EWZ Options History — May 2017

In May 2017, EWZ traded between $32.92 and $40.31. ATM implied volatility averaged 34.3%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 9.0% (HV 20d: 43.3%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.19.

Notable Days

2017-05-18: Highest Volume — 646,318 contracts
2017-05-18: Largest IV spike — 46.7% change
2017-05-18: Highest IV Rank — 100.0%
2017-05-18: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.95	$32.92	$40.31	$37.42	$35.19
Max Pain	$37.32	$36.00	$40.00	$40.00	$36.00
ATM IV	34.3%	28.2%	48.8%	28.2%	36.7%
Expected Move	9.9%	7.8%	14.1%	7.9%	10.8%
HV 20d	43.3%	20.7%	72.9%	20.7%	72.3%
HV 60d	35.2%	26.5%	47.4%	26.5%	46.1%
IV Rank	44.6%	20.5%	100.0%	20.5%	50.7%
IV Percentile	53.2%	12.7%	100.0%	12.7%	85.3%
Term Structure	-0.3%	-2.5%	1.4%	0.5%	-1.4%
VWIV	35.1%	21.4%	48.0%	21.4%	42.6%
Skew 25d	4.6%	2.2%	8.4%	3.3%	8.4%
Skew 10d	9.1%	4.7%	16.2%	6.0%	16.2%
Call IV 25d	32.4%	27.3%	46.0%	27.3%	32.5%
Put IV 25d	37.0%	30.0%	51.7%	30.5%	40.9%
Bid-Ask Spread %	6.74	3.21	14.66	8.32	6.27
Gamma HHI	0.08	0.06	0.14	0.08	0.08
Net GEX	-18.8M	-62.4M	23.6M	-12.2M	-42.4M
Net DEX	301.6M	-1.19B	2.37B	84.0M	872.9M
Net VEX	-12.5M	-14.5M	-11.1M	-11.1M	-13.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.19	0.68	5.39	1.26	3.08
Total Volume	175,259.409	69,460	646,318	123,531	81,022
Total OI	2,373,483.818	1,923,972	2,887,858	1,923,972	2,760,779

