2%	54.1%	64.9%	46.0%	4.8%	-1.4%	-2.4M	889.3M	-6.6M	0.57	3.53	N/A	N/A	86,083	48,986	1,361,336	1,219,801
2016-02-26	$20.02	$23.00	44.5%	13.3%	54.5%	64.4%	46.7%	4.5%	-0.6%	-4.5M	992.5M	-6.5M	0.50	3.16	N/A	N/A	104,724	52,063	1,362,270	1,237,581
2016-02-29	$20.48	$23.00	44.5%	13.7%	53.9%	64.2%	48.7%	5.1%	-0.1%	-2.7M	909.4M	-6.5M	0.43	3.55	N/A	N/A	130,885	55,932	1,378,903	1,228,429