EWZ Options History — March 2017 In March 2017, EWZ traded between $36.35 and $38.90. ATM implied volatility averaged 30.7%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 1.4% (HV 20d: 32.0%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 2.95.
Notable Days 2017-03-16 : Highest Volume — 250,759 contracts2017-03-02 : Largest IV spike — 9.6% change2017-03-27 : Highest IV Rank — 24.1%2017-03-02 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $37.44 $36.35 $38.90 $38.90 $37.52 Max Pain $39.17 $39.00 $40.00 $40.00 $39.00 ATM IV 30.7% 28.7% 33.0% 29.0% 29.0% Expected Move 8.7% 7.8% 9.5% 8.5% 7.8% HV 20d 32.0% 25.0% 35.3% 25.0% 29.3% HV 60d 25.7% 23.1% 27.0% 23.1% 26.0% IV Rank 17.9% 12.6% 24.1% 13.2% 13.4% IV Percentile 26.6% 13.1% 49.6% 13.5% 15.5% Term Structure 0.0% -1.3% 1.6% -0.0% -0.1% VWIV 31.3% 27.0% 35.1% 30.7% 27.0% Skew 25d 3.6% 2.3% 5.6% 3.3% 3.5% Skew 10d 7.5% 4.5% 11.2% 6.8% 11.2% Call IV 25d 29.4% 27.0% 32.2% 28.0% 27.0% Put IV 25d 33.0% 30.4% 35.9% 31.3% 30.5% Bid-Ask Spread % 12.74 7.83 20.51 11.41 9.32 Gamma HHI 0.08 0.06 0.11 0.10 0.07 Net GEX -10.8M -23.8M 13.8M 13.8M -13.9M Net DEX -11.3M -679.1M 523.0M -679.1M -69.0M Net VEX -9.9M -10.7M -9.1M -9.7M -10.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.95 1.16 8.91 8.91 1.91 Total Volume 110,463.565 43,756 250,759 76,053 52,317 Total OI 1,748,501.652 1,334,345 2,029,239 1,847,126 1,571,173
Daily Data (23 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 2017-03-01 $38.90 $40.00 29.0% 8.5% 25.0% 13.2% 30.7% 3.3% -0.0% 13.8M -679.1M -9.7M 8.91 11.41 N/A N/A 7,675 68,378 823,446 1,023,680 2017-03-02 $37.53 $40.00 31.8% 9.5% 28.5% 20.8% 33.8% 3.5% 0.0% -890.0K -84.1M -9.7M 7.42 7.83 N/A N/A 11,313 83,954 823,158 1,040,695 2017-03-03 $38.46 $40.00 30.9% 9.2% 29.7% 18.4% 32.7% 3.0% 0.1% 6.4M -458.2M -9.8M 2.69 15.75 N/A N/A 32,173 86,392 825,729 1,060,998 2017-03-06 $38.15 $39.00 31.3% 8.7% 29.8% 19.6% 30.6% 2.9% -0.2% 6.8M -315.6M -9.5M 3.52 12.27 N/A N/A 21,471 75,635 826,460 1,052,206 2017-03-07 $37.92 $39.00 29.3% 8.4% 29.5% 14.2% 30.0% 2.3% 0.8% 3.3M -212.1M -9.3M 2.66 11.43 N/A N/A 22,607 60,162 835,170 1,061,395 2017-03-08 $36.85 $39.00 31.0% 8.8% 31.3% 18.8% 31.8% 3.1% -0.1% -12.5M 260.3M -9.2M 3.57 11.48 N/A N/A 29,666 105,970 834,979 1,071,350 2017-03-09 $36.35 $39.00 31.9% 8.9% 