EWZ Options History — January 2018

In January 2018, EWZ traded between $41.67 and $47.30. ATM implied volatility averaged 28.9%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 7.5% (HV 20d: 21.5%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.99.

Notable Days

2018-01-24: Highest Volume — 327,130 contracts
2018-01-24: Largest IV drop — 26.1% change
2018-01-23: Highest IV Rank — 41.3%
2018-01-23: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.10	$41.67	$47.30	$41.67	$46.52
Max Pain	$41.48	$40.00	$42.00	$40.00	$42.00
ATM IV	28.9%	24.0%	32.5%	28.5%	27.0%
Expected Move	8.1%	6.7%	9.6%	6.7%	7.3%
HV 20d	21.5%	14.8%	27.4%	24.0%	26.1%
HV 60d	26.3%	25.7%	27.8%	26.1%	27.2%
IV Rank	28.7%	10.9%	41.3%	27.1%	21.6%
IV Percentile	58.0%	16.3%	91.7%	51.6%	38.5%
Term Structure	-0.5%	-1.6%	2.7%	0.2%	0.2%
VWIV	29.4%	24.0%	36.6%	24.0%	27.4%
Skew 25d	4.8%	2.5%	6.6%	3.9%	5.6%
Skew 10d	10.4%	6.8%	14.8%	9.3%	10.7%
Call IV 25d	27.0%	23.6%	29.7%	26.3%	24.9%
Put IV 25d	31.9%	28.6%	36.2%	30.2%	30.5%
Bid-Ask Spread %	4.68	2.29	9.38	5.15	9.38
Gamma HHI	0.11	0.08	0.14	0.10	0.12
Net GEX	54.1M	25.9M	92.3M	40.3M	77.3M
Net DEX	-1.15B	-2.12B	-496.3M	-559.9M	-1.43B
Net VEX	-8.6M	-10.1M	-6.9M	-6.9M	-10.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.41	1.98	0.79	1.47
Total Volume	141,920.095	58,908	327,130	169,295	87,430
Total OI	1,956,337.333	1,381,618	2,584,037	1,872,239	1,661,806

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
2018-01-02	$41.67	$40.00	28.5%	6.7%	24.0%	27.1%	24.0%	3.9%	0.2%	40.3M	-559.9M	-6.9M	0.79	5.15	N/A	N/A	94,702	74,593	713,527	1,158,712
2018-01-03	$42.14	$40.00	28.2%	6.9%	23.7%	26.2%	24.9%	2.5%	0.2%	41.3M	-700.6M	-7.3M	0.94	5.00	N/A	N/A	44,747	41,968	754,789	1,207,043
2018-01-04	$42.50	$40.00	28.9%	8.2%	23.7%	28.4%	29.1%	4.7%	-0.7%	44.6M	-830.2M	-7.1M	0.75	3.11	N/A	N/A	56,234	42,276	754,299	1,221,700
2018-01-05	$42.81	$41.00	27.7%	7.8%	23.6%	24.2%	29.6%	6.2%	-0.2%	39.9M	-928.2M	-7.1M	1.98	3.29	N/A	N/A	43,138	85,273	759,529	1,238,445
2018-01-08	$42.68	$41.00	28.9%	8.0%	21.4%	28.7%	27.1%	4.1%	-1.2%	36.4M	-837.9M	-7.1M	0.66	2.29	N/A	N/A	64,277	42,215	759,612	1,261,191
2018-01-09	$42.36	$41.00	30.0%	8.6%	21.7%	32.6%	28.8%	3.8%	-0.0%	31.3M	-737.2M	-7.3M	0.41	2.60	N/A	N/A	126,638	51,429	786,446	1,290,000
2018-01-10	$42.22	$41.00	30.3%	8.6%	21.9%	33.6%	28.8%	4.5%	-0.4%	35.2M	-763.7M	-7.6M	0.63	5.85	N/A	N/A	86,758	54,863	870,350	1,316,379
2018-01-11	$43.09	$41.00	29.7%	8.5%	21.5%	31.4%	29.4%	4.4%	-0.3%	52.4M	-1.15B	-7.8M	0.85	5.99	N/A	N/A	88,454	74,994	896,079	1,339,803
2018-01-12	$43.24	$42.00	29.9%	8.4%	16.7%	32.2%	29.6%	3.3%	-1.5%	49.3M	-1.22B	-8.2M	0.58	3.71	N/A	N/A	79,130	45,641	924,311	1,373,016
2018-01-16	$43.05	$42.00	32.0%	9.1%	15.8%	39.5%	33.4%	4.9%	-1.2%	41.4M	-1.01B	-8.1M	0.98	3.55	N/A	N/A	93,133	91,198	928,165	1,367,153
2018-01-17	$43.84	$42.00	31.8%	9.1%	16.2%	38.9%	33.3%	4.9%	-1.3%	54.1M	-1.34B	-8.7M	0.65	4.28	N/A	N/A	104,367	68,072	971,258	1,427,153
2018-01-18	$43.93	$42.00	31.3%	9.0%	16.1%	37.2%	34.0%	6.6%	-1.3%	60.7M	-1.41B	-8.9M	0.84	7.59	N/A	N/A	120,199	100,530	1,012,243	1,463,005
2018-01-19	$44.44	$42.00	30.9%	9.0%	14.9%	35.7%	32.7%	5.9%	-1.6%	48.6M	-1.66B	-9.4M	0.76	5.65	N/A	N/A	65,594	49,577	1,059,808	1,524,229
2018-01-22	$44.63	$42.00	30.6%	9.1%	14.8%	34.5%	33.8%	6.3%	-1.3%	37.8M	-830.3M	-9.6M	1.33	5.09	N/A	N/A	38,019	50,545	668,200	713,418
2018-01-23	$43.67	$42.00	32.5%	9.6%	17.5%	41.3%	36.6%	6.6%	-1.6%	25.9M	-496.3M	-9.7M	1.82	6.65	N/A	N/A	46,525	84,500	705,916	761,336
2018-01-24	$46.28	$42.00	24.0%	7.0%	25.5%	10.9%	24.9%	5.2%	2.7%	84.0M	-1.58B	-9.3M	0.43	5.96	N/A	N/A	229,223	97,907	739,040	794,019
2018-01-25	$46.94	$42.00	26.0%	7.3%	25.6%	18.0%	26.0%	4.6%	-0.2%	91.4M	-1.85B	-9.8M	0.49	2.89	N/A	N/A	145,182	70,881	809,178	848,696
2018-01-26	$47.30	$42.00	25.6%	7.2%	25.6%	16.5%	27.1%	4.5%	-0.0%	92.3M	-2.12B	-10.0M	1.29	2.49	N/A	N/A	43,905	56,807	874,060	875,415
2018-01-29	$46.42	$42.00	27.2%	7.8%	27.3%	22.3%	27.5%	4.6%	0.2%	75.4M	-1.40B	-10.1M	1.59	4.47	N/A	N/A	31,078	49,412	806,788	804,850
2018-01-30	$46.40	$42.00	27.0%	7.4%	27.4%	21.6%	29.5%	4.6%	-0.0%	75.6M	-1.38B	-10.0M	1.54	3.22	N/A	N/A	23,224	35,684	811,888	830,229
2018-01-31	$46.52	$42.00	27.0%	7.3%	26.1%	21.6%	27.4%	5.6%	0.2%	77.3M	-1.43B	-10.1M	1.47	9.38	N/A	N/A	35,338	52,092	819,121	842,685