EWZ Options History — March 2016

In March 2016, EWZ traded between $21.57 and $26.92. ATM implied volatility averaged 49.6%, placing in the 80.9% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 5.6% (HV 20d: 55.2%). Max pain ranged from $21.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.69.

Notable Days

2016-03-03: Highest Volume — 315,859 contracts
2016-03-04: Largest IV spike — 14.8% change
2016-03-31: Highest IV Rank — 95.9%
2016-03-28: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.36	$21.57	$26.92	$21.57	$26.32
Max Pain	$23.25	$21.00	$25.00	$23.00	$25.00
ATM IV	49.6%	43.1%	54.2%	43.1%	54.2%
Expected Move	14.1%	12.9%	15.8%	13.4%	13.4%
HV 20d	55.2%	45.6%	61.2%	55.0%	59.4%
HV 60d	48.6%	43.3%	52.0%	43.5%	50.9%
IV Rank	80.9%	59.7%	95.9%	59.7%	95.9%
IV Percentile	91.3%	67.5%	99.2%	67.5%	99.2%
Term Structure	-0.9%	-3.3%	0.9%	-0.2%	-1.1%
VWIV	49.3%	44.4%	57.6%	46.5%	48.3%
Skew 25d	4.3%	1.7%	5.9%	4.5%	5.6%
Skew 10d	9.0%	6.3%	13.8%	9.1%	9.4%
Call IV 25d	48.1%	41.6%	51.7%	41.6%	51.7%
Put IV 25d	52.4%	46.1%	57.3%	46.1%	57.3%
Bid-Ask Spread %	7.57	3.63	13.05	3.84	5.72
Gamma HHI	0.09	0.07	0.11	0.09	0.10
Net GEX	24.4M	5.3M	44.4M	5.3M	20.2M
Net DEX	-326.4M	-1.01B	657.7M	657.7M	-241.2M
Net VEX	-11.0M	-12.7M	-7.2M	-7.2M	-12.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.17	2.31	0.28	2.31
Total Volume	206,798.318	115,405	315,859	197,178	241,919
Total OI	2,882,906.318	2,342,369	3,480,336	2,677,841	2,708,313

