EWZ Options History — August 2016 In August 2016, EWZ traded between $32.24 and $34.87. ATM implied volatility averaged 31.3%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 7.4% (HV 20d: 23.8%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 3.50.
Notable Days 2016-08-12 : Highest Volume — 135,163 contracts2016-08-22 : Largest IV spike — 5.2% change2016-08-26 : Highest IV Rank — 9.8%2016-08-08 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $33.85 $32.24 $34.87 $32.55 $33.53 Max Pain $32.89 $31.00 $34.00 $31.50 $34.00 ATM IV 31.3% 29.5% 32.6% 31.3% 31.9% Expected Move 8.9% 8.4% 9.3% 8.6% 8.8% HV 20d 23.8% 21.5% 28.7% 28.7% 21.5% HV 60d 33.3% 32.2% 35.8% 35.6% 32.3% IV Rank 4.9% 0.0% 9.8% 3.8% 7.6% IV Percentile 4.5% 0.0% 11.5% 2.4% 9.5% Term Structure 0.3% -0.9% 1.7% 0.6% -0.1% VWIV 31.3% 27.4% 34.0% 31.3% 30.7% Skew 25d 4.1% 2.8% 5.3% 3.8% 5.3% Skew 10d 7.5% -0.1% 13.1% 6.2% 9.2% Call IV 25d 29.7% 27.8% 31.0% 29.8% 29.6% Put IV 25d 33.8% 31.1% 35.7% 33.6% 35.0% Bid-Ask Spread % 14.86 5.48 68.61 7.50 66.19 Gamma HHI 0.09 0.08 0.11 0.09 0.09 Net GEX 23.0M -1.4M 35.4M 32.6M 8.7M Net DEX -1.40B -1.87B -644.9M -1.20B -1.01B Net VEX -14.2M -14.6M -13.5M -14.0M -13.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.50 1.52 8.99 6.16 1.52 Total Volume 78,252.739 35,004 135,163 52,284 74,925 Total OI 3,084,205.435 2,782,890 3,272,124 2,782,890 3,170,457
Daily Data (23 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 2016-08-01 $32.55 $31.50 31.3% 8.6% 28.7% 3.8% 31.3% 3.8% 0.6% 32.6M -1.20B -14.0M 6.16 7.50 N/A N/A 7,307 44,977 1,475,767 1,307,123 2016-08-02 $32.24 $32.00 32.5% 8.8% 25.9% 7.9% 32.5% 4.6% -0.3% 28.5M -1.05B -13.8M 4.53 6.65 N/A N/A 6,326 28,678 1,478,772 1,320,080 2016-08-03 $33.00 $32.00 32.1% 8.4% 26.4% 6.5% 30.0% 4.3% -0.3% 33.9M -1.30B -13.8M 2.67 7.38 N/A N/A 30,770 82,311 1,479,875 1,313,343 2016-08-04 $33.77 $31.00 30.7% 9.2% 26.4% 1.8% 32.4% 3.5% 0.2% 35.4M -1.59B -14.4M 4.99 7.67 N/A N/A 21,184 105,636 1,494,099 1,373,805 2016-08-05 $34.15 $31.00 31.4% 9.1% 22.5% 4.3% 34.0% 3.8% -0.9% 29.7M -1.69B -14.6M 2.38 8.56 N/A N/A 27,338 64,994 1,497,950 1,439,898 2016-08-08 $34.09 $31.00 31.7% 9.3% 22.6% 5.3% 28.4% 3.7% 1.0% 28.1M -1.68B -14.5M 1.67 6.71 N/A N/A 35,514 59,241 1,509,805 1,470,440 2016-08-09 $34.46 $32.00 31.2% 9.2% 22.6% 