EWZ Options History — June 2016 In June 2016, EWZ traded between $25.84 and $30.14. ATM implied volatility averaged 37.8%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 0.9% (HV 20d: 36.9%). Max pain ranged from $25.50 to $35.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.99.
Notable Days 2016-06-14 : Highest Volume — 246,104 contracts2016-06-09 : Largest IV spike — 10.0% change2016-06-22 : Highest IV Rank — 47.5%2016-06-22 : Largest Expected Move — 12.3%Monthly Statistics Metric Avg Min Max Open Close Price $27.74 $25.84 $30.14 $25.84 $30.14 Max Pain $29.16 $25.50 $35.00 $27.00 $29.00 ATM IV 37.8% 31.2% 41.7% 37.9% 35.4% Expected Move 10.8% 9.6% 12.3% 10.8% 10.1% HV 20d 36.9% 32.5% 44.1% 32.5% 43.9% HV 60d 40.3% 37.4% 44.6% 43.5% 39.6% IV Rank 35.7% 18.2% 47.5% 36.9% 25.6% IV Percentile 25.8% 10.3% 46.0% 25.4% 10.3% Term Structure -0.3% -2.2% 3.5% -0.8% 0.6% VWIV 38.3% 32.3% 43.8% 38.3% 37.3% Skew 25d 6.7% 4.2% 9.7% 7.1% 4.6% Skew 10d 13.9% 3.9% 21.2% 13.9% 10.5% Call IV 25d 35.1% 30.6% 39.2% 33.6% 33.9% Put IV 25d 41.8% 35.8% 46.5% 40.7% 38.5% Bid-Ask Spread % 10.51 7.58 20.37 8.52 8.38 Gamma HHI 0.08 0.07 0.10 0.08 0.08 Net GEX 11.7M -590.3K 31.5M -590.3K 25.8M Net DEX 88.7M -674.7M 688.7M 621.2M -545.8M Net VEX -12.5M -14.1M -11.5M -11.6M -14.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.58 1.73 0.65 1.15 Total Volume 147,355.909 74,713 246,104 124,186 180,022 Total OI 3,004,622.773 2,367,820 3,600,707 3,220,734 2,648,221
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 2016-06-01 $25.84 $27.00 37.9% 10.8% 32.5% 36.9% 38.3% 7.1% -0.8% -590.3K 621.2M -11.6M 0.65 8.52 N/A N/A 75,263 48,923 1,616,341 1,604,393 2016-06-02 $26.35 $25.50 36.5% 10.0% 33.0% 33.2% 35.4% 7.9% -1.3% 7.9M 416.3M -11.9M 0.88 9.03 N/A N/A 41,926 36,762 1,636,818 1,618,867 2016-06-03 $27.17 $25.50 36.7% 9.9% 34.6% 33.6% 35.8% 5.6% -1.4% 14.7M 64.5M -12.3M 1.34 10.13 N/A N/A 56,481 75,621 1,637,958 1,610,525 2016-06-06 $27.31 $25.50 34.8% 9.8% 34.5% 28.2% 34.6% 6.5% -1.7% 16.2M 49.6M -12.2M 0.68 9.77 N/A N/A 100,295 68,169 1,636,400 1,630,938 2016-06-07 $27.60 $29.00 33.4% 9.7% 34.3% 24.4% 35.2% 6.9% -1.3% 18.2M -45.3M -12.3M 0.85 9.16 N/A N/A 45,904 39,239 1,659,098 1,659,890 2016-06-08 $29.02 $29.50 31.2% 9.6% 34.6% 18.2% 33.8% 4.5% 3.5% 31.5M -674.7M -13.1M 0.65 8.86 