EWZ Options History — February 2017

In February 2017, EWZ traded between $37.01 and $40.10. ATM implied volatility averaged 26.3%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.1% (HV 20d: 19.2%). Max pain ranged from $36.50 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.86.

Notable Days

2017-02-15: Highest Volume — 184,942 contracts
2017-02-28: Largest IV spike — 7.2% change
2017-02-28: Highest IV Rank — 16.8%
2017-02-28: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.41	$37.01	$40.10	$37.17	$37.74
Max Pain	$38.71	$36.50	$40.00	$36.50	$40.00
ATM IV	26.3%	24.2%	30.3%	28.1%	30.3%
Expected Move	7.6%	7.2%	9.1%	7.9%	9.1%
HV 20d	19.2%	17.4%	22.8%	18.3%	22.8%
HV 60d	29.6%	26.7%	36.2%	36.2%	26.9%
IV Rank	4.3%	0.0%	16.8%	4.8%	16.8%
IV Percentile	3.7%	0.0%	17.9%	4.8%	17.9%
Term Structure	0.5%	-0.1%	1.3%	1.0%	-0.1%
VWIV	26.9%	23.4%	32.4%	23.4%	32.4%
Skew 25d	2.8%	2.2%	3.5%	3.2%	3.4%
Skew 10d	5.6%	3.3%	7.6%	7.6%	4.3%
Call IV 25d	25.4%	23.0%	29.0%	26.8%	29.0%
Put IV 25d	28.2%	25.6%	32.4%	30.0%	32.4%
Bid-Ask Spread %	10.68	6.78	18.50	18.50	17.30
Gamma HHI	0.13	0.08	0.22	0.11	0.08
Net GEX	20.0M	4.5M	41.0M	6.4M	5.3M
Net DEX	-756.4M	-1.50B	-223.7M	-389.6M	-223.7M
Net VEX	-9.1M	-9.7M	-8.8M	-9.2M	-9.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.86	0.65	5.27	2.08	5.19
Total Volume	68,239.263	32,244	184,942	32,244	72,104
Total OI	1,778,061.474	1,654,229	1,983,290	1,657,866	1,797,717

Daily Data (19 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
2017-02-01	$37.17	$36.50	28.1%	7.9%	18.3%	4.8%	23.4%	3.2%	1.0%	6.4M	-389.6M	-9.2M	2.08	18.50	N/A	N/A	10,471	21,773	719,832	938,034
2017-02-02	$37.29	$38.00	27.3%	8.1%	18.1%	2.4%	30.8%	3.1%	1.0%	8.1M	-432.6M	-9.0M	2.41	8.32	N/A	N/A	14,458	34,803	722,589	941,723
2017-02-03	$37.58	$38.00	26.2%	7.6%	17.9%	0.0%	27.9%	2.4%	0.2%	16.6M	-535.2M	-9.0M	0.80	8.74	N/A	N/A	35,897	28,881	729,174	953,535
2017-02-06	$37.09	$38.00	26.6%	7.8%	18.3%	1.2%	27.2%	3.3%	0.2%	10.0M	-384.4M	-8.9M	1.74	12.41	N/A	N/A	20,846	36,361	744,191	946,883
2017-02-07	$37.01	$38.00	26.0%	7.7%	18.4%	0.0%	26.3%	3.1%	0.7%	4.5M	-339.4M	-8.8M	0.65	8.02	N/A	N/A	37,712	24,551	745,936	969,564
2017-02-08	$37.54	$38.00	24.6%	7.2%	18.5%	0.0%	27.2%	3.5%	0.6%	13.6M	-512.0M	-8.8M	1.38	8.82	N/A	N/A	29,313	40,494	761,737	981,477
2017-02-09	$37.48	$38.00	24.2%	7.3%	17.7%	0.0%	24.2%	2.9%	1.3%	12.4M	-506.0M	-8.9M	1.27	7.20	N/A	N/A	29,676	37,592	773,128	997,198
2017-02-10	$38.23	$38.00	24.3%	7.2%	18.4%	0.4%	24.6%	2.6%	1.2%	26.8M	-766.0M	-9.1M	1.27	10.10	N/A	N/A	26,228	33,387	794,884	1,022,454
2017-02-13	$38.53	$38.00	24.8%	7.2%	17.4%	1.7%	26.9%	2.6%	0.5%	25.5M	-806.9M	-9.0M	0.84	7.57	N/A	N/A	32,885	27,485	801,904	1,032,161
2017-02-14	$38.94	$38.00	25.1%	7.3%	17.5%	2.7%	25.5%	2.5%	0.2%	31.2M	-1.01B	-9.2M	0.89	9.95	N/A	N/A	24,285	21,570	827,891	1,045,449
2017-02-15	$39.99	$38.00	25.9%	7.4%	18.6%	4.6%	26.3%	2.2%	0.1%	41.0M	-1.50B	-9.1M	0.83	10.80	N/A	N/A	100,897	84,045	824,754	1,056,106
2017-02-16	$39.40	$39.00	25.7%	7.4%	19.9%	4.1%	25.6%	2.8%	0.2%	32.9M	-1.20B	-9.2M	3.43	8.72	N/A	N/A	12,094	41,459	862,148	1,106,024
2017-02-17	$39.15	$40.00	25.4%	7.3%	19.8%	3.5%	25.2%	2.4%	0.4%	32.1M	-1.04B	-9.2M	1.20	7.80	N/A	N/A	26,267	31,540	862,508	1,120,782
2017-02-21	$39.99	$40.00	25.7%	7.2%	19.2%	4.1%	25.4%	2.4%	0.5%	30.3M	-1.24B	-8.9M	0.83	6.78	N/A	N/A	49,699	41,348	752,942	901,287
2017-02-22	$40.10	$40.00	26.1%	7.5%	19.0%	5.2%	27.8%	2.3%	0.2%	30.9M	-1.28B	-9.2M	1.60	15.14	N/A	N/A	32,874	52,642	791,130	916,439
2017-02-23	$39.68	$40.00	26.8%	7.6%	19.4%	7.2%	27.5%	2.5%	0.5%	27.0M	-1.11B	-9.4M	1.91	12.46	N/A	N/A	25,752	49,173	808,319	948,132
2017-02-24	$38.47	$40.00	28.3%	8.1%	22.5%	11.4%	27.6%	2.9%	0.2%	10.5M	-546.3M	-9.7M	1.76	12.88	N/A	N/A	25,605	45,057	821,987	970,348
2017-02-27	$38.50	$40.00	28.2%	8.1%	22.5%	11.2%	28.5%	2.6%	0.3%	14.7M	-555.4M	-9.4M	5.27	11.35	N/A	N/A	5,955	31,367	818,472	974,329
2017-02-28	$37.74	$40.00	30.3%	9.1%	22.8%	16.8%	32.4%	3.4%	-0.1%	5.3M	-223.7M	-9.3M	5.19	17.30	N/A	N/A	11,651	60,453	816,425	981,292