EWZ Options History — June 2017

In June 2017, EWZ traded between $32.84 and $35.03. ATM implied volatility averaged 30.6%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 15.8% (HV 20d: 46.4%). Max pain ranged from $34.50 to $37.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.91.

Notable Days

2017-06-01: Highest Volume — 305,399 contracts
2017-06-20: Largest IV spike — 12.1% change
2017-06-01: Highest IV Rank — 46.9%
2017-06-01: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.05	$32.84	$35.03	$34.88	$34.21
Max Pain	$35.45	$34.50	$37.50	$36.00	$34.50
ATM IV	30.6%	26.5%	35.7%	35.7%	29.0%
Expected Move	8.7%	7.7%	10.4%	10.4%	8.0%
HV 20d	46.4%	19.4%	72.3%	72.3%	22.9%
HV 60d	44.9%	44.1%	46.1%	46.1%	44.7%
IV Rank	25.9%	9.5%	46.9%	46.9%	19.5%
IV Percentile	36.3%	4.8%	79.4%	79.4%	20.2%
Term Structure	0.2%	-1.4%	1.4%	-1.4%	0.7%
VWIV	31.4%	26.9%	37.6%	36.8%	29.1%
Skew 25d	6.6%	4.1%	9.4%	9.2%	4.7%
Skew 10d	13.4%	7.5%	18.1%	17.0%	11.0%
Call IV 25d	28.0%	24.1%	32.2%	32.2%	26.9%
Put IV 25d	34.7%	30.7%	41.4%	41.4%	31.5%
Bid-Ask Spread %	4.35	2.54	8.51	6.95	2.79
Gamma HHI	0.11	0.07	0.24	0.09	0.10
Net GEX	-56.7M	-87.8M	-22.6M	-55.3M	-22.6M
Net DEX	1.34B	793.4M	1.84B	1.11B	793.4M
Net VEX	-13.2M	-14.7M	-12.5M	-13.6M	-13.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	0.87	3.27	2.07	3.05
Total Volume	138,947.409	70,727	305,399	305,399	88,308
Total OI	2,704,919.227	2,024,312	3,117,685	2,791,019	2,428,060

