EWZ Options History — November 2017

In November 2017, EWZ traded between $37.82 and $40.89. ATM implied volatility averaged 30.1%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 1.5% (HV 20d: 28.6%). Max pain ranged from $40.00 to $41.50. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.50.

Notable Days

2017-11-28: Highest Volume — 220,760 contracts
2017-11-07: Largest IV spike — 9.9% change
2017-11-30: Highest IV Rank — 40.1%
2017-11-30: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.69	$37.82	$40.89	$39.91	$38.75
Max Pain	$40.38	$40.00	$41.50	$41.50	$40.00
ATM IV	30.1%	27.1%	32.1%	29.3%	32.1%
Expected Move	8.9%	7.9%	9.9%	8.5%	9.9%
HV 20d	28.6%	22.1%	33.2%	22.1%	31.2%
HV 60d	23.0%	20.5%	24.7%	20.8%	24.6%
IV Rank	32.7%	21.9%	40.1%	30.1%	40.1%
IV Percentile	60.5%	33.7%	81.0%	50.8%	81.0%
Term Structure	-0.1%	-2.1%	2.1%	-0.0%	-0.3%
VWIV	31.0%	26.2%	35.3%	29.6%	35.3%
Skew 25d	5.8%	4.8%	7.2%	7.2%	4.8%
Skew 10d	12.0%	10.0%	14.5%	13.8%	10.3%
Call IV 25d	27.6%	24.8%	29.6%	25.6%	29.5%
Put IV 25d	33.4%	31.0%	35.0%	32.8%	34.3%
Bid-Ask Spread %	4.62	2.41	10.75	10.75	3.95
Gamma HHI	0.06	0.05	0.09	0.06	0.07
Net GEX	-30.9M	-76.9M	27.4M	-41.2M	-42.4M
Net DEX	397.8M	-663.7M	1.58B	445.7M	810.0M
Net VEX	-10.9M	-12.0M	-10.1M	-11.8M	-10.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.50	0.67	2.95	0.67	2.47
Total Volume	129,529.143	60,269	220,760	65,266	153,559
Total OI	2,851,412.19	2,647,872	3,033,104	2,735,061	3,025,267

