EWZ Options History — May 2016

In May 2016, EWZ traded between $25.49 and $29.09. ATM implied volatility averaged 40.6%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 3.3% (HV 20d: 37.3%). Max pain ranged from $26.00 to $29.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.63.

Notable Days

2016-05-04: Highest Volume — 250,178 contracts
2016-05-27: Largest IV drop — 9.4% change
2016-05-24: Highest IV Rank — 53.3%
2016-05-03: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.34	$25.49	$29.09	$28.97	$25.49
Max Pain	$27.12	$26.00	$29.50	$29.50	$27.00
ATM IV	40.6%	36.5%	43.8%	38.9%	39.3%
Expected Move	11.6%	11.1%	12.8%	11.7%	11.6%
HV 20d	37.3%	34.8%	41.6%	37.7%	34.8%
HV 60d	47.8%	43.4%	49.0%	48.4%	43.4%
IV Rank	44.4%	33.0%	53.3%	39.7%	40.8%
IV Percentile	41.5%	19.0%	58.7%	36.9%	33.7%
Term Structure	0.0%	-2.7%	3.6%	0.5%	-0.9%
VWIV	40.9%	37.9%	44.5%	42.6%	39.9%
Skew 25d	7.0%	4.9%	9.8%	6.6%	8.9%
Skew 10d	14.2%	7.9%	19.3%	15.4%	13.3%
Call IV 25d	37.3%	34.0%	39.5%	36.2%	35.1%
Put IV 25d	44.3%	41.9%	47.2%	42.8%	44.1%
Bid-Ask Spread %	5.97	4.61	9.65	5.02	9.65
Gamma HHI	0.08	0.07	0.10	0.09	0.08
Net GEX	4.5M	-21.7M	25.8M	21.2M	-3.7M
Net DEX	80.3M	-756.1M	717.4M	-647.8M	717.4M
Net VEX	-14.2M	-15.6M	-11.7M	-15.6M	-11.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.63	0.74	3.75	1.96	2.12
Total Volume	125,929.952	50,188	250,178	149,326	84,033
Total OI	3,387,184.905	3,155,569	3,545,808	3,342,161	3,211,667

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
2016-05-02	$28.97	$29.50	38.9%	11.7%	37.7%	39.7%	42.6%	6.6%	0.5%	21.2M	-647.8M	-15.6M	1.96	5.02	N/A	N/A	50,523	98,803	1,694,811	1,647,350
2016-05-03	$27.73	$29.50	42.1%	12.8%	41.3%	48.5%	43.9%	6.8%	-0.2%	8.2M	-84.6M	-15.1M	1.61	5.41	N/A	N/A	65,054	104,537	1,708,458	1,669,429
2016-05-04	$28.12	$29.50	40.2%	12.0%	41.2%	43.2%	43.7%	7.2%	0.1%	11.1M	-209.4M	-15.2M	3.75	5.75	N/A	N/A	52,660	197,518	1,690,270	1,675,718
2016-05-05	$27.66	$26.00	40.8%	11.4%	41.6%	44.9%	39.3%	6.7%	-0.2%	-10.0M	142.3M	-15.3M	0.74	4.80	N/A	N/A	58,380	43,296	1,699,229	1,831,898
2016-05-06	$27.93	$26.00	40.0%	11.5%	35.9%	42.8%	44.5%	6.8%	0.2%	8.7M	-168.8M	-15.1M	1.69	4.82	N/A	N/A	34,862	58,965	1,711,294	1,706,818
2016-05-09	$27.52	$26.00	43.6%	11.9%	35.4%	53.0%	43.1%	7.7%	-1.6%	4.3M	33.6M	-14.6M	1.89	4.71	N/A	N/A	53,258	100,414	1,687,836	1,699,734
2016-05-10	$28.89	$26.00	40.2%	11.4%	37.7%	43.2%	42.0%	5.9%	-0.5%	21.2M	-635.2M	-15.3M	1.57	5.00	N/A	N/A	57,905	91,183	1,698,102	1,718,180
2016-05-11	$29.04	$26.00	39.1%	11.2%	36.4%	40.2%	37.9%	4.9%	0.8%	24.5M	-756.1M	-15.6M	1.76	4.96	N/A	N/A	51,564	90,851	1,718,122	1,742,094
2016-05-12	$29.09	$27.00	39.1%	11.1%	36.1%	40.2%	38.1%	6.3%	-0.2%	25.8M	-729.4M	-15.5M	1.66	5.31	N/A	N/A	52,819	87,652	1,723,696	1,767,210
2016-05-13	$27.84	$27.00	40.8%	11.6%	39.4%	45.1%	42.7%	6.5%	-0.9%	2.5M	-34.6M	-15.2M	2.21	4.61	N/A	N/A	37,100	81,897	1,730,151	1,803,248
2016-05-16	$27.94	$27.00	40.5%	11.5%	38.1%	44.2%	40.3%	7.0%	1.0%	3.2M	-117.9M	-14.7M	1.45	4.69	N/A	N/A	50,733	73,389	1,721,464	1,792,208
2016-05-17	$27.43	$27.00	42.5%	12.2%	36.3%	49.9%	38.8%	7.6%	1.0%	-5.9M	155.9M	-14.7M	2.03	4.96	N/A	N/A	28,234	57,400	1,731,071	1,796,784
2016-05-18	$26.80	$27.00	40.6%	11.6%	37.1%	44.5%	40.3%	5.6%	-0.2%	-17.7M	445.9M	-13.9M	1.24	5.00	N/A	N/A	64,698	80,282	1,724,036	1,805,599
2016-05-19	$26.52	$27.00	39.8%	11.2%	36.6%	42.1%	39.4%	6.8%	3.6%	-21.7M	621.2M	-13.8M	1.90	4.65	N/A	N/A	43,545	82,769	1,734,093	1,811,715
2016-05-20	$26.83	$27.00	40.0%	11.4%	37.0%	42.8%	38.6%	6.2%	0.5%	7.1M	448.1M	-13.7M	0.74	6.53	N/A	N/A	62,788	46,598	1,742,004	1,792,497
2016-05-23	$25.95	$27.00	41.0%	11.9%	38.4%	45.7%	40.9%	6.6%	0.6%	3.2M	529.8M	-12.9M	0.77	8.36	N/A	N/A	76,601	59,072	1,596,866	1,558,703
2016-05-24	$26.17	$27.00	43.8%	11.9%	36.8%	53.3%	42.6%	8.0%	-2.7%	4.3M	458.4M	-12.8M	1.01	6.15	N/A	N/A	49,738	50,353	1,591,087	1,572,056
2016-05-25	$26.12	$27.00	42.9%	12.0%	35.0%	50.8%	42.0%	7.8%	-1.3%	3.2M	491.6M	-12.7M	1.84	7.63	N/A	N/A	36,522	67,197	1,602,607	1,587,851
2016-05-26	$26.32	$27.00	40.3%	11.3%	35.3%	43.5%	39.7%	7.9%	0.4%	5.0M	412.1M	-12.8M	1.15	8.06	N/A	N/A	23,316	26,872	1,613,383	1,601,247
2016-05-27	$25.80	$27.00	36.5%	11.1%	35.1%	33.0%	38.7%	9.8%	1.1%	137.0K	613.1M	-12.3M	1.07	9.35	N/A	N/A	53,695	57,453	1,617,239	1,603,058
2016-05-31	$25.49	$27.00	39.3%	11.6%	34.8%	40.8%	39.9%	8.9%	-0.9%	-3.7M	717.4M	-11.7M	2.12	9.65	N/A	N/A	26,962	57,071	1,614,809	1,596,858