EWZ Options History — July 2017

In July 2017, EWZ traded between $33.92 and $37.85. ATM implied volatility averaged 25.2%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 4.4% (HV 20d: 20.9%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.52.

Notable Days

  • 2017-07-05: Highest Volume — 216,981 contracts
  • 2017-07-13: Largest IV drop — 7.8% change
  • 2017-07-03: Highest IV Rank — 18.6%
  • 2017-07-06: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.29$33.92$37.85$34.40$37.85
Max Pain$35.05$34.00$36.00$34.50$36.00
ATM IV25.2%22.4%28.8%28.8%22.8%
Expected Move7.2%6.3%8.3%8.0%6.3%
HV 20d20.9%15.6%24.8%22.7%15.6%
HV 60d44.7%44.0%45.2%44.6%44.0%
IV Rank6.7%0.0%18.6%18.6%1.7%
IV Percentile5.6%0.0%18.3%18.3%0.4%
Term Structure0.0%-0.6%1.0%-0.2%0.2%
VWIV26.1%21.8%32.9%29.8%23.1%
Skew 25d4.0%2.9%5.5%4.6%3.7%
Skew 10d8.9%6.7%11.7%10.6%8.6%
Call IV 25d23.6%21.4%27.4%27.4%21.7%
Put IV 25d27.6%24.7%32.3%31.9%25.4%
Bid-Ask Spread %3.942.098.244.232.78
Gamma HHI0.100.070.320.100.08
Net GEX-2.3M-52.0M68.1M-24.7M3.2M
Net DEX-22.1M-611.2M1.04B747.1M-558.0M
Net VEX-12.4M-13.0M-11.7M-13.0M-11.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.492.961.520.54
Total Volume114,064.443,708216,98164,40665,246
Total OI2,439,352.62,118,9862,683,7732,391,7312,236,791

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$34.40$34.5028.8%8.0%22.7%18.6%29.8%4.6%-0.2%-24.7M747.1M-13.0M1.524.23N/AN/A25,58438,822953,2301,438,501
2017-07-05$34.46$34.5028.2%7.9%22.3%16.6%32.9%5.3%-0.6%-26.0M735.9M-12.8M2.968.24N/AN/A54,759162,222958,0651,442,207
2017-07-06$33.92$35.0028.5%8.3%22.9%17.5%30.9%5.5%-0.2%-46.9M1.04B-12.8M2.293.12N/AN/A32,95575,378972,8491,484,915
2017-07-07$34.09$35.0028.4%8.2%23.0%17.2%29.2%5.2%-0.2%-52.0M984.4M-12.9M2.232.35N/AN/A50,374112,513987,9871,521,549
2017-07-10$34.76$35.0027.5%7.9%23.2%13.5%28.6%5.2%0.4%-35.2M663.8M-12.7M1.672.16N/AN/A61,446102,620949,9311,511,135
2017-07-11$35.20$35.0027.8%8.0%22.6%14.6%28.7%5.0%0.0%-25.0M432.8M-12.7M1.312.44N/AN/A75,64399,459954,6871,517,658
2017-07-12$36.31$34.0027.6%7.9%24.8%14.0%27.4%3.3%0.3%3.3M-177.5M-12.8M1.185.10N/AN/A86,601101,881972,3761,548,638
2017-07-13$36.54$35.0025.5%7.3%24.8%5.3%25.2%2.9%-0.5%16.2M-329.3M-12.6M0.672.42N/AN/A75,07050,0401,003,5901,552,011
2017-07-14$36.89$35.0024.2%7.0%24.5%0.2%25.8%3.6%0.0%23.2M-482.3M-12.3M2.514.09N/AN/A45,750114,7011,002,6101,583,602
2017-07-17$36.75$35.0024.3%6.9%24.7%0.7%25.1%3.9%0.7%16.4M-323.6M-12.7M1.984.41N/AN/A29,33958,2261,062,9461,609,113
2017-07-18$37.11$35.0024.5%7.1%24.8%1.5%24.5%3.7%-0.4%22.6M-505.1M-12.2M0.662.09N/AN/A40,89227,1441,022,2031,595,504
2017-07-19$37.12$35.0023.8%6.8%19.2%0.0%24.6%3.5%0.0%29.7M-518.6M-12.2M1.336.89N/AN/A52,09169,4461,036,1221,598,338
2017-07-20$37.31$35.0023.2%6.7%18.8%0.0%24.1%3.4%-0.5%33.5M-611.2M-12.3M0.492.77N/AN/A72,26335,5571,058,1531,625,620
2017-07-21$37.03$35.0023.1%6.6%19.5%0.0%23.6%3.9%-0.3%68.1M-447.2M-12.2M2.152.50N/AN/A22,97149,4731,037,9561,637,782
2017-07-24$37.17$35.0023.7%6.8%19.3%2.4%24.9%3.6%0.3%-7.3M-187.1M-12.0M1.553.24N/AN/A33,40251,665812,5181,306,468
2017-07-25$37.15$35.0023.3%6.6%17.5%0.7%21.8%3.7%0.3%-10.4M-168.1M-11.8M1.092.71N/AN/A26,06528,534813,3781,325,313
2017-07-26$37.17$35.0022.4%6.5%16.0%0.0%24.1%3.4%1.0%-14.0M-165.8M-11.8M1.128.20N/AN/A61,43168,517820,0791,336,219
2017-07-27$37.12$36.0023.8%6.8%15.9%5.4%24.3%4.5%-0.3%-17.1M-203.0M-12.1M1.584.82N/AN/A16,94626,762861,8401,380,762
2017-07-28$37.42$36.0023.4%6.5%15.6%3.7%23.0%3.1%0.5%-2.9M-366.9M-12.0M1.594.27N/AN/A30,68948,811862,8701,391,536
2017-07-31$37.85$36.0022.8%6.3%15.6%1.7%23.1%3.7%0.2%3.2M-558.0M-11.7M0.542.78N/AN/A42,46522,781865,6531,371,138