EWZ Options History — February 2018 In February 2018, EWZ traded between $42.58 and $47.06. ATM implied volatility averaged 30.5%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 3.5% (HV 20d: 33.9%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 2.08.
Notable Days 2018-02-15 : Highest Volume — 226,058 contracts2018-02-05 : Largest IV spike — 26.0% change2018-02-08 : Highest IV Rank — 61.2%2018-02-08 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $45.15 $42.58 $47.06 $46.73 $45.55 Max Pain $43.76 $43.00 $44.00 $43.00 $44.00 ATM IV 30.5% 25.2% 38.0% 26.9% 28.7% Expected Move 8.7% 6.9% 11.1% 7.9% 8.3% HV 20d 33.9% 26.0% 37.8% 26.0% 30.5% HV 60d 27.8% 26.9% 28.8% 26.9% 26.9% IV Rank 34.1% 15.2% 61.2% 21.4% 27.8% IV Percentile 60.7% 24.2% 97.2% 38.1% 49.6% Term Structure -0.2% -1.8% 1.2% 0.3% -0.3% VWIV 31.5% 24.8% 39.7% 29.2% 28.9% Skew 25d 6.5% 4.4% 9.1% 4.4% 6.5% Skew 10d 13.8% 10.0% 19.1% 11.1% 12.9% Call IV 25d 27.7% 22.9% 34.0% 24.7% 26.6% Put IV 25d 34.2% 28.3% 42.7% 29.1% 33.1% Bid-Ask Spread % 7.43 3.39 29.21 3.41 6.58 Gamma HHI 0.08 0.06 0.16 0.12 0.07 Net GEX 25.3M -13.9M 78.0M 78.0M 2.6M Net DEX -648.7M -1.52B 300.9M -1.52B -489.1M Net VEX -10.4M -10.9M -10.0M -10.1M -10.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.08 0.50 7.65 1.81 2.10 Total Volume 106,313.211 61,661 226,058 99,302 108,998 Total OI 1,679,243.684 1,448,628 1,902,459 1,685,907 1,566,030
Daily Data (19 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 2018-02-01 $46.73 $43.00 26.9% 7.9% 26.0% 21.4% 29.2% 4.4% 0.3% 78.0M -1.52B -10.1M 1.81 3.41 N/A N/A 35,397 63,905 822,607 863,300 2018-02-02 $45.07 $43.00 29.3% 8.6% 29.8% 29.9% 31.2% 5.0% -0.8% 50.7M -682.9M -10.5M 1.84 4.49 N/A N/A 39,055 71,912 838,565 897,680 2018-02-05 $43.71 $43.50 36.9% 10.1% 32.0% 57.2% 34.6% 9.1% -1.8% 21.0M -169.3M -10.5M 1.48 29.21 N/A N/A 38,784 57,261 826,861 825,917 2018-02-06 $45.18 $43.50 33.7% 9.7% 33.9% 45.8% 34.4% 7.4% -0.1% 47.1M -797.0M -10.9M 1.51 9.32 N/A N/A 39,734 59,987 850,499 844,302 2018-02-07 $43.94 $43.50 34.7% 9.7% 35.4% 49.3% 34.5% 7.9% -0.8% 23.3M -280.3M -10.7M 2.42 4.61 N/A N/A 29,763 72,107 865,930 867,803 2018-02-08 $42.58 $43.50 38.0% 11.1% 37.3% 61.2% 39.0% 8.7% 0.9% -4.8M 300.9M -10.7M 2.40 11.91 N/A N/A 32,593 78,153 875,823 902,175 2018-02-09 $43.15 $43.50 37.3% 10.7% 36.9% 58.5% 39.7% 8.9% -0.0% -381.6K 98.1M -10.8M 1.56 9.81 N/A N/A 69,283 108,225 890,844 934,291 2018-02-12 $43.73 $44.00 35.0% 10.1% 37.2% 50.6% 36.2% 8.3% -0.8% 13.6M -167.4M -10.7M 1.98 7.99 N/A N/A 28,199 55,893 893,885 925,492 2018-02-13 $44.03 $44.00 32.9% 9.4% 37.2% 42.8% 34.3% 8.2% -0.4% 20.7M -296.7M -10.5M 2.67 6.40 N/A N/A 25,770 68,884 888,351 920,726 2018-02-14 $45.20 $44.00 27.9% 8.0% 37.8% 25.0% 28.6% 5.4% -0.2% 49.6M -898.1M -10.2M 0.50 5.57 N/A N/A 87,481 43,665 891,988 929,667 2018-02-15 $45.46 $44.00 28.8% 8.3% 37.8% 28.2% 32.6% 5.6% -0.2% 55.6M -1.07B -10.0M 7.65 3.39 N/A N/A 26,147 199,911 894,437 934,671 2018-02-16 $45.54 $44.00 28.3% 8.0% 37.7% 26.4% 29.7% 5.2% 1.2% -13.9M -1.05B -10.3M 2.10 3.78 N/A N/A 32,958 69,234 891,260 1,011,199 2018-02-20 $45.80 $44.00 28.4% 7.9% 37.7% 26.7% 30.0% 5.9% -0.5% 10.7M -686.4M -10.1M 2.22 5.39 N/A N/A 20,539 45,645 626,569 822,059 2018-02-21 $45.87 $44.00 27.5% 7.6% 36.7% 23.3% 26.7% 5.4% 0.4% 8.6M -699.6M -10.1M 0.82 7.92 N/A N/A 74,351 60,878 634,292 837,221 2018-02-22 $46.26 $44.00 26.3% 7.2% 30.4% 19.0% 24.8% 5.3% 0.0% 23.7M -881.2M -10.3M 0.61 4.92 N/A N/A 50,989 31,345 684,972 858,534 2018-02-23 $46.69 $44.00 26.0% 7.2% 30.2% 18.0% 26.5% 5.6% -0.3% 31.1M -1.10B -10.2M 1.51 3.85 N/A N/A 24,586 37,075 694,694 862,308 2018-02-26 $47.06 $44.00 25.2% 6.9% 30.2% 15.2% 26.7% 5.4% 0.4% 38.2M -1.10B -10.0M 1.61 4.96 N/A N/A 24,903 40,034 670,123 834,317 2018-02-27 $46.34 $44.00 27.2% 7.5% 29.9% 22.4% 30.3% 6.1% -0.6% 24.8M -839.9M -10.2M 2.75 7.74 N/A N/A 17,703 48,604 675,904 850,334 2018-02-28 $45.55 $44.00 28.7% 8.3% 30.5% 27.8% 28.9% 6.5% -0.3% 2.6M -489.1M -10.4M 2.10 6.58 N/A N/A 35,189 73,809 684,508 881,522
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