EWZ Options History — April 2018

In April 2018, EWZ traded between $41.85 and $44.12. ATM implied volatility averaged 28.0%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.7% (HV 20d: 25.3%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2018-04-05: Highest Volume — 123,845 contracts
  • 2018-04-26: Largest IV drop — 9.2% change
  • 2018-04-03: Highest IV Rank — 37.1%
  • 2018-04-04: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.04$41.85$44.12$44.07$42.34
Max Pain$42.95$42.00$45.00$45.00$43.00
ATM IV28.0%25.1%31.3%30.6%26.0%
Expected Move8.1%7.2%9.7%9.1%7.4%
HV 20d25.3%23.3%28.6%23.8%23.6%
HV 60d26.9%25.3%28.6%26.9%25.7%
IV Rank25.1%14.9%37.1%34.5%18.0%
IV Percentile49.4%23.8%81.7%76.6%31.3%
Term Structure0.1%-0.9%1.1%-0.6%0.2%
VWIV28.8%25.4%35.7%33.3%25.6%
Skew 25d5.0%4.0%6.6%6.6%4.2%
Skew 10d10.1%7.7%13.2%12.9%7.8%
Call IV 25d25.9%23.2%29.6%27.5%24.1%
Put IV 25d30.9%27.5%35.8%34.1%28.3%
Bid-Ask Spread %4.822.797.977.473.01
Gamma HHI0.080.060.140.060.07
Net GEX-21.6M-53.4M6.6M-17.6M-7.9M
Net DEX272.9M51.8M707.9M61.0M268.0M
Net VEX-9.7M-10.1M-9.2M-10.1M-9.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.752.592.501.63
Total Volume82,256.52443,580123,84595,93143,580
Total OI1,371,378.7621,232,8541,496,6391,299,0441,379,214

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$44.07$45.0030.6%9.1%23.8%34.5%33.3%6.6%-0.6%-17.6M61.0M-10.1M2.507.47N/AN/A27,40168,530549,180749,864
2018-04-03$43.83$45.0031.3%9.6%23.6%37.1%35.0%6.3%-0.1%-23.9M167.9M-10.1M1.524.98N/AN/A30,42546,334559,292779,085
2018-04-04$43.77$45.0031.3%9.7%23.4%37.0%35.7%5.6%-0.8%-23.8M161.7M-10.1M1.326.98N/AN/A30,02939,511569,315783,742
2018-04-05$44.12$42.0028.7%8.2%23.3%27.7%28.4%5.0%0.7%-23.8M51.8M-10.0M1.874.88N/AN/A43,16480,681578,553793,025
2018-04-06$43.45$42.0029.7%8.5%23.6%31.5%29.1%4.6%-0.1%-53.4M316.7M-9.9M1.454.76N/AN/A41,87060,595582,171806,339
2018-04-09$42.21$42.0030.9%9.0%24.1%35.6%31.0%5.4%0.5%-31.8M581.1M-9.4M1.704.57N/AN/A31,81954,132561,259756,914
2018-04-10$42.75$42.0030.4%8.6%24.6%33.8%31.1%5.8%-0.4%-33.1M449.2M-9.7M1.704.39N/AN/A31,74953,916579,097784,212
2018-04-11$43.46$42.0029.1%8.5%25.6%29.3%30.4%5.4%0.4%-25.6M206.9M-9.9M1.047.48N/AN/A49,30651,037591,153790,388
2018-04-12$43.29$42.0027.6%8.1%25.6%23.7%29.7%4.9%1.1%-26.2M255.1M-9.8M1.145.46N/AN/A35,22440,142606,117791,943
2018-04-13$42.54$42.0028.5%8.1%25.2%27.2%29.2%5.8%-0.9%-44.5M521.6M-9.6M1.065.92N/AN/A43,94346,448611,400795,655
2018-04-16$41.85$43.0027.8%8.0%25.6%24.7%28.2%5.2%0.5%-34.4M707.9M-9.3M1.223.00N/AN/A41,07650,261616,726790,284
2018-04-17$42.67$43.0026.3%7.5%26.8%19.1%26.7%5.1%1.1%-29.7M467.0M-9.5M1.443.00N/AN/A26,70938,555620,907807,868
2018-04-18$43.87$43.0025.3%7.2%28.6%15.5%26.2%4.5%0.6%-26.8M56.8M-9.7M1.022.79N/AN/A50,26851,041626,939819,148
2018-04-19$43.59$43.0025.1%7.2%27.6%14.9%26.3%4.6%0.7%-12.4M126.1M-9.6M1.427.97N/AN/A22,89332,619652,496832,916
2018-04-20$43.16$43.0025.5%7.3%26.9%16.4%25.7%4.5%0.3%-19.0M282.5M-9.5M1.663.53N/AN/A25,82142,963660,217836,422
2018-04-23$42.59$43.0026.4%7.5%27.3%19.6%27.2%4.7%0.1%-4.2M203.9M-9.2M1.783.81N/AN/A25,36445,056563,615669,239
2018-04-24$42.33$43.0026.6%7.5%26.7%20.2%25.9%4.6%-0.4%-7.5M263.4M-9.3M2.596.87N/AN/A23,32460,482576,752683,441
2018-04-25$42.06$43.0028.7%8.3%25.4%28.0%27.4%4.5%-0.5%-13.1M355.2M-9.4M0.754.08N/AN/A51,97139,183584,619716,001
2018-04-26$42.78$43.0026.1%7.5%26.2%18.5%27.9%4.0%-0.1%-2.2M157.4M-9.6M1.323.24N/AN/A29,73139,328615,920737,161
2018-04-27$43.01$43.0025.3%7.2%23.7%15.6%25.4%4.0%0.0%6.6M70.1M-9.7M1.092.99N/AN/A38,76642,140629,621760,744
2018-04-30$42.34$43.0026.0%7.4%23.6%18.0%25.6%4.2%0.2%-7.9M268.0M-9.6M1.633.01N/AN/A16,59226,988622,543756,671