31.2% 21.3% 31.3% 3.1% -0.2% -21.6M 523.0M -9.3M 1.94 11.84 N/A N/A 37,771 73,101 840,577 1,119,681 2017-03-10 $37.05 $39.00 30.8% 8.8% 32.0% 18.3% 30.5% 3.1% 0.8% -16.3M 275.2M -9.3M 3.29 11.00 N/A N/A 32,429 106,735 846,613 1,137,398 2017-03-13 $37.48 $39.00 31.1% 8.5% 31.4% 19.0% 30.6% 3.0% -1.2% -10.0M 120.5M -9.2M 2.37 9.87 N/A N/A 24,904 59,055 849,967 1,127,466 2017-03-14 $36.71 $39.00 31.3% 8.9% 32.0% 19.5% 30.6% 3.7% -0.2% -19.3M 410.8M -9.1M 2.72 13.33 N/A N/A 23,005 62,548 853,049 1,126,933 2017-03-15 $38.13 $39.00 29.5% 8.4% 34.8% 14.7% 31.1% 2.9% -0.2% -1.5M -121.5M -9.2M 1.31 20.51 N/A N/A 52,384 68,675 859,191 1,148,891 2017-03-16 $37.87 $39.00 29.4% 8.3% 33.3% 14.3% 28.3% 4.1% -0.7% -652.2K -168.6M -9.3M 1.16 16.48 N/A N/A 116,151 134,608 884,267 1,130,713 2017-03-17 $37.25 $40.00 29.8% 8.3% 33.4% 15.3% 28.0% 4.0% -1.2% -22.3M 44.9M -9.6M 2.90 15.64 N/A N/A 48,855 141,529 885,495 1,143,744 2017-03-20 $38.07 $39.00 28.7% 8.2% 34.5% 12.6% 32.1% 3.0% 1.6% -9.7M -228.7M -10.1M 5.26 13.10 N/A N/A 30,022 158,026 568,372 765,973 2017-03-21 $36.80 $39.00 31.2% 8.9% 35.2% 19.3% 34.2% 4.4% -1.1% -22.8M 88.1M -10.5M 2.80 18.07 N/A N/A 46,541 130,215 587,035 854,029 2017-03-22 $36.95 $39.00 31.7% 9.1% 35.3% 20.8% 33.3% 4.8% 0.4% -20.2M 86.5M -10.5M 1.48 11.60 N/A N/A 46,679 69,103 598,585 858,579 2017-03-23 $36.61 $39.00 32.9% 9.4% 35.2% 24.0% 35.1% 4.9% 0.9% -23.8M 216.4M -10.7M 3.31 11.47 N/A N/A 22,069 73,152 623,718 886,340 2017-03-24 $37.12 $39.00 32.1% 9.2% 34.3% 21.7% 31.8% 4.0% 0.7% -19.3M 75.7M -10.6M 1.63 11.17 N/A N/A 34,418 56,015 624,917 896,451 2017-03-27 $37.01 $39.00 33.0% 9.3% 34.2% 24.1% 34.7% 2.5% -1.3% -18.2M 97.5M -10.6M 1.52 10.96 N/A N/A 30,319 46,237 630,099 879,860 2017-03-28 $37.06 $39.00 31.9% 9.0% 33.6% 21.3% 31.9% 4.8% -0.1% -18.9M 58.7M -10.6M 2.06 10.56 N/A N/A 22,404 46,255 636,793 895,072 2017-03-29 $37.93 $39.00 29.5% 8.4% 32.8% 14.7% 30.6% 3.0% 0.6% -10.5M -155.7M -10.6M 1.29 18.29 N/A N/A 20,042 25,946 642,243 903,058 2017-03-30 $37.37 $39.00 28.8% 8.1% 30.6% 12.8% 29.1% 5.6% 0.7% -15.2M -25.4M -10.6M 2.17 9.56 N/A N/A 13,798 29,958 647,672 912,318 2017-03-31 $37.52 $39.00 29.0% 7.8% 29.3% 13.4% 27.0% 3.5% -0.1% -13.9M -69.0M -10.6M 1.91 9.32 N/A N/A 17,994 34,323 652,487 918,686
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