N/A N/A 91,295 59,778 1,656,649 1,680,038 2016-06-09 $28.52 $35.00 34.3% 9.9% 35.1% 26.9% 36.7% 7.0% 1.4% 28.2M -439.2M -13.0M 1.16 8.85 N/A N/A 55,185 64,284 1,681,507 1,687,177 2016-06-10 $27.30 $30.00 37.5% 10.7% 38.2% 35.9% 32.3% 7.6% -1.1% 15.2M 98.8M -12.5M 1.06 10.40 N/A N/A 36,229 38,484 1,701,761 1,711,857 2016-06-13 $26.98 $30.00 39.1% 11.3% 35.3% 40.4% 39.3% 8.0% -0.6% 10.1M 285.8M -12.1M 1.13 9.68 N/A N/A 102,686 116,201 1,701,814 1,699,750 2016-06-14 $26.27 $30.00 39.6% 11.4% 36.3% 41.7% 43.2% 9.4% 0.4% -319.4K 688.7M -11.5M 1.73 11.86 N/A N/A 90,025 156,079 1,739,174 1,758,824 2016-06-15 $26.64 $30.00 38.6% 11.1% 36.3% 39.0% 37.9% 9.7% 1.6% 2.2M 562.8M -11.7M 0.79 14.99 N/A N/A 111,884 88,016 1,743,313 1,781,840 2016-06-16 $26.93 $30.00 40.5% 11.6% 35.6% 44.3% 43.0% 6.6% -0.1% 11.5M 418.7M -11.8M 0.91 11.61 N/A N/A 126,290 114,317 1,774,156 1,768,988 2016-06-17 $27.39 $30.00 39.1% 11.2% 35.9% 40.3% 39.5% 8.2% 0.1% 2.7M 269.7M -12.2M 0.95 9.73 N/A N/A 111,832 106,627 1,795,179 1,805,528 2016-06-20 $28.06 $30.00 39.4% 11.2% 36.6% 41.1% 39.0% 8.1% -2.2% 6.3M 124.0M -12.4M 0.90 9.38 N/A N/A 79,710 71,371 1,204,085 1,163,735 2016-06-21 $28.30 $29.50 38.0% 11.0% 34.1% 37.1% 41.4% 4.4% -0.6% 6.1M 72.9M -12.9M 1.27 10.30 N/A N/A 36,267 46,015 1,227,979 1,179,810 2016-06-22 $27.89 $29.50 41.7% 12.3% 34.7% 47.5% 43.8% 6.0% -0.2% 7.0M 113.6M -12.6M 1.09 9.06 N/A N/A 42,277 46,148 1,223,623 1,172,375 2016-06-23 $29.06 $29.50 40.1% 10.9% 37.2% 43.1% 39.4% 4.2% -0.9% 14.0M -184.6M -13.3M 1.21 20.37 N/A N/A 43,284 52,166 1,235,760 1,180,207 2016-06-24 $27.89 $29.50 40.1% 11.8% 40.6% 39.5% 41.3% 7.4% -1.3% 5.8M 155.4M -12.7M 1.15 15.11 N/A N/A 34,762 39,989 1,244,723 1,187,843 2016-06-27 $27.35 $29.50 41.6% 11.8% 40.6% 44.1% 41.2% 6.5% -0.2% 3.0M 284.5M -12.3M 0.79 9.74 N/A N/A 89,349 70,759 1,228,103 1,176,241 2016-06-28 $28.54 $29.00 38.8% 10.9% 42.5% 35.9% 37.8% 5.5% 0.3% 11.6M -17.5M -13.0M 0.58 8.70 N/A N/A 85,327 49,187 1,287,021 1,216,043 2016-06-29 $29.67 $29.00 36.5% 10.3% 44.1% 29.0% 37.4% 5.1% -0.8% 19.6M -368.8M -13.5M 0.80 7.58 N/A N/A 120,750 96,652 1,304,916 1,222,233 2016-06-30 $30.14 $29.00 35.4% 10.1% 43.9% 25.6% 37.3% 4.6% 0.6% 25.8M -545.8M -14.1M 1.15 8.38 N/A N/A 83,651 96,371 1,380,740 1,267,481
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