EWZ Options History — August 2017 In August 2017, EWZ traded between $37.66 and $40.29. ATM implied volatility averaged 22.8%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 7.2% (HV 20d: 15.7%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.20.
Notable Days 2017-08-10 : Highest Volume — 175,149 contracts2017-08-10 : Largest IV spike — 13.8% change2017-08-10 : Highest IV Rank — 19.6%2017-08-10 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $39.00 $37.66 $40.29 $38.18 $40.02 Max Pain $36.65 $36.00 $37.00 $36.00 $37.00 ATM IV 22.8% 21.0% 26.4% 22.7% 22.0% Expected Move 6.5% 5.8% 7.5% 6.4% 5.8% HV 20d 15.7% 11.1% 18.6% 15.6% 18.1% HV 60d 28.9% 18.7% 43.9% 43.9% 19.1% IV Rank 5.9% 0.0% 19.6% 0.9% 3.8% IV Percentile 3.4% 0.0% 12.7% 0.4% 2.0% Term Structure 0.3% -0.4% 1.5% 0.6% 0.7% VWIV 24.0% 21.3% 27.2% 22.7% 22.5% Skew 25d 4.3% 3.5% 5.9% 3.9% 4.3% Skew 10d 9.7% 7.7% 12.1% 7.8% 8.6% Call IV 25d 21.2% 19.8% 23.7% 21.0% 20.3% Put IV 25d 25.5% 24.1% 29.6% 24.9% 24.6% Bid-Ask Spread % 3.27 2.32 6.39 2.44 6.39 Gamma HHI 0.10 0.08 0.28 0.08 0.11 Net GEX 28.2M 5.1M 80.8M 7.2M 27.3M Net DEX -1.00B -1.47B -404.0M -684.5M -1.28B Net VEX -11.4M -12.2M -10.7M -11.7M -10.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.20 0.47 2.07 0.47 1.43 Total Volume 81,253.043 42,611 175,149 69,091 100,972 Total OI 2,433,067.609 2,260,943 2,657,133 2,260,943 2,535,874
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 2017-08-01 $38.18 $36.00 22.7% 6.4% 15.6% 0.9% 22.7% 3.9% 0.6% 7.2M -684.5M -11.7M 0.47 2.44 N/A N/A 47,073 22,018 879,341 1,381,602 2017-08-02 $38.60 $36.00 23.1% 6.4% 15.7% 2.7% 22.7% 4.0% -0.3% 22.7M -943.8M -11.7M 1.11 3.06 N/A N/A 36,431 40,349 909,327 1,391,551 2017-08-03 $38.40 $36.00 22.5% 6.6% 14.2% 0.5% 23.0% 3.9% -0.2% 20.8M -861.5M -11.7M 1.26 3.03 N/A N/A 38,776 48,952 928,410 1,410,031 2017-08-04 $38.33 $36.00 21.7% 6.3% 14.4% 0.0% 23.3% 4.0% 0.1% 20.6M -779.2M -11.9M 1.12 2.34 N/A N/A 26,204 29,448 926,289 1,443,639 2017-08-07 $38.85 $36.00 21.6% 6.3% 13.8% 0.0% 24.6% 3.9% 0.1% 27.3M -1.03B -11.4M 0.81 2.33 N/A N/A 28,770 23,173 924,238 1,437,036 2017-08-08 $38.78 $36.00 21.0% 6.4% 13.8% 0.0% 22.9% 4.7% 1.5% 27.9M -999.4M -11.4M 0.63 3.38 N/A N/A 34,732 21,849 930,099 1,445,418 2017-08-09 $38.33 $36.00 23.2% 6.8% 11.1% 8.1% 