EWZ Options History — December 2016

In December 2016, EWZ traded between $31.15 and $33.63. ATM implied volatility averaged 35.4%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 5.6% (HV 20d: 41.0%). Max pain ranged from $32.00 to $36.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.03.

Notable Days

2016-12-20: Highest Volume — 394,427 contracts
2016-12-05: Largest IV drop — 10.9% change
2016-12-02: Highest IV Rank — 44.5%
2016-12-01: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.25	$31.15	$33.63	$31.40	$33.23
Max Pain	$33.19	$32.00	$36.00	$36.00	$34.00
ATM IV	35.4%	32.5%	42.0%	41.4%	34.1%
Expected Move	10.3%	9.2%	14.2%	14.2%	9.6%
HV 20d	41.0%	23.8%	54.0%	53.3%	23.8%
HV 60d	37.2%	35.9%	40.0%	39.9%	35.9%
IV Rank	24.9%	16.1%	44.5%	42.7%	21.0%
IV Percentile	36.8%	24.2%	65.5%	61.9%	32.5%
Term Structure	0.1%	-5.9%	4.5%	0.1%	0.7%
VWIV	35.9%	28.8%	49.3%	49.3%	32.5%
Skew 25d	4.4%	1.4%	8.3%	8.3%	4.0%
Skew 10d	7.8%	4.7%	11.6%	10.7%	8.3%
Call IV 25d	33.7%	31.2%	39.9%	38.5%	32.1%
Put IV 25d	38.1%	34.6%	46.8%	46.8%	36.1%
Bid-Ask Spread %	14.17	5.85	42.01	16.73	10.01
Gamma HHI	0.12	0.09	0.45	0.09	0.11
Net GEX	7.0M	-83.4M	34.5M	918.5K	31.1M
Net DEX	579.0M	-162.6M	1.48B	1.05B	48.1M
Net VEX	-10.5M	-12.1M	-9.3M	-11.5M	-9.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.31	1.81	0.89	0.49
Total Volume	164,980.762	75,607	394,427	309,329	164,271
Total OI	3,371,596.048	2,757,879	3,969,560	3,632,844	2,809,675

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
2016-12-01	$31.40	$36.00	41.4%	14.2%	53.3%	42.7%	49.3%	8.3%	0.1%	918.5K	1.05B	-11.5M	0.89	16.73	N/A	N/A	163,437	145,892	1,882,500	1,750,344
2016-12-02	$31.73	$36.00	42.0%	13.8%	53.6%	44.5%	47.8%	5.9%	-1.9%	3.6M	950.0M	-12.1M	1.79	42.01	N/A	N/A	51,222	91,472	1,998,548	1,796,133
2016-12-05	$32.12	$32.00	37.4%	10.5%	54.0%	30.8%	34.3%	4.7%	0.3%	7.5M	739.3M	-11.5M	1.81	10.61	N/A	N/A	54,061	97,622	1,981,662	1,775,998
2016-12-06	$32.65	$32.00	35.6%	9.7%	51.3%	25.5%	36.5%	4.6%	-1.4%	15.7M	381.0M	-11.7M	1.41	17.33	N/A	N/A	62,372	87,740	1,997,057	1,774,371
2016-12-07	$33.28	$32.00	34.0%	9.9%	51.6%	20.6%	34.0%	4.0%	-0.5%	27.5M	-16.9M	-11.8M	1.34	11.40	N/A	N/A	40,637	54,526	2,018,674	1,784,882
2016-12-08	$32.95	$32.00	35.1%	10.2%	50.8%	24.0%	36.3%	7.3%	0.2%	21.2M	219.0M	-11.8M	1.31	12.09	N/A	N/A	40,578	52,986	2,028,585	1,805,498
2016-12-09	$32.79	$32.00	35.0%	10.2%	40.3%	23.7%	36.0%	3.6%	-0.0%	18.4M	305.9M	-11.5M	0.66	13.74	N/A	N/A	59,273	39,260	2,008,644	1,798,815
2016-12-12	$32.33	$32.00	36.4%	10.8%	39.6%	28.0%	36.7%	5.8%	2.1%	9.4M	635.4M	-10.9M	1.36	11.20	N/A	N/A	45,076	61,447	1,993,134	1,791,269
2016-12-13	$32.70	$32.00	35.8%	10.1%	39.6%	26.1%	36.4%	6.1%	-1.0%	11.9M	443.4M	-10.8M	1.75	11.16	N/A	N/A	27,501	48,106	1,999,817	1,804,174
2016-12-14	$31.61	$32.00	39.0%	10.3%	38.7%	35.5%	34.7%	2.8%	-5.9%	-9.3M	1.13B	-10.1M	1.08	16.16	N/A	N/A	90,162	97,130	2,011,854	1,814,455
2016-12-15	$31.96	$32.00	36.5%	10.0%	38.8%	28.1%	34.5%	1.4%	-1.7%	-14.3M	1.06B	-10.0M	1.13	11.53	N/A	N/A	123,278	138,724	2,049,321	1,842,019
2016-12-16	$31.47	$33.00	34.6%	10.4%	38.3%	22.5%	44.4%	5.8%	4.5%	-83.4M	1.48B	-9.9M	1.27	10.66	N/A	N/A	77,484	98,788	2,067,655	1,901,905
2016-12-19	$31.15	$33.00	34.3%	9.8%	38.2%	21.7%	34.2%	3.1%	0.3%	3.8M	465.6M	-9.5M	0.86	18.75	N/A	N/A	64,312	55,401	1,490,262	1,341,509
2016-12-20	$31.46	$33.00	33.6%	9.6%	36.4%	19.4%	28.8%	3.6%	0.4%	4.9M	481.0M	-9.3M	0.31	20.58	N/A	N/A	301,568	92,859	1,448,462	1,352,860
2016-12-21	$31.39	$34.00	33.2%	9.5%	35.8%	18.2%	33.2%	3.5%	1.1%	3.5M	965.7M	-9.3M	0.56	18.67	N/A	N/A	137,971	77,784	1,378,358	1,409,288
2016-12-22	$31.51	$34.00	33.4%	9.5%	35.8%	19.0%	33.6%	3.4%	0.9%	6.1M	796.6M	-9.5M	0.63	10.51	N/A	N/A	77,089	48,352	1,400,714	1,399,681
2016-12-23	$32.28	$34.00	32.5%	9.3%	36.5%	16.1%	32.5%	3.1%	0.6%	13.9M	545.5M	-9.7M	0.74	12.01	N/A	N/A	78,572	58,491	1,394,617	1,411,797
2016-12-27	$32.56	$34.00	33.8%	9.6%	35.2%	20.2%	34.4%	4.2%	0.8%	16.5M	443.2M	-9.4M	1.13	5.85	N/A	N/A	70,866	80,325	1,355,090	1,412,224
2016-12-28	$32.99	$34.00	33.5%	9.4%	34.4%	19.0%	32.9%	3.8%	0.4%	23.2M	207.8M	-9.6M	0.60	10.28	N/A	N/A	90,477	53,952	1,359,959	1,397,920
2016-12-29	$33.63	$34.00	32.5%	9.2%	34.6%	16.1%	31.0%	3.8%	1.7%	34.5M	-162.6M	-9.8M	0.43	6.24	N/A	N/A	113,995	49,537	1,380,177	1,383,610
2016-12-30	$33.23	$34.00	34.1%	9.6%	23.8%	21.0%	32.5%	4.0%	0.7%	31.1M	48.1M	-9.8M	0.49	10.01	N/A	N/A	110,294	53,977	1,404,068	1,405,607