EWZ Options History — April 2016

In April 2016, EWZ traded between $24.93 and $29.57. ATM implied volatility averaged 48.6%, placing in the 68.0% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 0.2% (HV 20d: 48.4%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.13.

Notable Days

2016-04-13: Highest Volume — 328,787 contracts
2016-04-18: Largest IV drop — 13.9% change
2016-04-04: Highest IV Rank — 100.0%
2016-04-06: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.68	$24.93	$29.57	$26.87	$29.57
Max Pain	$27.14	$25.00	$27.50	$25.00	$27.50
ATM IV	48.6%	37.3%	60.5%	53.9%	37.3%
Expected Move	13.4%	10.5%	15.9%	13.4%	10.7%
HV 20d	48.4%	40.3%	59.5%	54.7%	41.1%
HV 60d	51.7%	48.5%	52.8%	51.0%	48.5%
IV Rank	68.0%	35.1%	100.0%	95.0%	35.1%
IV Percentile	72.0%	31.0%	100.0%	98.8%	31.0%
Term Structure	-1.8%	-4.1%	-0.3%	-2.1%	-0.5%
VWIV	46.2%	35.0%	54.1%	46.9%	39.4%
Skew 25d	6.1%	4.0%	10.7%	5.7%	6.4%
Skew 10d	12.6%	8.0%	18.5%	13.2%	14.6%
Call IV 25d	45.8%	34.4%	58.2%	51.6%	34.4%
Put IV 25d	51.9%	40.6%	63.1%	57.3%	40.8%
Bid-Ask Spread %	7.20	5.14	14.31	5.78	5.14
Gamma HHI	0.10	0.08	0.17	0.09	0.09
Net GEX	25.5M	764.4K	46.1M	17.8M	37.5M
Net DEX	-546.8M	-1.27B	379.5M	-317.6M	-1.11B
Net VEX	-14.4M	-15.9M	-12.5M	-13.4M	-15.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.48	3.06	2.02	3.06
Total Volume	198,284.143	111,505	328,787	136,798	198,537
Total OI	3,234,141.762	2,851,259	3,592,900	2,873,667	3,355,294

