EWZ Options History — March 2018

In March 2018, EWZ traded between $43.44 and $46.23. ATM implied volatility averaged 28.1%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 7.4% (HV 20d: 20.8%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.07.

Notable Days

  • 2018-03-13: Highest Volume — 148,928 contracts
  • 2018-03-19: Largest IV spike — 7.9% change
  • 2018-03-27: Highest IV Rank — 36.2%
  • 2018-03-27: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.97$43.44$46.23$45.51$44.83
Max Pain$45.05$44.00$46.00$44.00$45.00
ATM IV28.1%25.7%31.1%29.6%28.0%
Expected Move8.2%7.4%8.8%8.6%8.1%
HV 20d20.8%16.8%30.5%30.5%23.1%
HV 60d26.2%25.2%26.9%26.9%26.7%
IV Rank25.7%16.9%36.2%31.1%25.4%
IV Percentile47.2%28.2%79.4%58.7%45.2%
Term Structure0.3%-0.7%1.4%-0.7%0.2%
VWIV29.9%28.0%32.5%32.1%31.3%
Skew 25d6.1%5.1%7.1%6.6%5.2%
Skew 10d12.7%11.0%14.9%14.9%12.9%
Call IV 25d25.6%23.3%28.0%27.3%25.7%
Put IV 25d31.7%28.8%35.1%33.9%30.9%
Bid-Ask Spread %6.482.9810.898.326.67
Gamma HHI0.070.060.110.070.06
Net GEX-1.1M-36.8M42.2M-1.0M-7.8M
Net DEX-269.4M-813.2M274.2M-429.0M-157.1M
Net VEX-10.2M-10.8M-9.8M-10.7M-10.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.070.844.362.521.28
Total Volume85,775.04858,407148,928100,78183,989
Total OI1,482,553.5241,184,1641,766,3311,613,6361,308,527

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$45.51$44.0029.6%8.6%30.5%31.1%32.1%6.6%-0.7%-1.0M-429.0M-10.7M2.528.32N/AN/A28,65972,122693,098920,538
2018-03-02$45.60$45.0029.2%8.4%30.5%29.7%31.6%6.7%1.4%-1.2M-441.5M-10.8M2.255.56N/AN/A30,17067,831700,893949,004
2018-03-05$45.92$45.0028.1%8.4%27.6%25.8%29.9%6.2%0.2%16.5M-639.1M-10.4M2.087.51N/AN/A22,69047,127679,849894,477
2018-03-06$46.23$45.0027.7%8.2%25.0%24.3%28.4%6.1%0.5%29.3M-787.2M-10.3M0.847.84N/AN/A46,46339,038683,366906,904
2018-03-07$45.65$45.0027.7%8.2%22.8%24.4%30.4%6.4%1.2%12.4M-518.4M-10.5M0.989.07N/AN/A38,85338,170707,542916,946
2018-03-08$45.10$45.0028.2%8.3%20.8%26.0%31.4%6.8%0.8%-2.2M-321.0M-10.3M2.329.14N/AN/A22,04151,173713,849921,133
2018-03-09$45.96$45.0026.8%7.8%17.8%20.9%28.0%5.6%0.4%28.5M-685.3M-10.2M2.026.19N/AN/A31,61263,816716,060945,357
2018-03-12$46.21$46.0026.4%7.8%17.4%19.6%28.1%5.7%0.7%42.2M-813.2M-10.1M4.365.21N/AN/A18,91082,483721,790968,124
2018-03-13$45.83$46.0026.4%7.7%17.5%19.4%29.9%5.7%0.0%24.4M-614.5M-10.0M0.986.40N/AN/A75,02673,902719,784961,569
2018-03-14$45.71$45.0025.7%7.4%17.5%16.9%29.4%5.7%0.6%23.6M-675.2M-10.1M1.436.05N/AN/A43,54062,126750,271966,791
2018-03-15$44.72$45.0026.8%7.8%16.9%20.9%30.0%5.9%0.3%-36.8M-188.6M-10.0M3.433.65N/AN/A21,40373,315756,902990,777
2018-03-16$44.67$45.0026.2%7.5%16.8%18.9%28.4%5.1%-0.5%-7.7M-153.1M-10.0M2.074.97N/AN/A28,54858,966759,8711,006,460
2018-03-19$44.26$45.0028.3%8.2%17.0%26.3%30.3%6.2%0.8%-14.5M43.9M-10.0M2.564.91N/AN/A18,04846,180509,767674,397
2018-03-20$43.96$45.0028.6%8.2%16.9%27.5%28.8%6.3%-0.4%-19.2M113.2M-10.0M1.672.98N/AN/A21,83736,570514,836689,943
2018-03-21$44.90$45.0027.3%7.8%18.8%22.7%28.4%5.8%-0.4%-11.1M-126.9M-10.1M1.8910.89N/AN/A21,02939,757524,974700,921
2018-03-22$44.01$45.0029.2%8.4%19.6%29.7%29.5%6.1%0.2%-16.9M94.1M-10.0M2.664.85N/AN/A17,57346,821530,474693,522
2018-03-23$43.91$45.0030.1%8.6%19.1%32.8%30.3%6.8%0.0%-14.9M132.3M-10.1M2.275.55N/AN/A31,45171,469534,943718,688
2018-03-26$44.53$45.0029.3%8.5%19.6%30.0%32.5%6.6%0.3%-13.5M-33.9M-10.0M1.945.93N/AN/A22,11542,893530,896711,996
2018-03-27$43.44$45.0031.1%8.8%20.7%36.2%29.3%7.1%-0.1%-23.7M274.2M-9.8M1.318.27N/AN/A37,90049,525535,951717,309
2018-03-28$43.51$45.0029.8%8.6%20.1%31.6%30.6%6.2%0.1%-28.8M269.8M-9.9M2.716.06N/AN/A20,51655,619549,400735,725
2018-03-29$44.83$45.0028.0%8.1%23.1%25.4%31.3%5.2%0.2%-7.8M-157.1M-10.1M1.286.67N/AN/A36,79747,192551,409757,118