EWZ Options History — January 2017

In January 2017, EWZ traded between $34.42 and $37.90. ATM implied volatility averaged 30.1%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 7.2% (HV 20d: 22.9%). Max pain ranged from $32.50 to $36.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.03.

Notable Days

2017-01-04: Highest Volume — 258,870 contracts
2017-01-30: Largest IV spike — 9.2% change
2017-01-03: Highest IV Rank — 21.1%
2017-01-03: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.24	$34.42	$37.90	$34.42	$36.99
Max Pain	$33.92	$32.50	$36.50	$34.00	$36.50
ATM IV	30.1%	26.5%	34.2%	34.2%	29.1%
Expected Move	8.6%	7.5%	9.6%	9.6%	8.2%
HV 20d	22.9%	20.0%	26.3%	26.3%	21.4%
HV 60d	36.7%	36.2%	37.1%	36.6%	36.2%
IV Rank	9.5%	0.0%	21.1%	21.1%	7.7%
IV Percentile	11.4%	0.0%	34.1%	34.1%	7.1%
Term Structure	0.2%	-0.2%	0.8%	-0.0%	0.1%
VWIV	30.7%	23.8%	37.9%	33.6%	23.8%
Skew 25d	3.6%	2.6%	5.1%	4.3%	3.2%
Skew 10d	8.0%	5.0%	11.0%	10.3%	6.3%
Call IV 25d	28.9%	25.7%	32.7%	32.7%	28.1%
Put IV 25d	32.5%	28.3%	37.0%	37.0%	31.3%
Bid-Ask Spread %	12.10	6.03	19.73	8.56	11.31
Gamma HHI	0.14	0.10	0.20	0.12	0.10
Net GEX	46.1M	4.5M	95.5M	52.0M	4.5M
Net DEX	-965.5M	-1.80B	-339.8M	-570.5M	-339.8M
Net VEX	-9.2M	-9.6M	-8.7M	-9.6M	-9.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.38	1.86	0.46	1.63
Total Volume	135,864.65	37,977	258,870	174,504	37,977
Total OI	2,499,288.3	1,458,770	3,253,601	2,811,589	1,645,661

Daily Data (20 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
2017-01-03	$34.42	$34.00	34.2%	9.6%	26.3%	21.1%	33.6%	4.3%	-0.0%	52.0M	-570.5M	-9.6M	0.46	8.56	N/A	N/A	119,352	55,152	1,415,184	1,396,405
2017-01-04	$34.82	$34.00	32.7%	9.2%	26.3%	16.9%	32.8%	4.1%	0.0%	62.2M	-791.5M	-9.6M	0.38	13.16	N/A	N/A	187,319	71,551	1,443,698	1,409,863
2017-01-05	$35.22	$32.50	32.6%	9.4%	26.0%	16.4%	33.2%	4.3%	-0.1%	67.8M	-960.7M	-9.5M	0.40	6.03	N/A	N/A	123,579	49,844	1,442,235	1,424,314
2017-01-06	$34.92	$32.50	31.9%	9.4%	25.7%	14.5%	37.9%	5.1%	0.5%	65.6M	-819.1M	-9.5M	0.80	12.91	N/A	N/A	67,884	54,595	1,464,906	1,431,023
2017-01-09	$34.86	$32.50	32.6%	9.4%	25.4%	16.5%	37.3%	3.2%	-0.1%	68.1M	-768.8M	-9.2M	0.70	16.76	N/A	N/A	84,457	58,966	1,460,102	1,455,309
2017-01-10	$35.28	$32.50	31.1%	9.1%	25.4%	11.9%	34.0%	4.1%	0.7%	67.6M	-988.6M	-9.0M	0.59	10.37	N/A	N/A	124,368	72,966	1,444,816	1,474,515
2017-01-11	$35.93	$32.50	31.3%	9.0%	25.0%	12.5%	33.3%	3.6%	0.2%	72.0M	-1.29B	-9.2M	0.69	18.01	N/A	N/A	109,261	75,033	1,487,640	1,517,695
2017-01-12	$36.41	$32.50	30.5%	8.9%	25.0%	10.2%	35.2%	3.3%	0.6%	95.5M	-1.80B	-9.3M	0.71	13.88	N/A	N/A	117,559	83,744	1,529,299	1,505,190
2017-01-13	$35.90	$33.00	30.1%	8.6%	21.7%	9.1%	31.6%	3.5%	-0.2%	79.3M	-1.32B	-9.4M	1.74	8.69	N/A	N/A	41,523	72,332	1,572,707	1,529,386
2017-01-17	$36.12	$33.00	31.0%	8.9%	21.6%	11.6%	29.6%	3.6%	-0.1%	72.7M	-1.44B	-8.8M	0.75	11.18	N/A	N/A	57,548	43,222	1,548,916	1,538,967
2017-01-18	$35.78	$34.00	30.9%	8.9%	20.9%	11.4%	25.6%	4.0%	0.3%	59.8M	-1.37B	-8.7M	1.00	19.73	N/A	N/A	56,931	56,688	1,549,070	1,529,462
2017-01-19	$36.05	$34.00	30.6%	8.8%	20.0%	10.5%	32.5%	3.5%	0.1%	63.2M	-1.47B	-8.8M	1.37	11.11	N/A	N/A	86,717	118,436	1,580,200	1,587,635
2017-01-20	$36.64	$34.00	27.9%	8.0%	20.2%	2.3%	30.0%	3.2%	-0.2%	32.9M	-1.79B	-8.9M	1.29	15.94	N/A	N/A	73,638	94,992	1,598,837	1,654,764
2017-01-23	$37.59	$35.00	28.0%	7.9%	20.8%	2.7%	29.0%	3.3%	0.4%	9.7M	-640.1M	-9.0M	1.86	11.47	N/A	N/A	41,247	76,568	635,092	823,678
2017-01-24	$37.47	$35.00	27.6%	7.8%	21.2%	1.5%	28.0%	3.2%	0.4%	9.2M	-597.1M	-9.2M	1.29	12.07	N/A	N/A	29,522	38,076	659,713	868,812
2017-01-25	$37.90	$35.00	26.5%	7.5%	20.4%	0.0%	25.9%	3.0%	0.8%	11.3M	-705.6M	-9.2M	0.95	6.11	N/A	N/A	46,480	44,327	669,170	882,837
2017-01-26	$37.60	$35.00	27.7%	7.9%	21.2%	3.5%	27.1%	3.0%	0.5%	7.9M	-596.1M	-9.3M	1.28	6.72	N/A	N/A	34,165	43,833	681,851	908,022
2017-01-27	$37.72	$35.00	26.8%	7.5%	21.1%	0.7%	25.7%	2.6%	0.7%	13.6M	-649.2M	-9.3M	1.81	13.38	N/A	N/A	28,296	51,335	689,841	915,499
2017-01-30	$37.10	$36.00	29.2%	8.4%	22.1%	7.9%	28.6%	3.1%	0.1%	7.2M	-399.1M	-9.2M	0.83	14.50	N/A	N/A	47,864	39,946	701,828	911,624
2017-01-31	$36.99	$36.50	29.1%	8.2%	21.4%	7.7%	23.8%	3.2%	0.1%	4.5M	-339.8M	-9.2M	1.63	11.31	N/A	N/A	14,428	23,549	711,814	933,847