EWZ Options History — November 2016 In November 2016, EWZ traded between $32.17 and $37.58. ATM implied volatility averaged 36.9%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 1.6% (HV 20d: 38.4%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.25.
Notable Days 2016-11-18 : Highest Volume — 200,258 contracts2016-11-10 : Largest IV spike — 20.2% change2016-11-14 : Highest IV Rank — 49.1%2016-11-14 : Largest Expected Move — 12.4%Monthly Statistics Metric Avg Min Max Open Close Price $34.26 $32.17 $37.58 $36.54 $33.64 Max Pain $36.19 $36.00 $38.00 $38.00 $36.00 ATM IV 36.9% 31.7% 43.5% 34.1% 37.4% Expected Move 10.7% 9.2% 12.4% 10.6% 11.5% HV 20d 38.4% 21.2% 48.6% 21.6% 48.2% HV 60d 34.0% 28.1% 37.5% 28.2% 37.4% IV Rank 29.2% 13.7% 49.1% 21.0% 30.7% IV Percentile 40.6% 19.0% 71.8% 28.6% 43.7% Term Structure -0.5% -2.5% 2.4% -2.5% -1.7% VWIV 37.8% 31.4% 44.4% 37.8% 39.2% Skew 25d 5.5% 4.1% 6.9% 5.0% 4.1% Skew 10d 11.3% 7.1% 15.6% 8.0% 9.3% Call IV 25d 34.3% 29.2% 40.0% 31.4% 34.3% Put IV 25d 39.7% 35.3% 46.2% 36.4% 38.4% Bid-Ask Spread % 17.99 11.56 24.43 18.49 20.16 Gamma HHI 0.09 0.08 0.11 0.09 0.10 Net GEX 19.0M -2.1M 55.0M 21.6M 21.7M Net DEX -400.5M -2.43B 733.0M -1.58B -96.3M Net VEX -12.6M -13.7M -11.7M -13.5M -12.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.25 0.18 2.76 1.56 1.70 Total Volume 138,011.19 52,514 200,258 159,669 54,861 Total OI 3,422,601.19 3,092,421 3,622,326 3,092,421 3,616,129
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 2016-11-01 $36.54 $38.00 34.1% 10.6% 21.6% 21.0% 37.8% 5.0% -2.5% 21.6M -1.58B -13.5M 1.56 18.49 N/A N/A 62,414 97,255 1,574,874 1,517,547 2016-11-02 $35.91 $38.00 35.7% 11.1% 21.2% 25.9% 39.9% 4.5% -0.6% 19.4M -1.22B -13.6M 1.49 18.91 N/A N/A 50,456 75,081 1,610,245 1,531,052 2016-11-03 $35.48 $36.00 36.3% 10.0% 21.6% 27.5% 36.0% 6.4% -1.6% 16.7M -1.04B -13.2M 0.18 17.40 N/A N/A 131,196 22,982 1,612,615 1,542,746 2016-11-04 $35.43 $36.00 36.6% 10.1% 21.5% 28.5% 37.2% 6.6% -1.1% 29.6M -1.08B -13.7M 0.69 11.56 N/A N/A 72,028 49,677 1,682,250 1,542,582 2016-11-07 $37.07 $36.00 34.2% 9.5% 26.5% 21.4% 35.0% 5.3% -0.3% 44.8M -2.11B -13.4M 0.70 22.10 N/A N/A 84,812 59,262 1,699,544 1,546,120 2016-11-08 $37.58 $36.00 32.0% 9.2% 26.7% 14.8% 32.8% 6.9% 0.0% 55.0M -2.43B -13.4M 1.71 20.88 N/A N/A 46,645 79,624 1,745,019 1,574,012 2016-11-09 $36.42 $36.00 31.7% 9.4% 29.2% 13.7% 31.4% 4.9% 1.8% 43.8M -1.74B -13.4M 0.84 20.61 N/A N/A 59,663 50,128 1,772,960 1,590,278 2016-11-10 $33.36 $36.00 38.1% 10.9% 42.7% 32.8% 35.9% 5.2% 0.3% 11.8M 120.0M -12.5M 1.54 18.37 N/A N/A 72,656 111,949 1,796,324 1,608,463 2016-11-11 $32.52 $36.00 42.0% 11.6% 43.2% 44.5% 44.4% 6.4% -1.5% 7.5M 574.6M -12.4M 2.76 24.43 N/A N/A 50,294 138,984 1,812,892 1,641,779 2016-11-14 $32.17 $36.00 43.5% 12.4% 43.0% 49.1% 42.9% 6.3% -0.8% 2.9M 733.0M -12.0M 1.41 19.42 N/A N/A 70,010 99,036 1,802,135 1,668,106 2016-11-15 $33.46 $36.00 40.9% 11.7% 44.3% 41.2% 39.0% 6.0% -1.0% 11.6M 153.1M -12.7M 1.25 19.14 N/A N/A 55,646 69,621 1,834,619 1,704,636 2016-11-16 $33.10 $36.00 39.9% 11.4% 44.3% 38.4% 41.4% 5.7% 0.2% 6.9M 347.3M -12.2M 1.57 18.05 N/A N/A 63,416 99,581 1,837,610 1,700,730 2016-11-17 $32.33 $36.00 38.3% 10.9% 44.2% 33.4% 35.9% 5.2% 1.1% -2.1M 682.4M -11.8M 1.11 17.60 N/A N/A 82,571 91,740 1,870,466 1,718,100 2016-11-18 $32.70 $36.00 37.3% 10.5% 44.6% 30.4% 35.8% 4.9% 2.4% 1.8M 570.3M -11.8M 0.99 17.27 N/A N/A 100,529 99,729 1,888,414 1,733,912 2016-11-21 $33.73 $36.00 36.4% 10.1% 46.4% 27.7% 35.7% 5.6% -1.4% 18.1M -118.7M -11.7M 0.66 14.91 N/A N/A 103,858 68,667 1,745,041 1,632,411 2016-11-22 $34.19 $36.00 35.0% 9.7% 46.9% 23.5% 34.7% 5.7% -0.6% 26.0M -378.8M -11.8M 1.18 16.15 N/A N/A 53,524 62,944 1,781,927 1,657,472 2016-11-23 $33.72 $36.00 35.5% 10.0% 46.9% 25.2% 35.0% 5.3% -0.5% 19.0M -68.9M -11.8M 1.31 12.60 N/A N/A 75,503 98,789 1,796,112 1,688,770 2016-11-25 $33.06 $36.00 36.4% 10.6% 47.1% 28.0% 36.6% 5.5% -1.5% 5.3M 333.3M -12.2M 0.94 19.95 N/A N/A 41,765 39,182 1,847,318 1,760,305 2016-11-28 $33.95 $36.00 35.7% 10.8% 48.5% 25.8% 44.1% 4.6% -0.6% 23.5M -278.7M -12.5M 0.83 16.08 N/A N/A 54,449 45,194 1,853,432 1,741,335 2016-11-29 $33.08 $36.00 37.1% 11.7% 48.6% 29.8% 42.3% 4.5% -0.8% 14.8M 220.0M -12.1M 1.90 13.79 N/A N/A 18,097 34,417 1,868,534 1,725,809 2016-11-30 $33.64 $36.00 37.4% 11.5% 48.2% 30.7% 39.2% 4.1% -1.7% 21.7M -96.3M -12.2M 1.70 20.16 N/A N/A 20,326 34,535 1,878,834 1,737,295
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