EWZ Options History — April 2017

In April 2017, EWZ traded between $36.17 and $38.26. ATM implied volatility averaged 30.5%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 6.1% (HV 20d: 24.4%). Max pain ranged from $38.50 to $40.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 2.21.

Notable Days

  • 2017-04-26: Highest Volume — 160,724 contracts
  • 2017-04-24: Largest IV drop — 15.6% change
  • 2017-04-19: Highest IV Rank — 46.7%
  • 2017-04-19: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.00$36.17$38.26$37.85$37.13
Max Pain$39.76$38.50$40.00$38.50$40.00
ATM IV30.5%26.8%33.3%29.4%27.4%
Expected Move8.5%7.3%9.6%7.6%7.9%
HV 20d24.4%20.6%29.6%29.4%20.6%
HV 60d26.2%25.9%26.6%25.9%26.5%
IV Rank25.0%13.6%46.7%14.4%16.6%
IV Percentile30.7%6.3%57.9%17.9%7.9%
Term Structure-0.2%-3.1%1.8%-0.2%0.7%
VWIV29.6%21.1%34.5%29.2%27.1%
Skew 25d4.9%2.5%6.8%3.8%2.5%
Skew 10d10.3%7.3%14.0%10.2%7.3%
Call IV 25d28.1%25.7%30.7%27.6%26.4%
Put IV 25d33.0%28.7%36.8%31.4%28.9%
Bid-Ask Spread %9.485.9420.099.1714.87
Gamma HHI0.090.070.160.070.08
Net GEX-28.2M-49.7M-3.9M-9.2M-3.9M
Net DEX215.4M-279.7M598.5M-159.0M155.0M
Net VEX-10.3M-10.7M-9.9M-10.4M-10.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.210.933.221.770.93
Total Volume82,414.57937,055160,72441,847157,703
Total OI1,722,421.8421,560,4641,904,3821,560,4641,904,382

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$37.85$38.5029.4%7.6%29.4%14.4%29.2%3.8%-0.2%-9.2M-159.0M-10.4M1.779.17N/AN/A15,08826,759653,387907,077
2017-04-04$38.26$38.5030.3%7.3%29.6%16.7%26.5%2.8%-0.1%-5.3M-279.7M-10.4M1.818.77N/AN/A15,96528,872652,470916,090
2017-04-05$37.57$38.5031.3%7.4%28.4%19.6%26.4%5.2%-3.1%-14.4M-53.2M-10.3M2.5420.09N/AN/A22,50857,212656,548924,944
2017-04-06$36.81$40.0029.4%8.5%29.0%15.4%28.9%4.5%0.3%-34.8M259.4M-10.3M1.648.69N/AN/A26,76343,982667,310967,165
2017-04-07$37.00$40.0030.1%8.6%28.2%17.6%32.3%6.5%-0.8%-30.1M213.0M-10.5M2.007.34N/AN/A12,33624,719681,674991,886
2017-04-10$37.05$40.0030.0%8.6%27.9%17.3%30.6%6.1%0.2%-30.6M179.6M-10.3M1.456.44N/AN/A41,84660,855670,275974,622
2017-04-11$36.99$40.0031.5%9.0%26.8%22.5%33.5%6.0%-0.2%-31.9M230.7M-10.5M2.248.87N/AN/A29,16065,300700,1631,014,199
2017-04-12$36.91$40.0032.1%8.9%22.9%27.5%31.1%5.9%-0.9%-35.0M280.3M-10.6M2.646.12N/AN/A21,87357,782707,7331,049,505
2017-04-13$36.24$40.0033.1%9.3%23.6%32.6%27.3%6.8%-0.6%-49.0M545.8M-10.5M3.148.47N/AN/A16,04350,313712,3731,062,128
2017-04-17$36.71$40.0032.9%9.3%23.5%32.0%34.1%6.1%0.5%-35.6M354.8M-10.5M3.226.68N/AN/A10,90235,121711,3661,044,808
2017-04-18$37.28$40.0031.9%9.1%22.8%38.3%33.4%5.2%-0.9%-23.9M126.0M-10.3M2.637.87N/AN/A11,78431,045713,0841,050,093
2017-04-19$36.47$40.0033.3%9.6%20.8%46.7%34.5%5.9%0.4%-41.3M432.9M-10.2M2.207.33N/AN/A18,64241,060716,3321,054,023
2017-04-20$36.48$40.0032.5%9.3%20.8%42.6%30.4%6.2%-0.3%-49.5M474.0M-10.2M1.375.94N/AN/A49,68567,879723,0871,081,823
2017-04-21$36.17$40.0032.8%9.2%20.7%44.0%32.7%5.9%1.8%-49.7M598.5M-10.2M3.0014.63N/AN/A17,00650,987759,2031,115,836
2017-04-24$37.17$40.0027.7%7.7%22.5%18.0%28.0%4.3%-0.7%-21.4M100.7M-9.9M2.3210.13N/AN/A15,07034,899684,996975,838
2017-04-25$37.19$40.0026.8%7.7%22.4%13.6%27.9%2.8%0.4%-20.2M80.5M-9.9M1.8012.48N/AN/A51,33192,175688,724981,750
2017-04-26$36.90$40.0028.4%8.0%22.6%21.7%27.7%3.6%-0.1%-24.7M231.4M-10.2M3.198.72N/AN/A38,370122,354728,6771,023,520
2017-04-27$36.77$40.0027.6%7.7%20.9%17.4%21.1%3.3%0.6%-26.0M322.2M-10.3M2.167.52N/AN/A32,44470,044748,8211,110,103
2017-04-28$37.13$40.0027.4%7.9%20.6%16.6%27.1%2.5%0.7%-3.9M155.0M-10.7M0.9314.87N/AN/A81,74175,962761,5081,142,874