Daily Data (21 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
2017-11-01	$39.91	$41.50	29.3%	8.5%	22.1%	30.1%	29.6%	7.2%	-0.0%	-41.2M	445.7M	-11.8M	0.67	10.75	N/A	N/A	39,082	26,184	1,251,407	1,483,654
2017-11-02	$39.89	$41.00	27.3%	7.9%	22.1%	22.9%	26.2%	6.2%	0.3%	-53.1M	505.5M	-11.5M	1.23	3.11	N/A	N/A	27,011	33,258	1,253,327	1,489,534
2017-11-03	$39.29	$41.00	27.7%	8.0%	22.3%	24.2%	28.6%	6.8%	-0.0%	-51.1M	869.0M	-11.3M	2.27	2.92	N/A	N/A	60,137	136,485	1,257,772	1,499,438
2017-11-06	$40.32	$41.00	27.1%	8.0%	24.3%	21.9%	28.6%	6.2%	1.0%	-38.1M	229.1M	-11.6M	2.91	3.72	N/A	N/A	24,678	71,908	1,284,313	1,523,168
2017-11-07	$39.15	$41.00	29.8%	8.6%	25.0%	31.6%	29.9%	6.9%	0.2%	-67.8M	939.1M	-11.2M	1.16	2.99	N/A	N/A	78,483	90,726	1,266,905	1,548,588
2017-11-08	$40.31	$40.50	28.1%	8.4%	27.6%	25.7%	30.0%	5.0%	2.1%	-35.1M	172.2M	-12.0M	0.82	7.04	N/A	N/A	77,051	63,199	1,319,700	1,582,111
2017-11-09	$39.72	$40.50	30.3%	8.8%	28.0%	33.5%	30.1%	6.1%	0.3%	-54.9M	536.1M	-11.8M	0.79	3.15	N/A	N/A	40,663	32,118	1,334,735	1,593,722
2017-11-10	$38.85	$40.50	30.2%	8.9%	28.0%	33.3%	30.2%	5.8%	1.0%	-55.8M	1.12B	-11.2M	2.45	3.17	N/A	N/A	36,963	90,457	1,354,831	1,592,280
2017-11-13	$38.95	$40.50	30.9%	8.9%	28.1%	35.6%	31.4%	5.3%	0.5%	-64.3M	981.8M	-10.8M	1.79	3.48	N/A	N/A	41,580	74,424	1,354,165	1,583,565
2017-11-14	$37.82	$40.50	31.0%	8.9%	29.4%	36.2%	31.4%	5.0%	1.9%	-70.1M	1.58B	-10.3M	2.11	8.14	N/A	N/A	52,749	111,329	1,367,770	1,570,724
2017-11-15	$38.00	$40.00	30.6%	8.8%	29.5%	34.6%	30.5%	5.9%	0.5%	-76.9M	1.53B	-10.4M	2.95	7.18	N/A	N/A	18,515	54,672	1,389,276	1,605,136
2017-11-16	$39.29	$40.00	30.1%	8.6%	32.7%	32.7%	29.2%	4.9%	-0.2%	-64.2M	787.3M	-10.6M	0.98	7.02	N/A	N/A	56,884	55,920	1,391,117	1,603,597
2017-11-17	$39.82	$40.00	31.1%	9.0%	33.2%	36.4%	31.4%	4.9%	-0.5%	-10.0M	389.8M	-11.0M	1.11	4.01	N/A	N/A	71,998	80,025	1,423,775	1,609,329
2017-11-20	$40.24	$40.00	30.2%	9.0%	32.4%	33.2%	30.6%	6.3%	-1.5%	4.1M	-235.5M	-10.4M	1.27	4.18	N/A	N/A	36,888	46,781	1,208,005	1,439,867
2017-11-21	$40.39	$40.00	31.6%	9.2%	32.4%	38.1%	31.9%	5.7%	-2.0%	4.9M	-284.8M	-10.9M	0.71	2.73	N/A	N/A	54,162	38,296	1,221,170	1,466,040
2017-11-22	$40.89	$40.00	30.8%	8.9%	32.5%	35.4%	30.5%	5.4%	-2.1%	18.9M	-593.9M	-10.8M	0.99	2.70	N/A	N/A	52,996	52,233	1,243,400	1,474,528
2017-11-24	$40.73	$40.00	31.6%	9.5%	30.8%	38.0%	32.0%	6.2%	-2.1%	14.7M	-506.7M	-10.7M	0.75	4.89	N/A	N/A	56,953	42,516	1,261,662	1,497,041
2017-11-27	$40.57	$40.00	30.7%	9.6%	29.9%	35.1%	33.3%	5.7%	-0.7%	14.7M	-415.8M	-10.1M	0.84	2.41	N/A	N/A	109,768	92,011	1,251,040	1,472,394
2017-11-28	$40.89	$40.00	30.3%	9.7%	28.0%	33.4%	34.6%	5.7%	0.4%	27.4M	-663.7M	-10.7M	2.13	5.75	N/A	N/A	70,572	150,188	1,328,999	1,519,918
2017-11-29	$39.65	$40.00	30.4%	9.9%	30.2%	34.0%	34.9%	6.4%	-0.2%	-8.1M	157.4M	-10.5M	1.20	3.81	N/A	N/A	98,630	118,060	1,373,870	1,562,516
2017-11-30	$38.75	$40.00	32.1%	9.9%	31.2%	40.1%	35.3%	4.8%	-0.3%	-42.4M	810.0M	-10.3M	2.47	3.95	N/A	N/A	44,203	109,356	1,402,121	1,623,146