EWZ Options History — September 2016

In September 2016, EWZ traded between $32.02 and $35.07. ATM implied volatility averaged 32.2%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 0.1% (HV 20d: 32.1%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.87.

Notable Days

2016-09-16: Highest Volume — 130,583 contracts
2016-09-13: Largest IV spike — 15.4% change
2016-09-14: Highest IV Rank — 25.2%
2016-09-14: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.68	$32.02	$35.07	$33.56	$33.75
Max Pain	$34.17	$34.00	$35.00	$34.00	$34.00
ATM IV	32.2%	28.7%	36.7%	31.6%	31.1%
Expected Move	9.2%	7.5%	10.5%	8.4%	8.9%
HV 20d	32.1%	19.9%	37.9%	19.9%	37.9%
HV 60d	30.6%	28.5%	33.4%	30.8%	29.1%
IV Rank	11.0%	0.0%	25.2%	6.7%	7.7%
IV Percentile	11.4%	0.0%	23.4%	8.3%	6.7%
Term Structure	0.1%	-0.7%	0.7%	0.1%	0.5%
VWIV	32.5%	26.2%	37.0%	30.8%	32.0%
Skew 25d	4.5%	3.4%	5.5%	4.2%	4.0%
Skew 10d	9.2%	5.4%	12.9%	8.8%	9.3%
Call IV 25d	30.3%	26.9%	34.4%	29.7%	28.8%
Put IV 25d	34.8%	31.1%	39.6%	34.0%	32.9%
Bid-Ask Spread %	15.63	6.57	69.87	69.87	15.60
Gamma HHI	0.09	0.07	0.12	0.09	0.08
Net GEX	19.2M	612.3K	40.0M	8.1M	25.2M
Net DEX	-980.8M	-1.81B	-139.6M	-1.02B	-967.4M
Net VEX	-13.3M	-13.6M	-13.0M	-13.5M	-13.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.87	0.73	4.72	1.73	1.76
Total Volume	80,176.857	50,021	130,583	68,833	72,229
Total OI	2,959,176.19	2,522,371	3,449,163	3,192,667	2,658,775

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
2016-09-01	$33.56	$34.00	31.6%	8.4%	19.9%	6.7%	30.8%	4.2%	0.1%	8.1M	-1.02B	-13.5M	1.73	69.87	N/A	N/A	25,182	43,651	1,557,953	1,634,714
2016-09-02	$34.35	$34.00	29.0%	7.5%	21.2%	0.0%	26.2%	4.7%	0.5%	31.5M	-1.48B	-13.5M	1.20	6.57	N/A	N/A	27,527	33,022	1,573,927	1,625,996
2016-09-06	$35.01	$34.00	29.0%	8.5%	22.2%	0.2%	29.9%	3.9%	-0.0%	35.9M	-1.79B	-13.0M	1.25	8.53	N/A	N/A	28,126	35,025	1,571,158	1,600,022
2016-09-07	$34.99	$34.00	28.7%	8.4%	21.9%	0.0%	29.5%	4.3%	0.5%	36.7M	-1.77B	-13.1M	1.21	12.14	N/A	N/A	48,538	58,647	1,580,157	1,607,476
2016-09-08	$35.07	$34.50	28.9%	8.5%	21.6%	0.7%	30.7%	3.4%	0.4%	40.0M	-1.81B	-13.5M	1.82	9.97	N/A	N/A	37,165	67,570	1,623,537	1,650,280
2016-09-09	$33.17	$35.00	32.7%	9.4%	28.4%	12.7%	33.2%	4.7%	-0.1%	12.1M	-727.1M	-13.5M	4.72	13.47	N/A	N/A	20,345	95,967	1,646,495	1,686,470
2016-09-12	$33.86	$35.00	31.5%	9.1%	29.3%	9.0%	32.2%	4.7%	0.7%	13.7M	-1.02B	-13.3M	1.65	12.91	N/A	N/A	35,751	59,121	1,644,345	1,695,419
2016-09-13	$32.07	$35.00	36.4%	10.3%	34.5%	24.3%	35.4%	5.5%	-0.7%	2.8M	-139.6M	-13.0M	2.01	11.60	N/A	N/A	39,063	78,554	1,659,790	1,705,150
2016-09-14	$32.02	$34.00	36.7%	10.5%	34.5%	25.2%	37.0%	5.2%	-0.1%	1.1M	-142.1M	-13.1M	1.19	8.67	N/A	N/A	32,007	38,138	1,675,503	1,715,894
2016-09-15	$32.92	$34.00	34.9%	10.0%	36.3%	19.6%	34.7%	5.0%	-0.2%	612.3K	-551.4M	-13.4M	1.06	13.67	N/A	N/A	38,645	40,781	1,688,254	1,724,722
2016-09-16	$32.71	$34.00	34.9%	10.0%	36.3%	19.6%	33.3%	4.8%	-0.1%	9.9M	-464.7M	-13.3M	0.73	12.94	N/A	N/A	75,472	55,111	1,710,918	1,738,245
2016-09-19	$32.78	$34.00	34.7%	9.9%	36.2%	19.0%	34.9%	4.6%	0.2%	16.5M	-630.1M	-13.3M	2.32	11.62	N/A	N/A	16,485	38,290	1,352,936	1,169,435
2016-09-20	$33.22	$34.00	35.0%	10.0%	35.8%	19.8%	34.2%	4.7%	0.2%	18.4M	-766.5M	-13.6M	1.76	13.56	N/A	N/A	20,999	36,889	1,356,054	1,177,087
2016-09-21	$34.12	$34.00	30.9%	8.9%	37.0%	6.9%	31.6%	4.1%	0.7%	23.5M	-1.08B	-13.4M	1.81	20.89	N/A	N/A	18,714	33,909	1,359,298	1,173,857
2016-09-22	$34.25	$34.00	31.1%	8.9%	37.0%	7.5%	31.3%	3.9%	-0.1%	26.3M	-1.20B	-13.5M	2.05	17.57	N/A	N/A	24,814	50,941	1,363,063	1,177,033
2016-09-23	$33.85	$34.00	31.6%	9.1%	37.1%	9.1%	33.4%	4.2%	0.0%	24.3M	-1.06B	-13.4M	3.79	15.40	N/A	N/A	23,854	90,475	1,374,591	1,191,019
2016-09-26	$33.44	$34.00	33.1%	9.6%	37.1%	13.8%	33.8%	4.4%	0.2%	16.3M	-841.1M	-13.3M	2.02	14.10	N/A	N/A	16,585	33,436	1,376,147	1,218,332
2016-09-27	$33.87	$34.00	31.5%	8.9%	35.7%	8.8%	33.4%	4.5%	0.3%	17.6M	-962.1M	-13.3M	2.21	14.10	N/A	N/A	20,511	45,399	1,380,832	1,231,379
2016-09-28	$34.60	$34.00	30.5%	8.6%	36.5%	5.8%	31.4%	4.9%	0.2%	23.7M	-1.28B	-13.4M	2.03	10.77	N/A	N/A	19,306	39,222	1,388,946	1,239,282
2016-09-29	$33.62	$34.00	33.1%	9.5%	37.9%	14.0%	32.8%	4.9%	0.0%	20.1M	-889.0M	-13.2M	1.01	14.29	N/A	N/A	33,899	34,349	1,400,159	1,238,050
2016-09-30	$33.75	$34.00	31.1%	8.9%	37.9%	7.7%	32.0%	4.0%	0.5%	25.2M	-967.4M	-13.1M	1.76	15.60	N/A	N/A	26,212	46,017	1,414,525	1,244,250