EWZ Options History — October 2016

In October 2016, EWZ traded between $34.08 and $38.13. ATM implied volatility averaged 30.4%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 2.9% (HV 20d: 27.5%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.92.

Notable Days

2016-10-20: Highest Volume — 158,009 contracts
2016-10-13: Largest IV drop — 5.1% change
2016-10-12: Highest IV Rank — 19.2%
2016-10-11: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.52	$34.08	$38.13	$34.74	$37.78
Max Pain	$36.29	$34.00	$38.00	$34.00	$38.00
ATM IV	30.4%	27.1%	34.8%	31.6%	28.3%
Expected Move	8.8%	7.8%	9.8%	8.8%	8.9%
HV 20d	27.5%	18.8%	39.6%	38.4%	18.8%
HV 60d	28.4%	27.2%	28.9%	28.3%	27.3%
IV Rank	7.1%	0.0%	19.2%	9.1%	3.7%
IV Percentile	9.8%	0.0%	25.8%	12.3%	2.8%
Term Structure	0.2%	-1.2%	2.1%	0.6%	-0.1%
VWIV	31.4%	27.6%	34.5%	31.0%	31.6%
Skew 25d	4.6%	3.2%	6.4%	5.3%	5.2%
Skew 10d	9.7%	7.2%	15.0%	15.0%	8.2%
Call IV 25d	28.7%	25.5%	33.1%	29.1%	26.9%
Put IV 25d	33.3%	29.4%	38.1%	34.5%	32.1%
Bid-Ask Spread %	12.34	8.88	17.17	13.18	12.65
Gamma HHI	0.10	0.08	0.11	0.09	0.10
Net GEX	40.6M	21.0M	58.4M	25.8M	33.5M
Net DEX	-2.07B	-2.79B	-1.06B	-1.33B	-2.37B
Net VEX	-13.4M	-13.9M	-12.8M	-13.3M	-13.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.92	0.72	4.83	1.90	0.75
Total Volume	99,432	44,613	158,009	48,106	58,121
Total OI	2,913,282.238	2,661,798	3,140,693	2,661,798	3,087,341

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
2016-10-03	$34.74	$34.00	31.6%	8.8%	38.4%	9.1%	31.0%	5.3%	0.6%	25.8M	-1.33B	-13.3M	1.90	13.18	N/A	N/A	16,598	31,508	1,409,331	1,252,467
2016-10-04	$34.08	$34.00	32.6%	9.0%	38.4%	12.3%	32.1%	5.1%	0.9%	21.0M	-1.06B	-13.2M	2.90	12.95	N/A	N/A	34,367	99,514	1,416,646	1,258,437
2016-10-05	$34.96	$34.00	32.4%	8.7%	39.6%	11.6%	30.0%	5.0%	1.6%	25.3M	-1.42B	-13.7M	1.17	13.58	N/A	N/A	49,178	57,657	1,431,510	1,317,142
2016-10-06	$35.19	$34.50	32.0%	9.7%	39.6%	10.6%	33.9%	4.7%	2.1%	33.6M	-1.55B	-13.9M	3.33	11.72	N/A	N/A	13,524	45,077	1,473,670	1,331,108
2016-10-07	$35.44	$34.50	31.4%	9.5%	33.7%	8.5%	32.8%	4.9%	0.7%	38.7M	-1.70B	-13.7M	3.65	8.88	N/A	N/A	14,435	52,659	1,475,965	1,334,034
2016-10-10	$35.90	$34.50	32.4%	9.3%	33.3%	11.8%	33.3%	4.7%	-0.0%	42.5M	-1.89B	-13.4M	1.77	9.46	N/A	N/A	47,239	83,451	1,475,199	1,338,604
2016-10-11	$35.64	$34.50	33.4%	9.8%	25.9%	14.7%	32.5%	6.4%	1.3%	41.6M	-1.77B	-13.6M	2.08	8.93	N/A	N/A	31,481	65,459	1,509,139	1,361,407
2016-10-12	$35.45	$37.00	34.8%	9.7%	26.1%	19.2%	34.5%	3.2%	-1.2%	41.2M	-1.66B	-13.8M	4.83	9.74	N/A	N/A	7,656	36,957	1,532,208	1,381,968
2016-10-13	$35.88	$37.00	33.0%	9.5%	24.9%	13.6%	32.4%	3.6%	-0.0%	47.0M	-1.88B	-13.7M	1.61	11.99	N/A	N/A	21,238	34,171	1,534,864	1,385,179
2016-10-14	$36.11	$37.00	32.6%	9.3%	24.6%	12.4%	32.2%	5.7%	-0.1%	51.7M	-1.96B	-13.5M	1.22	13.30	N/A	N/A	29,925	36,526	1,535,198	1,395,913
2016-10-17	$36.34	$37.00	31.2%	8.9%	24.5%	8.0%	31.4%	5.2%	-0.9%	58.4M	-2.11B	-13.0M	1.09	11.75	N/A	N/A	65,521	71,276	1,544,887	1,395,352
2016-10-18	$37.39	$37.00	29.9%	8.6%	25.8%	3.9%	31.9%	5.2%	-0.8%	54.2M	-2.63B	-12.8M	2.12	13.38	N/A	N/A	27,427	58,087	1,554,860	1,419,664
2016-10-19	$37.32	$37.00	29.2%	8.4%	24.7%	1.7%	28.8%	4.7%	-0.6%	52.8M	-2.57B	-13.1M	2.05	12.88	N/A	N/A	46,458	95,114	1,569,947	1,469,430
2016-10-20	$37.78	$37.00	27.8%	8.0%	24.8%	0.0%	30.2%	4.2%	-0.4%	48.4M	-2.77B	-13.1M	0.72	10.50	N/A	N/A	92,054	65,955	1,576,190	1,516,903
2016-10-21	$37.81	$37.00	27.1%	7.8%	24.1%	0.0%	31.0%	3.9%	-0.3%	44.6M	-2.79B	-13.3M	2.22	10.78	N/A	N/A	29,504	65,457	1,596,908	1,543,785
2016-10-24	$38.13	$37.00	27.5%	8.0%	23.2%	1.2%	29.1%	4.3%	0.9%	42.0M	-2.60B	-13.0M	1.02	12.80	N/A	N/A	54,421	55,246	1,497,275	1,378,600
2016-10-25	$38.12	$37.00	27.1%	7.8%	23.2%	0.0%	27.6%	3.7%	0.1%	42.2M	-2.59B	-13.2M	1.32	13.71	N/A	N/A	46,358	61,219	1,515,445	1,395,699
2016-10-26	$37.81	$38.00	27.8%	8.2%	23.0%	2.1%	31.0%	4.0%	-0.1%	36.5M	-2.35B	-13.3M	1.41	13.79	N/A	N/A	49,848	70,496	1,526,536	1,427,705
2016-10-27	$37.82	$38.00	27.8%	8.3%	19.4%	2.2%	29.8%	4.4%	0.8%	36.0M	-2.40B	-13.3M	0.75	16.03	N/A	N/A	77,088	57,671	1,538,369	1,446,941
2016-10-28	$37.31	$38.00	28.2%	8.4%	20.6%	3.4%	32.3%	4.0%	0.3%	34.9M	-2.11B	-13.3M	2.48	17.17	N/A	N/A	38,002	94,129	1,569,707	1,457,394
2016-10-31	$37.78	$38.00	28.3%	8.9%	18.8%	3.7%	31.6%	5.2%	-0.1%	33.5M	-2.37B	-13.3M	0.75	12.65	N/A	N/A	33,254	24,867	1,573,231	1,514,110