Daily Data (21 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
2016-04-01	$26.87	$25.00	53.9%	13.4%	54.7%	95.0%	46.9%	5.7%	-2.1%	17.8M	-317.6M	-13.4M	2.02	5.78	N/A	N/A	45,284	91,514	1,488,059	1,385,608
2016-04-04	$25.64	$27.00	57.5%	15.4%	54.9%	100.0%	54.0%	4.5%	-1.5%	8.6M	109.5M	-12.6M	2.56	6.10	N/A	N/A	54,601	139,691	1,470,484	1,380,775
2016-04-05	$25.37	$27.00	59.6%	15.9%	55.0%	100.0%	48.3%	4.0%	-2.2%	6.0M	193.5M	-12.8M	0.88	6.30	N/A	N/A	108,744	95,657	1,490,546	1,378,609
2016-04-06	$25.18	$27.00	60.5%	15.9%	55.0%	100.0%	53.6%	5.2%	-2.6%	4.7M	278.9M	-13.0M	0.48	5.27	N/A	N/A	144,958	70,162	1,535,779	1,413,467
2016-04-07	$24.93	$27.00	57.5%	15.1%	55.1%	91.6%	51.4%	5.0%	-2.6%	764.4K	379.5M	-12.5M	0.48	6.26	N/A	N/A	148,610	72,026	1,565,921	1,430,743
2016-04-08	$26.51	$27.00	56.9%	15.2%	58.0%	89.8%	51.4%	5.3%	-2.6%	21.8M	-298.7M	-13.8M	0.74	7.80	N/A	N/A	134,484	99,550	1,628,208	1,448,046
2016-04-11	$27.19	$27.00	58.1%	15.4%	58.6%	93.1%	53.4%	5.1%	-4.1%	28.7M	-606.4M	-14.5M	0.99	5.78	N/A	N/A	104,477	103,487	1,670,358	1,469,880
2016-04-12	$28.09	$27.00	56.8%	15.5%	59.5%	89.6%	54.1%	6.2%	-2.2%	37.1M	-1.01B	-14.5M	0.66	6.41	N/A	N/A	133,567	87,888	1,709,253	1,522,785
2016-04-13	$28.88	$27.00	53.1%	14.5%	49.1%	79.4%	52.4%	6.9%	-2.6%	43.2M	-1.27B	-15.1M	2.22	8.25	N/A	N/A	102,076	226,711	1,749,693	1,574,358
2016-04-14	$28.50	$27.00	50.6%	13.8%	49.5%	72.3%	50.0%	7.0%	-2.6%	30.8M	-1.03B	-15.1M	0.69	7.70	N/A	N/A	146,972	100,869	1,790,744	1,734,492
2016-04-15	$28.61	$27.00	51.5%	14.5%	42.4%	74.8%	47.7%	10.7%	-1.8%	23.6M	-1.11B	-15.1M	0.69	8.33	N/A	N/A	193,319	133,963	1,829,924	1,762,976
2016-04-18	$27.81	$27.50	44.4%	12.8%	43.5%	54.9%	45.7%	6.1%	-3.3%	28.9M	-417.4M	-14.3M	1.16	10.89	N/A	N/A	88,700	102,989	1,717,682	1,598,740
2016-04-19	$28.80	$27.50	41.4%	11.8%	45.1%	46.7%	42.9%	6.7%	-1.1%	46.1M	-830.5M	-14.8M	0.72	7.73	N/A	N/A	101,677	73,472	1,739,162	1,626,906
2016-04-20	$28.63	$27.50	42.0%	12.0%	45.2%	48.3%	42.3%	6.1%	-1.2%	36.8M	-711.7M	-15.1M	0.88	7.64	N/A	N/A	69,825	61,263	1,770,895	1,664,943
2016-04-21	$28.04	$27.50	42.5%	12.2%	42.3%	49.7%	42.7%	6.1%	-1.8%	20.7M	-454.7M	-14.9M	0.87	6.52	N/A	N/A	59,708	51,797	1,765,688	1,673,709
2016-04-22	$28.04	$27.50	40.9%	11.7%	42.2%	45.3%	41.6%	6.4%	-0.3%	22.8M	-435.8M	-14.7M	0.64	6.46	N/A	N/A	142,132	90,249	1,771,884	1,676,794
2016-04-25	$27.68	$27.50	42.0%	12.2%	40.3%	48.5%	42.2%	5.9%	-0.7%	19.3M	-304.4M	-14.9M	0.96	5.65	N/A	N/A	73,731	71,072	1,708,390	1,556,176
2016-04-26	$28.49	$27.50	39.1%	11.1%	41.4%	40.2%	36.9%	6.5%	-0.8%	27.4M	-593.0M	-15.2M	0.94	6.02	N/A	N/A	68,632	64,291	1,695,708	1,563,630
2016-04-27	$29.25	$27.50	38.4%	11.1%	42.2%	38.3%	38.8%	6.3%	-0.7%	34.8M	-975.7M	-15.6M	1.01	14.31	N/A	N/A	95,098	96,446	1,701,558	1,573,383
2016-04-28	$29.23	$27.50	37.7%	10.5%	41.5%	36.3%	35.0%	5.6%	-0.6%	37.9M	-966.6M	-15.6M	1.04	6.81	N/A	N/A	56,716	59,022	1,719,959	1,605,768
2016-04-29	$29.57	$27.50	37.3%	10.7%	41.1%	35.1%	39.4%	6.4%	-0.5%	37.5M	-1.11B	-15.9M	3.06	5.14	N/A	N/A	48,922	149,615	1,734,199	1,621,095