3.5% 27.4% 3.3% 1.1% 29.9M -1.79B -14.5M 2.36 5.56 N/A N/A 21,914 51,658 1,525,374 1,501,620 2016-08-10 $34.14 $32.00 30.4% 9.0% 23.1% 1.0% 32.4% 4.1% 0.9% 26.8M -1.65B -14.3M 2.96 6.41 N/A N/A 33,137 98,229 1,532,394 1,512,638 2016-08-11 $34.87 $32.00 29.5% 8.6% 23.0% 0.0% 29.6% 3.9% 0.6% 31.6M -1.87B -14.5M 2.31 5.48 N/A N/A 30,226 69,971 1,548,400 1,582,333 2016-08-12 $34.43 $33.00 29.9% 8.9% 23.7% 1.3% 30.4% 2.8% 1.7% 30.4M -1.67B -14.5M 1.61 7.08 N/A N/A 51,697 83,466 1,560,560 1,588,259 2016-08-15 $34.81 $33.00 30.4% 8.8% 23.4% 2.8% 30.2% 3.7% -0.1% 33.6M -1.85B -14.6M 2.16 6.59 N/A N/A 17,145 36,989 1,576,736 1,607,636 2016-08-16 $34.56 $33.00 31.3% 9.0% 23.7% 5.8% 32.6% 4.1% 1.2% 33.0M -1.76B -14.5M 3.43 6.10 N/A N/A 15,715 53,844 1,585,180 1,605,715 2016-08-17 $34.52 $34.00 31.3% 9.0% 23.8% 5.5% 33.5% 4.1% 1.5% 29.8M -1.66B -14.6M 4.68 7.45 N/A N/A 15,116 70,798 1,585,512 1,633,505 2016-08-18 $34.32 $34.00 31.2% 8.9% 23.5% 5.3% 31.2% 3.9% 0.0% 30.3M -1.60B -14.4M 8.99 5.88 N/A N/A 3,745 33,669 1,592,789 1,664,557 2016-08-19 $34.49 $34.00 30.1% 8.6% 23.1% 1.8% 31.5% 3.8% 0.8% 29.8M -1.66B -14.3M 3.50 7.56 N/A N/A 24,063 84,342 1,594,686 1,677,438 2016-08-22 $33.70 $34.00 31.7% 8.9% 24.1% 6.8% 31.9% 4.3% 0.1% 13.1M -1.12B -14.2M 2.73 7.14 N/A N/A 23,755 64,813 1,553,724 1,560,509 2016-08-23 $33.48 $34.00 31.3% 8.8% 24.2% 5.6% 30.0% 3.8% 0.0% 11.7M -1.04B -13.9M 3.84 7.34 N/A N/A 14,097 54,118 1,557,376 1,572,624 2016-08-24 $33.57 $34.00 32.2% 9.0% 24.2% 8.5% 32.9% 4.4% -0.2% 5.9M -994.8M -14.2M 5.02 7.61 N/A N/A 8,974 45,031 1,563,472 1,613,458 2016-08-25 $33.31 $34.00 32.2% 9.2% 24.1% 8.6% 32.0% 4.7% 0.0% -1.4M -894.2M -13.9M 2.69 7.01 N/A N/A 10,373 27,875 1,568,342 1,640,604 2016-08-26 $32.88 $34.00 32.6% 9.2% 22.0% 9.8% 31.8% 4.4% -0.3% 4.6M -644.9M -13.8M 3.18 66.85 N/A N/A 13,744 43,657 1,570,730 1,636,441 2016-08-29 $33.89 $33.00 31.2% 8.8% 23.0% 5.4% 31.8% 4.6% 0.0% 12.0M -1.26B -13.9M 2.12 8.58 N/A N/A 20,032 42,447 1,549,050 1,585,661 2016-08-30 $33.81 $34.00 30.8% 8.7% 22.7% 4.0% 31.7% 4.9% 0.2% 12.2M -1.13B -13.8M 4.98 68.61 N/A N/A 7,685 38,287 1,549,167 1,608,821 2016-08-31 $33.53 $34.00 31.9% 8.8% 21.5% 7.6% 30.7% 5.3% -0.1% 8.7M -1.01B -13.5M 1.52 66.19 N/A N/A 29,719 45,206 1,551,205 1,619,252
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