EWZ Options History — October 2017 In October 2017, EWZ traded between $40.16 and $43.34. ATM implied volatility averaged 26.2%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 5.3% (HV 20d: 20.9%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.32.
Notable Days 2017-10-18 : Highest Volume — 242,255 contracts2017-10-30 : Largest IV spike — 14.8% change2017-10-30 : Highest IV Rank — 34.5%2017-10-30 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $42.18 $40.16 $43.34 $41.72 $40.16 Max Pain $41.45 $40.00 $42.00 $40.50 $42.00 ATM IV 26.2% 23.6% 30.6% 28.4% 29.5% Expected Move 7.6% 6.7% 9.7% 7.9% 9.2% HV 20d 20.9% 17.7% 25.9% 17.7% 22.3% HV 60d 18.1% 16.8% 20.9% 16.9% 20.7% IV Rank 19.0% 9.3% 34.5% 26.8% 30.6% IV Percentile 27.8% 11.5% 62.3% 40.1% 52.8% Term Structure -0.3% -1.6% 1.1% -0.3% 0.4% VWIV 28.0% 24.4% 34.3% 28.8% 32.8% Skew 25d 5.6% 4.6% 7.8% 6.0% 7.1% Skew 10d 12.5% 9.6% 15.4% 13.5% 14.3% Call IV 25d 24.0% 21.5% 27.5% 26.1% 26.3% Put IV 25d 29.6% 26.7% 34.4% 32.1% 33.4% Bid-Ask Spread % 4.73 2.50 8.48 5.57 3.44 Gamma HHI 0.07 0.05 0.10 0.05 0.06 Net GEX 2.7M -38.4M 44.7M 946.8K -38.4M Net DEX -941.0M -1.77B 359.8M -902.4M 359.8M Net VEX -11.7M -12.2M -11.3M -11.7M -11.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.32 0.52 2.64 1.01 0.67 Total Volume 113,144.364 40,461 242,255 40,461 176,719 Total OI 2,670,161.136 2,392,272 3,015,101 2,508,304 2,657,874
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 2017-10-02 $41.72 $40.50 28.4% 7.9% 17.7% 26.8% 28.8% 6.0% -0.3% 946.8K -902.4M -11.7M 1.01 5.57 N/A N/A 20,081 20,380 1,052,876 1,455,428 2017-10-03 $43.15 $40.50 25.7% 6.9% 21.0% 16.9% 24.7% 4.7% 0.1% 33.4M -1.58B -11.3M 0.81 6.42 N/A N/A 43,579 35,178 1,055,842 1,438,044 2017-10-04 $43.34 $41.00 24.8% 6.7% 19.5% 13.9% 26.5% 4.8% 0.2% 44.7M -1.77B -11.4M 2.64 6.56 N/A N/A 27,428 72,376 1,077,890 1,453,215 2017-10-05 $43.11 $40.00 26.2% 7.5% 19.5% 18.8% 26.1% 6.0% -0.6% 28.3M -1.59B -11.6M 0.52 8.48 N/A N/A 81,314 41,991 1,079,927 1,495,100 2017-10-06 $42.64 $40.00 27.3% 7.6% 19.8% 22.8% 31.0% 5.8% -0.1% 19.2M -1.32B -12.0M 1.86 2.72 N/A N/A 65,669 122,296 1,131,979 1,507,794 2017-10-09 $42.03 $40.00 28.4% 8.0% 19.8% 26.6% 29.7% 6.0% -0.4% -8.2M -822.7M -12.2M 2.31 5.65 N/A N/A 24,562 56,840 1,125,431 1,553,697 2017-10-10 $42.79 $40.00 26.2% 7.5% 20.8% 18.7% 27.6% 5.8% -0.2% 16.6M -1.28B -11.8M 1.39 2.61 N/A N/A 46,508 64,599 1,128,675 1,581,212 2017-10-11 $42.86 $42.00 25.6% 7.3% 20.8% 16.7% 28.7% 5.4% 0.1% 16.6M -1.34B -11.8M 0.97 5.46 N/A N/A 31,024 29,985 1,145,719 1,611,433 2017-10-12 $42.75 $42.00 25.6% 7.2% 20.7% 16.6% 28.6% 5.6% -0.6% 10.7M -1.22B -11.8M 0.77 5.72 N/A N/A 25,388 19,442 1,147,520 1,626,960 2017-10-13 $43.29 $42.00 23.6% 7.0% 20.4% 9.6% 26.2% 5.2% 1.1% 28.9M -1.60B -11.6M 1.81 5.35 N/A N/A 35,173 63,676 1,158,612 1,634,857 2017-10-16 $42.95 $42.00 24.7% 7.1% 20.5% 13.3% 27.3% 5.3% -1.3% 16.1M -1.40B -11.6M 1.48 2.51 N/A N/A 41,491 61,270 1,173,513 1,647,165 2017-10-17 $42.62 $42.00 23.6% 6.7% 20.7% 9.3% 24.4% 4.6% 0.0% -3.3M -1.26B -11.3M 1.46 3.13 N/A N/A 44,191 64,362 1,181,873 1,670,435 2017-10-18 $42.72 $42.00 24.1% 6.9% 20.7% 11.2% 25.2% 4.8% -0.5% 1.5M -1.29B -11.5M 1.82 2.50 N/A N/A 86,044 156,211 1,187,473 1,672,400 2017-10-19 $42.45 $42.00 24.9% 7.2% 20.4% 14.0% 25.1% 4.7% -1.6% -13.2M -1.16B -11.8M 0.89 4.00 N/A N/A 52,836 46,994 1,254,590 1,758,855 2017-10-20 $42.32 $42.00 24.7% 7.2% 20.4% 13.3% 27.2% 4.8% -1.1% 5.7M -1.19B -11.6M 1.10 5.16 N/A N/A 38,044 41,819 1,271,385 1,743,716 2017-10-23 $41.25 $42.00 26.6% 7.8% 21.1% 20.4% 26.4% 5.8% 0.9% -12.6M -293.0M -11.6M 1.23 6.98 N/A N/A 45,288 55,487 1,066,685 1,325,587 2017-10-24 $41.53 $42.00 25.7% 7.6% 21.2% 17.1% 26.6% 5.4% 0.4% -11.3M -411.1M -11.8M 0.85 7.09 N/A N/A 90,281 77,057 1,086,791 1,357,374 2017-10-25 $41.87 $42.00 26.5% 7.9% 20.3% 19.8% 29.1% 4.7% -0.4% -57.1K -581.9M -11.9M 0.91 3.68 N/A N/A 54,213 49,104 1,141,539 1,379,669 2017-10-26 $40.66 $42.00 28.3% 8.6% 23.0% 26.3% 31.0% 7.8% -1.4% -29.8M 66.2M -11.7M 1.53 4.41 N/A N/A 46,459 70,953 1,154,035 1,395,960 2017-10-27 $41.48 $42.00 26.6% 8.2% 23.6% 20.3% 28.0% 6.2% 0.0% -21.9M -368.1M -12.0M 1.10 3.64 N/A N/A 50,576 55,570 1,161,503 1,410,313 2017-10-30 $40.24 $42.00 30.6% 9.7% 25.9% 34.5% 34.3% 6.8% -0.5% -24.4M 253.0M -11.8M 1.96 3.00 N/A N/A 52,893 103,825 1,181,069 1,401,530 2017-10-31 $40.16 $42.00 29.5% 9.2% 22.3% 30.6% 32.8% 7.1% 0.4% -38.4M 359.8M -11.7M 0.67 3.44 N/A N/A 105,946 70,773 1,198,200 1,459,674
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