EWZ Options History — July 2016

In July 2016, EWZ traded between $29.06 and $33.28. ATM implied volatility averaged 33.1%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 4.2% (HV 20d: 37.4%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.58.

Notable Days

2016-07-12: Highest Volume — 141,220 contracts
2016-07-08: Largest IV drop — 5.4% change
2016-07-05: Highest IV Rank — 29.3%
2016-07-05: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.62	$29.06	$33.28	$30.52	$33.28
Max Pain	$29.48	$28.00	$31.00	$29.50	$31.00
ATM IV	33.1%	30.1%	36.6%	35.0%	30.1%
Expected Move	9.4%	8.2%	10.5%	9.5%	8.2%
HV 20d	37.4%	25.8%	45.3%	43.1%	27.3%
HV 60d	37.2%	35.1%	39.5%	39.5%	35.5%
IV Rank	14.1%	0.0%	29.3%	24.6%	0.0%
IV Percentile	4.1%	0.0%	13.5%	9.5%	0.0%
Term Structure	0.4%	-0.8%	1.9%	-0.1%	1.2%
VWIV	33.7%	29.3%	38.6%	34.4%	29.3%
Skew 25d	4.1%	3.2%	5.5%	4.7%	3.3%
Skew 10d	8.8%	6.6%	11.6%	10.7%	9.0%
Call IV 25d	31.4%	28.8%	34.7%	32.5%	28.8%
Put IV 25d	35.5%	32.1%	39.8%	37.2%	32.1%
Bid-Ask Spread %	8.02	6.08	11.18	6.95	8.81
Gamma HHI	0.08	0.07	0.11	0.07	0.09
Net GEX	29.1M	14.3M	35.5M	26.7M	35.5M
Net DEX	-956.4M	-1.44B	-172.6M	-664.2M	-1.44B
Net VEX	-14.2M	-14.6M	-13.5M	-14.4M	-14.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.58	0.71	7.62	2.56	2.61
Total Volume	89,717.15	44,581	141,220	90,643	44,581
Total OI	2,745,814.6	2,622,220	2,831,000	2,718,403	2,788,451

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
2016-07-01	$30.52	$29.50	35.0%	9.5%	43.1%	24.6%	34.4%	4.7%	-0.1%	26.7M	-664.2M	-14.4M	2.56	6.95	N/A	N/A	25,436	65,207	1,430,542	1,287,861
2016-07-05	$29.54	$28.00	36.6%	10.5%	45.2%	29.3%	38.6%	5.1%	0.0%	19.4M	-332.6M	-13.9M	1.35	6.66	N/A	N/A	48,332	65,035	1,423,602	1,285,122
2016-07-06	$29.33	$28.50	36.2%	10.5%	45.3%	28.1%	37.5%	5.5%	0.2%	15.6M	-226.5M	-13.9M	2.51	6.61	N/A	N/A	31,625	79,386	1,424,382	1,297,858
2016-07-07	$29.06	$28.00	36.1%	10.2%	41.9%	27.7%	36.2%	5.1%	-0.1%	14.3M	-172.6M	-13.5M	2.62	7.32	N/A	N/A	28,036	73,355	1,427,248	1,305,439
2016-07-08	$30.40	$28.00	34.1%	10.0%	44.2%	21.9%	38.2%	4.2%	0.5%	26.8M	-616.1M	-14.1M	3.80	6.57	N/A	N/A	28,561	108,624	1,433,106	1,310,469
2016-07-11	$30.68	$28.50	35.3%	9.9%	40.6%	25.3%	34.8%	4.7%	-0.8%	28.8M	-703.9M	-14.0M	2.34	6.08	N/A	N/A	31,049	72,598	1,430,616	1,327,577
2016-07-12	$31.01	$28.50	34.4%	9.9%	40.1%	22.8%	35.1%	3.3%	0.2%	31.9M	-832.9M	-14.2M	0.71	7.89	N/A	N/A	82,537	58,683	1,434,421	1,332,319
2016-07-13	$31.33	$29.00	34.1%	9.7%	38.1%	21.9%	33.0%	5.5%	0.1%	32.9M	-861.0M	-14.3M	0.83	8.61	N/A	N/A	49,258	40,995	1,461,008	1,353,978
2016-07-14	$32.03	$28.50	33.3%	9.7%	38.3%	19.6%	37.3%	3.6%	0.4%	33.8M	-1.18B	-14.4M	3.49	6.40	N/A	N/A	20,564	71,794	1,467,962	1,351,822
2016-07-15	$32.04	$29.00	33.3%	9.6%	38.5%	19.5%	34.4%	4.8%	-0.1%	33.0M	-1.15B	-14.4M	1.71	7.83	N/A	N/A	26,480	45,320	1,469,649	1,361,351
2016-07-18	$32.56	$29.00	32.6%	9.3%	38.4%	11.7%	33.9%	3.2%	0.9%	32.0M	-1.26B	-14.5M	1.27	8.90	N/A	N/A	42,770	54,293	1,405,601	1,216,619
2016-07-19	$32.66	$29.00	32.0%	9.1%	38.0%	9.1%	32.9%	3.5%	1.1%	34.4M	-1.29B	-14.5M	1.46	9.94	N/A	N/A	36,121	52,597	1,438,549	1,237,274
2016-07-20	$32.74	$29.00	31.7%	9.1%	38.1%	8.2%	31.7%	4.1%	1.9%	34.8M	-1.32B	-14.5M	3.06	9.26	N/A	N/A	27,828	85,167	1,443,791	1,244,008
2016-07-21	$32.40	$31.00	32.0%	9.1%	37.8%	2.7%	31.9%	3.3%	0.4%	33.9M	-1.19B	-14.4M	7.62	11.18	N/A	N/A	9,050	68,972	1,462,970	1,252,068
2016-07-22	$32.88	$31.00	30.6%	8.7%	35.8%	0.0%	31.6%	3.7%	1.4%	32.4M	-1.30B	-14.6M	3.13	8.95	N/A	N/A	15,392	48,248	1,458,552	1,279,589
2016-07-25	$32.41	$31.00	32.0%	9.0%	32.2%	4.7%	31.6%	4.2%	-0.3%	29.8M	-1.13B	-14.3M	2.34	7.60	N/A	N/A	24,637	57,627	1,459,795	1,281,682
2016-07-26	$32.65	$31.00	31.1%	8.7%	30.6%	1.7%	31.2%	3.4%	0.5%	29.7M	-1.21B	-14.4M	2.74	6.97	N/A	N/A	14,563	39,890	1,467,787	1,303,175
2016-07-27	$32.58	$31.00	30.8%	8.5%	28.0%	0.4%	29.5%	3.4%	0.8%	29.5M	-1.19B	-14.1M	2.13	10.90	N/A	N/A	22,107	47,097	1,468,727	1,308,171
2016-07-28	$32.27	$31.00	31.2%	8.5%	25.8%	1.8%	30.9%	3.7%	0.0%	25.9M	-1.07B	-13.9M	3.25	7.06	N/A	N/A	11,882	38,646	1,472,144	1,311,007
2016-07-29	$33.28	$31.00	30.1%	8.2%	27.3%	0.0%	29.3%	3.3%	1.2%	35.5M	-1.44B	-14.2M	2.61	8.81	N/A	N/A	12,346	32,235	1,473,078	1,315,373