24.1% 4.4% 0.4% 20.7M -769.3M -11.6M 0.78 2.48 N/A N/A 49,655 38,780 940,954 1,450,261 2017-08-10 $37.66 $36.00 26.4% 7.5% 13.2% 19.6% 26.6% 5.9% -0.2% 5.1M -404.0M -12.1M 0.97 3.33 N/A N/A 88,896 86,253 953,933 1,461,437 2017-08-11 $38.02 $37.00 25.0% 7.1% 13.2% 14.4% 25.7% 5.3% 0.3% 16.4M -649.2M -12.2M 0.98 3.98 N/A N/A 28,010 27,532 1,005,512 1,538,332 2017-08-14 $38.03 $37.00 24.0% 6.9% 13.0% 10.9% 26.4% 4.8% 1.1% 17.6M -689.8M -11.8M 1.95 4.75 N/A N/A 20,386 39,751 1,010,974 1,534,748 2017-08-15 $38.45 $37.00 23.1% 6.7% 13.1% 7.8% 27.2% 4.7% 0.3% 32.6M -930.0M -11.6M 1.19 2.89 N/A N/A 23,267 27,802 1,014,904 1,540,746 2017-08-16 $38.90 $37.00 21.5% 6.2% 13.6% 1.9% 22.6% 4.5% 0.8% 51.9M -1.24B -11.0M 1.23 2.74 N/A N/A 32,633 40,213 1,019,607 1,550,714 2017-08-17 $38.22 $37.00 23.5% 6.7% 15.3% 9.0% 24.4% 4.8% 0.0% 26.0M -791.1M -11.7M 2.07 3.39 N/A N/A 47,773 98,696 1,025,349 1,552,243 2017-08-18 $39.07 $37.00 22.6% 6.4% 16.6% 5.7% 24.2% 4.0% 0.9% 80.8M -1.34B -11.5M 1.28 2.89 N/A N/A 32,837 42,036 1,040,820 1,616,313 2017-08-21 $38.76 $37.00 23.0% 6.5% 17.0% 7.3% 24.4% 4.9% 0.2% 27.6M -674.3M -11.4M 1.11 2.82 N/A N/A 20,200 22,411 903,273 1,396,059 2017-08-22 $39.59 $37.00 23.3% 6.5% 18.2% 8.4% 24.8% 3.9% -0.4% 34.3M -1.10B -10.8M 1.03 2.89 N/A N/A 44,941 46,428 908,992 1,407,526 2017-08-23 $40.13 $37.00 22.6% 6.4% 18.6% 5.7% 24.3% 3.5% 0.2% 39.0M -1.37B -10.7M 1.53 2.66 N/A N/A 43,427 66,575 920,841 1,424,647 2017-08-24 $40.29 $37.00 21.8% 6.1% 18.5% 2.8% 22.9% 3.9% 0.4% 41.8M -1.47B -10.8M 1.18 2.45 N/A N/A 25,823 30,510 948,367 1,434,898 2017-08-25 $40.14 $37.00 22.4% 6.4% 18.6% 5.3% 23.1% 4.0% 0.4% 30.5M -1.45B -10.7M 1.86 3.30 N/A N/A 35,370 65,839 957,375 1,452,286 2017-08-28 $40.03 $37.00 23.1% 6.3% 18.5% 7.6% 23.6% 4.3% 0.2% 25.9M -1.22B -10.9M 1.44 2.32 N/A N/A 50,742 73,096 935,235 1,477,551 2017-08-29 $40.16 $37.00 22.9% 6.3% 18.4% 7.1% 23.7% 4.3% 0.3% 23.7M -1.24B -11.0M 1.14 4.96 N/A N/A 31,814 36,416 952,502 1,527,823 2017-08-30 $39.96 $37.00 22.5% 6.0% 18.3% 5.6% 21.3% 4.0% 0.4% 20.8M -1.12B -11.0M 0.98 4.29 N/A N/A 26,298 25,663 963,867 1,549,611 2017-08-31 $40.02 $37.00 22.0% 5.8% 18.1% 3.8% 22.5% 4.3% 0.7% 27.3M -1.28B -10.7M 1.43 6.39 N/A N/A 41,468 59,504 974,540 1,561,334
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