Daily Data (22 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
2017-05-01	$37.42	$40.00	28.2%	7.9%	20.7%	20.5%	21.4%	3.3%	0.5%	-12.2M	84.0M	-11.1M	1.26	8.32	N/A	N/A	54,637	68,894	785,262	1,138,710
2017-05-02	$38.22	$40.00	28.2%	8.0%	21.9%	20.6%	27.8%	2.2%	0.4%	-192.1K	-250.2M	-11.2M	1.38	10.94	N/A	N/A	87,466	120,414	787,316	1,148,458
2017-05-03	$37.97	$40.00	28.2%	7.8%	21.7%	20.8%	29.1%	3.1%	0.7%	-8.8M	-106.2M	-11.5M	1.90	14.66	N/A	N/A	23,931	45,529	821,620	1,207,010
2017-05-04	$36.91	$37.00	29.9%	8.7%	23.0%	29.1%	31.1%	3.4%	0.4%	-29.3M	424.5M	-11.6M	1.93	6.14	N/A	N/A	36,163	69,816	827,636	1,222,374
2017-05-05	$37.52	$37.00	29.6%	8.6%	22.6%	27.8%	30.8%	2.5%	0.1%	-16.4M	140.7M	-11.6M	1.21	5.10	N/A	N/A	40,648	49,134	838,584	1,257,527
2017-05-08	$37.10	$37.00	30.3%	8.8%	22.9%	31.0%	31.5%	3.1%	0.4%	-27.3M	329.4M	-11.3M	3.28	3.28	N/A	N/A	23,873	78,287	819,287	1,230,063
2017-05-09	$37.70	$37.00	29.8%	8.7%	23.6%	28.8%	31.7%	2.8%	0.7%	-17.8M	89.4M	-11.5M	4.85	5.16	N/A	N/A	27,338	132,581	835,038	1,263,537
2017-05-10	$38.60	$37.00	29.9%	8.7%	24.9%	29.5%	33.8%	2.7%	0.5%	2.0M	-337.3M	-11.6M	5.39	4.33	N/A	N/A	42,290	227,791	844,589	1,316,276
2017-05-11	$38.90	$37.00	30.0%	8.8%	24.9%	29.9%	32.2%	3.2%	0.8%	1.9M	-438.5M	-12.1M	1.87	5.35	N/A	N/A	35,113	65,609	857,719	1,454,643
2017-05-12	$39.73	$37.00	30.0%	8.6%	24.5%	29.6%	30.7%	3.1%	0.2%	16.5M	-878.3M	-11.9M	0.68	3.21	N/A	N/A	68,470	46,737	862,359	1,481,654
2017-05-15	$40.05	$37.00	30.2%	8.7%	24.3%	30.9%	31.1%	3.3%	1.1%	23.6M	-1.07B	-11.7M	1.23	4.74	N/A	N/A	70,009	86,373	874,881	1,463,366
2017-05-16	$40.31	$37.00	29.8%	8.5%	24.0%	28.5%	30.6%	4.1%	1.4%	23.0M	-1.19B	-11.5M	1.11	4.82	N/A	N/A	82,521	91,460	871,191	1,484,523
2017-05-17	$39.25	$37.50	33.3%	9.5%	24.7%	46.4%	30.7%	5.6%	0.6%	6.1M	-433.9M	-12.5M	3.54	6.97	N/A	N/A	38,670	136,839	924,766	1,532,378
2017-05-18	$32.92	$37.50	48.8%	14.1%	68.4%	100.0%	48.0%	5.7%	-2.5%	-62.4M	2.37B	-11.7M	0.80	7.84	N/A	N/A	358,464	287,854	928,748	1,583,532
2017-05-19	$34.97	$37.00	42.2%	12.1%	72.2%	73.2%	42.9%	6.1%	-0.9%	-58.0M	1.53B	-13.8M	1.78	8.73	N/A	N/A	92,399	164,254	1,164,542	1,723,316
2017-05-22	$34.02	$37.00	43.0%	12.6%	71.9%	76.3%	44.5%	5.3%	-1.8%	-42.7M	1.35B	-13.5M	1.62	6.80	N/A	N/A	88,602	143,747	1,008,365	1,485,027
2017-05-23	$34.89	$37.00	40.5%	11.5%	72.7%	66.5%	41.3%	6.6%	-1.1%	-40.1M	1.02B	-14.2M	2.87	6.91	N/A	N/A	44,579	127,783	1,051,832	1,549,602
2017-05-24	$35.21	$37.00	39.3%	11.3%	72.8%	61.2%	39.2%	5.4%	-1.2%	-29.0M	796.0M	-14.2M	2.16	7.44	N/A	N/A	51,660	111,355	1,087,479	1,537,837
2017-05-25	$34.99	$37.00	41.6%	11.9%	72.8%	70.9%	42.6%	6.7%	-1.5%	-38.2M	964.1M	-14.2M	1.81	6.14	N/A	N/A	69,754	126,346	1,078,613	1,598,523
2017-05-26	$35.49	$36.00	39.3%	11.2%	72.9%	61.4%	39.8%	6.4%	-1.8%	-25.9M	685.6M	-14.5M	2.15	8.72	N/A	N/A	50,369	108,317	1,130,039	1,641,998
2017-05-30	$35.52	$36.00	36.0%	10.5%	72.8%	48.0%	39.1%	8.0%	-1.4%	-35.2M	680.1M	-13.8M	2.20	6.31	N/A	N/A	30,859	67,750	1,109,473	1,626,172
2017-05-31	$35.19	$36.00	36.7%	10.8%	72.3%	50.7%	42.6%	8.4%	-1.4%	-42.4M	872.9M	-13.8M	3.08	6.27	N/A	N/A	19,857	61,165	1,116,451	1,644,328