EWZ Options History — December 2017

In December 2017, EWZ traded between $38.30 and $40.45. ATM implied volatility averaged 27.6%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 0.7% (HV 20d: 26.8%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2017-12-18: Highest Volume — 428,041 contracts
  • 2017-12-15: Largest IV drop — 10.6% change
  • 2017-12-08: Highest IV Rank — 39.4%
  • 2017-12-01: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.40$38.30$40.45$39.01$40.45
Max Pain$38.85$37.00$40.00$40.00$40.00
ATM IV27.6%23.1%31.9%31.2%24.4%
Expected Move7.7%6.4%9.8%9.8%6.4%
HV 20d26.8%21.9%31.4%31.3%21.9%
HV 60d25.7%24.6%26.5%24.6%25.3%
IV Rank23.7%7.6%39.4%36.9%12.5%
IV Percentile43.6%7.1%82.1%73.4%18.3%
Term Structure0.1%-2.3%1.5%-0.9%1.0%
VWIV27.3%22.4%36.8%35.0%22.7%
Skew 25d3.3%1.4%5.5%4.9%4.2%
Skew 10d6.4%1.1%10.2%9.7%7.8%
Call IV 25d26.4%22.2%31.7%28.8%22.5%
Put IV 25d29.7%24.8%34.5%33.7%26.7%
Bid-Ask Spread %4.162.088.782.772.50
Gamma HHI0.090.070.170.100.11
Net GEX-17.4M-96.4M38.9M-55.6M38.9M
Net DEX385.4M-283.6M1.28B705.8M-195.0M
Net VEX-8.6M-10.4M-7.2M-10.4M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.201.800.850.39
Total Volume168,573.968,227428,041202,25168,227
Total OI2,687,316.21,920,6333,385,5613,068,4921,957,871

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$39.01$40.0031.2%9.8%31.3%36.9%35.0%4.9%-0.9%-55.6M705.8M-10.4M0.852.77N/AN/A109,52192,7301,407,2391,661,253
2017-12-04$39.65$38.0031.2%8.5%31.4%36.6%30.2%5.5%0.0%-19.6M227.9M-10.1M1.013.16N/AN/A43,19543,6261,375,2511,615,118
2017-12-05$39.56$38.0030.6%8.6%29.9%34.5%30.3%5.4%1.0%-23.0M276.6M-9.8M1.254.55N/AN/A56,66470,9111,392,5661,634,369
2017-12-06$39.99$38.0031.5%8.8%28.2%37.7%30.1%3.8%-0.8%-6.5M-29.5M-10.3M0.926.77N/AN/A128,020118,1551,407,4911,646,771
2017-12-07$39.03$37.0031.3%8.9%27.5%37.1%30.0%3.1%-0.2%-54.1M596.9M-9.9M0.725.36N/AN/A183,030130,9821,466,8941,674,625
2017-12-08$39.03$38.0031.9%8.8%27.1%39.4%27.7%2.1%-0.4%-25.5M566.0M-10.0M0.784.29N/AN/A142,225111,4931,554,3781,703,285
2017-12-11$39.11$38.0031.7%8.9%25.9%38.4%27.7%4.0%-0.5%-25.4M556.5M-9.6M1.133.29N/AN/A82,89994,0541,569,3371,682,103
2017-12-12$40.06$38.0031.7%8.6%27.2%38.6%33.0%1.4%0.0%32.1M-283.6M-9.7M0.868.78N/AN/A113,87798,0231,595,8721,683,624
2017-12-13$38.77$38.0029.9%7.9%27.7%32.1%25.8%1.5%-1.2%-52.8M890.3M-8.9M0.988.04N/AN/A104,466101,9791,633,5741,705,525
2017-12-14$38.30$38.0028.0%7.6%28.1%25.1%25.2%3.6%-2.3%-96.4M1.28B-8.2M1.803.51N/AN/A63,492114,5331,651,1471,701,372
2017-12-15$38.78$38.0025.0%7.0%25.7%14.5%24.9%3.1%-1.7%-28.0M1.12B-8.1M0.906.54N/AN/A67,78760,8161,656,4711,729,090
2017-12-18$39.22$38.0025.4%7.3%25.6%15.8%36.8%3.2%0.6%-19.5M221.2M-7.9M0.205.79N/AN/A358,13869,903978,3011,253,402
2017-12-19$38.77$40.0023.1%6.6%25.5%7.7%25.4%2.5%1.3%-39.1M731.4M-7.6M0.912.50N/AN/A79,00072,133870,9301,264,684
2017-12-20$38.85$40.0023.1%6.6%25.5%7.6%25.6%2.5%1.3%-30.2M516.7M-7.7M0.932.55N/AN/A69,03963,944887,5921,254,022
2017-12-21$39.53$40.0023.6%6.7%25.9%9.6%24.3%2.8%0.7%3.2M305.9M-7.7M0.663.18N/AN/A54,95936,293898,2121,282,105
2017-12-22$39.51$40.0023.8%6.7%25.9%10.3%23.4%2.6%1.5%4.2M265.8M-7.6M0.732.08N/AN/A50,32036,511908,1631,278,170
2017-12-26$39.95$40.0024.4%6.5%26.2%12.5%22.8%3.6%0.6%12.4M73.3M-7.3M0.542.68N/AN/A58,51431,445716,4701,205,156
2017-12-27$40.13$40.0024.5%6.4%26.1%12.7%22.4%3.6%0.3%19.6M-39.1M-7.3M0.512.34N/AN/A51,95326,487722,1881,198,445
2017-12-28$40.24$40.0025.0%6.6%23.6%14.4%23.3%2.9%0.7%16.7M-77.9M-7.2M0.422.41N/AN/A79,21832,916719,1661,204,092
2017-12-29$40.45$40.0024.4%6.4%21.9%12.5%22.7%4.2%1.0%38.9M-195.0M-7.3M0.392.50N/AN/A49,03519,192746,2151,211,656