EWZ Options History — September 2017

In September 2017, EWZ traded between $40.58 and $43.36. ATM implied volatility averaged 25.6%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 8.7% (HV 20d: 16.9%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.47.

Notable Days

  • 2017-09-15: Highest Volume — 290,279 contracts
  • 2017-09-05: Largest IV spike — 9.6% change
  • 2017-09-27: Highest IV Rank — 31.2%
  • 2017-09-27: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.15$40.58$43.36$40.58$41.64
Max Pain$39.92$37.00$41.00$37.00$41.00
ATM IV25.6%21.5%29.6%21.5%28.1%
Expected Move7.5%5.7%8.6%5.7%8.1%
HV 20d16.9%13.6%19.6%18.5%18.3%
HV 60d17.6%16.0%19.2%19.2%16.9%
IV Rank16.8%1.9%31.2%1.9%25.8%
IV Percentile22.0%0.4%48.8%0.4%34.5%
Term Structure0.5%-0.5%2.8%0.8%-0.3%
VWIV27.7%19.9%30.8%19.9%30.5%
Skew 25d5.3%4.0%6.7%4.0%5.3%
Skew 10d12.5%8.7%14.8%8.7%13.0%
Call IV 25d23.5%19.4%27.1%19.4%25.9%
Put IV 25d28.8%23.4%33.7%23.4%31.2%
Bid-Ask Spread %5.862.5922.085.195.14
Gamma HHI0.090.050.180.100.05
Net GEX24.0M-25.2M83.2M29.4M-1.9M
Net DEX-1.65B-3.02B-365.7M-1.53B-776.3M
Net VEX-11.4M-12.2M-10.4M-10.9M-12.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.393.491.021.63
Total Volume125,44864,952290,279133,946161,833
Total OI2,639,992.82,246,3443,136,6662,614,1962,501,708

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$40.58$37.0021.5%5.7%18.5%1.9%19.9%4.0%0.8%29.4M-1.53B-10.9M1.025.19N/AN/A66,39067,556998,7991,615,397
2017-09-05$40.97$40.0023.6%7.0%18.2%9.3%26.7%5.0%0.5%45.3M-1.68B-11.1M1.046.59N/AN/A80,24783,5741,042,4831,629,619
2017-09-06$41.95$40.0023.0%6.9%19.6%7.4%27.7%4.2%0.2%56.4M-2.26B-10.7M1.062.81N/AN/A90,46595,7051,090,1231,684,814
2017-09-07$42.22$39.0023.5%7.0%18.7%9.3%24.6%4.1%0.3%63.7M-2.54B-10.5M1.772.59N/AN/A41,83074,1071,130,6571,728,035
2017-09-08$41.95$40.0023.8%7.2%17.3%10.0%25.7%4.7%0.7%53.3M-2.33B-11.0M0.902.83N/AN/A39,35435,6101,148,9511,779,993
2017-09-11$42.56$40.0024.6%7.4%17.5%13.2%29.4%5.4%1.2%83.2M-2.70B-10.7M3.372.73N/AN/A28,84197,2271,172,5081,777,417
2017-09-12$42.37$40.0024.6%7.8%17.8%13.0%28.2%5.1%2.8%52.8M-2.44B-10.9M1.073.93N/AN/A52,60956,5411,144,0551,832,680
2017-09-13$42.36$40.0025.4%7.8%17.8%16.1%27.5%5.1%2.4%45.0M-2.41B-11.1M1.173.10N/AN/A54,97764,2111,165,5821,868,006
2017-09-14$42.66$40.0025.5%7.5%17.6%16.3%29.2%4.9%0.7%28.6M-2.48B-11.6M3.492.69N/AN/A36,123126,2131,178,2141,902,683
2017-09-15$43.36$40.0025.2%7.4%16.0%15.3%29.1%4.3%1.4%4.8M-3.02B-10.4M0.393.70N/AN/A208,38881,8911,186,3311,950,335
2017-09-18$43.16$40.0025.0%7.2%15.3%14.4%26.7%5.5%0.8%17.9M-1.42B-11.5M0.957.05N/AN/A49,59747,066925,4441,320,900
2017-09-19$43.06$40.0025.1%7.2%14.8%14.9%25.8%5.5%0.1%18.4M-1.34B-12.0M0.776.39N/AN/A43,88033,875958,6251,336,679
2017-09-20$43.14$40.0025.1%7.2%13.6%15.0%26.3%5.8%0.6%23.3M-1.37B-12.2M0.6522.08N/AN/A61,36640,072981,3311,354,037
2017-09-21$42.65$40.0026.7%7.7%14.2%20.5%29.6%5.9%-0.3%12.6M-1.24B-12.0M1.856.64N/AN/A31,13257,698994,1511,375,707
2017-09-22$42.73$40.0026.0%7.4%14.2%18.1%27.2%5.8%0.3%10.7M-1.23B-12.1M1.376.43N/AN/A36,32449,819998,2051,390,294
2017-09-25$41.84$40.0028.4%8.1%16.4%26.7%29.5%6.6%-0.4%-5.8M-797.9M-11.8M2.068.10N/AN/A25,62352,822991,8911,380,228
2017-09-26$41.70$40.0028.3%8.0%16.5%26.2%28.4%6.4%-0.2%-10.2M-742.0M-11.8M1.346.58N/AN/A27,80137,151999,0701,400,572
2017-09-27$40.96$40.5029.6%8.6%17.9%31.2%30.5%6.7%-0.5%-22.3M-365.7M-12.0M2.547.13N/AN/A34,65688,0281,004,8871,408,030
2017-09-28$41.09$41.0029.6%8.3%17.8%31.2%30.8%6.2%-0.2%-25.2M-385.8M-12.0M0.895.48N/AN/A78,67269,6861,011,7191,439,696
2017-09-29$41.64$41.0028.1%8.1%18.3%25.8%30.5%5.3%-0.3%-1.9M-776.3M-12.0M1.635.14N/AN/A61,459100,3741,050,0001,451,708