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
2016-03-01	$21.57	$23.00	43.1%	13.4%	55.0%	59.7%	46.5%	4.5%	-0.2%	5.3M	657.7M	-7.2M	0.28	3.84	N/A	N/A	153,823	43,355	1,437,930	1,239,911
2016-03-02	$22.09	$22.50	43.3%	13.4%	48.5%	60.5%	47.7%	4.5%	-0.3%	11.7M	450.4M	-7.9M	0.46	3.63	N/A	N/A	126,727	58,315	1,494,782	1,244,810
2016-03-03	$23.75	$21.00	45.3%	12.9%	50.9%	66.9%	44.4%	4.7%	-0.9%	20.9M	6.7M	-8.9M	0.23	9.67	N/A	N/A	256,214	59,645	1,522,198	1,259,145
2016-03-04	$25.03	$21.50	52.0%	13.6%	52.1%	88.7%	48.3%	1.7%	-2.9%	27.7M	-394.4M	-10.0M	0.93	11.71	N/A	N/A	153,258	141,822	1,568,990	1,266,684
2016-03-07	$24.80	$22.00	49.8%	13.7%	51.1%	81.5%	48.1%	4.5%	-1.0%	26.7M	-326.1M	-9.9M	0.35	9.70	N/A	N/A	105,499	37,102	1,616,089	1,342,474
2016-03-08	$24.92	$22.00	50.0%	14.0%	49.7%	82.2%	49.4%	3.0%	-0.9%	25.8M	-342.0M	-10.1M	0.17	9.38	N/A	N/A	259,745	44,329	1,605,676	1,352,404
2016-03-09	$25.12	$22.50	49.9%	13.8%	49.0%	81.7%	48.6%	4.5%	-2.2%	28.5M	-438.8M	-11.0M	0.19	9.50	N/A	N/A	243,916	47,153	1,756,770	1,369,732
2016-03-10	$26.02	$23.00	49.0%	13.9%	49.6%	79.1%	47.9%	4.2%	-0.7%	35.0M	-754.0M	-11.2M	0.32	10.26	N/A	N/A	226,331	72,313	1,746,932	1,379,778
2016-03-11	$26.21	$23.00	48.9%	14.0%	45.6%	78.6%	47.8%	4.3%	-1.1%	36.2M	-803.7M	-11.5M	0.36	10.21	N/A	N/A	167,994	61,245	1,786,221	1,426,912
2016-03-14	$25.96	$23.00	48.2%	13.7%	46.5%	76.3%	47.5%	4.7%	-1.2%	36.7M	-646.1M	-11.3M	0.41	7.38	N/A	N/A	91,961	37,770	1,787,879	1,435,504
2016-03-15	$23.78	$23.00	52.2%	14.9%	59.0%	89.4%	51.3%	3.5%	-3.3%	16.0M	115.1M	-10.2M	0.63	9.31	N/A	N/A	132,903	84,146	1,811,256	1,468,457
2016-03-16	$24.31	$23.00	50.1%	14.4%	58.2%	82.7%	49.6%	4.1%	-1.2%	21.8M	-12.6M	-10.5M	0.26	13.05	N/A	N/A	114,753	29,374	1,858,768	1,518,041
2016-03-17	$26.24	$23.00	52.4%	15.0%	61.2%	90.0%	51.8%	4.3%	-0.2%	44.4M	-834.7M	-11.7M	0.27	6.49	N/A	N/A	140,838	38,468	1,897,205	1,526,633
2016-03-18	$26.74	$23.00	50.3%	14.4%	61.2%	83.0%	49.7%	3.9%	0.5%	23.6M	-1.01B	-12.3M	0.52	5.61	N/A	N/A	134,866	69,536	1,931,571	1,548,765
2016-03-21	$26.89	$24.00	49.5%	14.0%	58.6%	80.5%	49.5%	4.0%	-0.6%	24.2M	-521.4M	-12.0M	0.92	6.03	N/A	N/A	59,992	55,413	1,296,317	1,046,052
2016-03-22	$26.92	$24.00	46.6%	13.7%	57.0%	71.3%	45.8%	3.8%	-1.5%	25.0M	-559.6M	-12.4M	0.58	5.10	N/A	N/A	115,592	66,934	1,317,311	1,068,956
2016-03-23	$25.70	$24.00	50.1%	14.9%	60.4%	82.4%	52.2%	5.9%	-0.9%	21.6M	-183.9M	-11.8M	0.93	6.49	N/A	N/A	122,158	113,890	1,370,046	1,103,119
2016-03-24	$25.57	$24.50	51.0%	15.3%	60.5%	85.4%	53.6%	5.0%	0.3%	13.6M	-92.8M	-11.7M	1.58	5.42	N/A	N/A	47,363	74,649	1,400,295	1,153,323
2016-03-28	$26.65	$24.50	53.5%	15.8%	60.4%	93.6%	57.6%	5.4%	-1.0%	21.7M	-357.6M	-12.3M	1.51	6.76	N/A	N/A	69,235	104,320	1,375,790	1,136,552
2016-03-29	$26.66	$25.00	51.3%	14.7%	60.5%	86.4%	51.1%	4.5%	0.9%	23.5M	-408.9M	-12.4M	0.67	5.82	N/A	N/A	102,019	68,198	1,408,646	1,186,498
2016-03-30	$26.77	$25.00	50.3%	13.5%	58.8%	83.3%	48.1%	3.8%	-0.5%	27.6M	-479.2M	-12.7M	1.25	5.43	N/A	N/A	77,402	97,078	1,449,534	1,201,670
2016-03-31	$26.32	$25.00	54.2%	13.4%	59.4%	95.9%	48.3%	5.6%	-1.1%	20.2M	-241.2M	-12.6M	2.31	5.72	N/A	N/A	73,092	168,827	1,454,551	1,253,762