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
2017-06-01	$34.88	$36.00	35.7%	10.4%	72.3%	46.9%	36.8%	9.2%	-1.4%	-55.3M	1.11B	-13.6M	2.07	6.95	N/A	N/A	99,372	206,027	1,121,218	1,669,801
2017-06-02	$34.90	$36.00	34.6%	10.1%	71.8%	42.3%	37.6%	9.4%	-1.0%	-76.9M	1.24B	-14.7M	1.55	5.63	N/A	N/A	88,948	137,458	1,199,902	1,818,041
2017-06-05	$34.51	$35.50	35.2%	9.4%	71.5%	44.7%	34.1%	8.4%	-0.5%	-59.5M	1.43B	-14.2M	3.12	3.50	N/A	N/A	24,276	75,672	1,226,480	1,797,896
2017-06-06	$34.91	$35.50	32.6%	9.2%	71.6%	34.1%	34.1%	8.3%	-0.1%	-51.5M	1.20B	-14.2M	2.41	3.70	N/A	N/A	40,628	97,736	1,236,035	1,806,775
2017-06-07	$35.03	$35.50	31.7%	8.8%	71.3%	30.6%	32.6%	7.9%	-0.1%	-43.3M	1.11B	-14.1M	1.10	3.95	N/A	N/A	54,097	59,465	1,257,127	1,812,492
2017-06-08	$34.93	$35.50	31.7%	8.9%	70.6%	30.6%	32.8%	8.3%	0.2%	-45.0M	1.16B	-14.0M	1.79	4.31	N/A	N/A	43,326	77,648	1,278,557	1,813,039
2017-06-09	$34.30	$35.50	28.8%	8.9%	70.6%	18.7%	31.1%	9.2%	0.7%	-70.5M	1.59B	-13.5M	1.55	8.51	N/A	N/A	45,271	70,127	1,282,750	1,834,935
2017-06-12	$33.74	$35.00	31.9%	9.4%	69.9%	31.5%	32.5%	7.6%	0.3%	-76.5M	1.84B	-12.8M	2.06	6.38	N/A	N/A	80,540	165,828	1,275,830	1,754,098
2017-06-13	$33.99	$35.00	29.4%	8.5%	69.9%	21.2%	32.2%	6.2%	0.1%	-74.1M	1.76B	-12.9M	3.27	3.84	N/A	N/A	25,355	82,826	1,284,226	1,786,001
2017-06-14	$34.21	$35.00	28.6%	8.3%	69.9%	17.9%	30.3%	6.7%	0.4%	-73.2M	1.68B	-12.9M	1.79	8.07	N/A	N/A	36,769	65,816	1,275,845	1,789,234
2017-06-15	$33.94	$35.00	28.8%	8.2%	69.5%	18.9%	29.3%	6.6%	-0.3%	-68.9M	1.76B	-12.6M	1.62	4.55	N/A	N/A	32,185	52,073	1,281,337	1,795,671
2017-06-16	$34.10	$35.00	26.5%	7.7%	29.4%	9.5%	28.2%	6.6%	0.5%	-87.8M	1.68B	-12.5M	2.39	3.36	N/A	N/A	20,834	49,893	1,289,040	1,796,166
2017-06-19	$34.27	$35.00	27.4%	7.9%	19.8%	13.1%	31.2%	4.1%	0.9%	-41.6M	873.2M	-12.5M	2.60	3.82	N/A	N/A	57,187	148,681	785,560	1,238,752
2017-06-20	$32.98	$37.50	30.7%	8.8%	22.0%	26.5%	30.6%	6.0%	0.9%	-53.5M	1.48B	-12.5M	1.30	4.38	N/A	N/A	65,709	85,537	827,401	1,372,977
2017-06-21	$32.84	$37.00	31.3%	9.0%	19.6%	28.8%	31.4%	6.1%	0.2%	-58.3M	1.54B	-12.5M	2.13	3.03	N/A	N/A	44,979	95,719	840,687	1,397,920
2017-06-22	$33.06	$36.00	29.6%	8.4%	19.4%	22.2%	28.3%	5.9%	1.4%	-65.4M	1.47B	-12.6M	1.67	3.00	N/A	N/A	66,771	111,557	855,506	1,422,213
2017-06-23	$33.03	$36.00	28.4%	8.0%	19.4%	17.2%	26.9%	5.0%	1.1%	-70.5M	1.51B	-12.6M	1.18	2.54	N/A	N/A	76,889	90,660	867,844	1,455,575
2017-06-26	$33.98	$35.00	28.9%	8.3%	21.5%	19.4%	28.9%	5.0%	0.3%	-37.8M	997.8M	-13.1M	1.24	3.60	N/A	N/A	52,903	65,552	905,753	1,430,392
2017-06-27	$33.48	$35.00	30.2%	8.7%	22.0%	24.3%	30.9%	5.0%	0.4%	-44.2M	1.20B	-12.9M	1.92	3.12	N/A	N/A	44,268	84,988	925,975	1,434,926
2017-06-28	$33.95	$35.00	30.0%	8.4%	22.6%	23.8%	29.3%	4.8%	-0.1%	-35.7M	1.00B	-13.3M	0.87	2.61	N/A	N/A	39,371	34,363	945,580	1,466,305
2017-06-29	$33.82	$34.50	31.3%	8.5%	22.5%	29.0%	32.4%	4.6%	0.3%	-35.0M	976.8M	-13.3M	1.28	3.98	N/A	N/A	31,237	39,994	964,554	1,459,747
2017-06-30	$34.21	$34.50	29.0%	8.0%	22.9%	19.5%	29.1%	4.7%	0.7%	-22.6M	793.4M	-13.2M	3.05	2.79	N/A	N/A	21,813	66,495	969,513	1,458,547