EWZ Options History — May 2018

In May 2018, EWZ traded between $35.25 and $41.73. ATM implied volatility averaged 29.0%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.6% (HV 20d: 25.4%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.61.

Notable Days

2018-05-29: Highest Volume — 265,879 contracts
2018-05-17: Largest IV spike — 13.6% change
2018-05-29: Highest IV Rank — 74.3%
2018-05-29: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.30	$35.25	$41.73	$41.72	$35.75
Max Pain	$42.45	$41.00	$43.00	$43.00	$41.00
ATM IV	29.0%	25.3%	34.6%	26.8%	30.2%
Expected Move	8.3%	7.4%	10.2%	7.6%	8.6%
HV 20d	25.4%	20.7%	32.4%	24.0%	32.4%
HV 60d	23.7%	21.6%	26.8%	24.8%	26.8%
IV Rank	35.0%	15.4%	74.3%	21.0%	54.1%
IV Percentile	60.9%	25.4%	95.6%	39.3%	75.0%
Term Structure	0.1%	-1.5%	2.1%	-0.2%	-1.4%
VWIV	29.2%	26.6%	35.4%	26.9%	30.3%
Skew 25d	3.3%	2.2%	5.2%	4.6%	2.4%
Skew 10d	5.9%	2.5%	8.5%	8.3%	3.4%
Call IV 25d	27.3%	23.5%	32.7%	24.4%	28.7%
Put IV 25d	30.7%	26.7%	34.9%	29.0%	31.1%
Bid-Ask Spread %	3.87	2.24	14.88	3.88	2.61
Gamma HHI	0.10	0.07	0.14	0.07	0.10
Net GEX	-44.6M	-68.9M	-1.9M	-23.9M	-58.5M
Net DEX	1.02B	224.6M	1.93B	466.6M	1.88B
Net VEX	-9.4M	-10.2M	-8.6M	-9.3M	-9.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.61	0.41	3.68	1.24	1.62
Total Volume	122,313.727	51,815	265,879	53,966	129,077
Total OI	1,740,544.864	1,395,346	2,193,671	1,395,346	2,193,671

Daily Data (22 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
2018-05-01	$41.72	$43.00	26.8%	7.6%	24.0%	21.0%	26.9%	4.6%	-0.2%	-23.9M	466.6M	-9.3M	1.24	3.88	N/A	N/A	24,049	29,917	624,799	770,547
2018-05-02	$41.05	$43.00	27.0%	7.7%	24.5%	21.8%	26.6%	4.5%	-0.5%	-37.9M	660.5M	-9.2M	1.91	14.88	N/A	N/A	25,147	47,933	632,458	782,641
2018-05-03	$40.84	$43.00	26.8%	7.9%	24.2%	21.1%	27.9%	5.2%	0.3%	-40.6M	722.9M	-9.2M	1.57	3.13	N/A	N/A	36,832	57,657	648,566	799,857
2018-05-04	$40.79	$43.00	25.8%	7.7%	23.8%	17.5%	27.7%	4.3%	0.7%	-61.1M	779.5M	-9.1M	3.68	3.70	N/A	N/A	16,850	61,934	659,989	828,342
2018-05-07	$40.10	$43.00	26.8%	7.9%	22.4%	21.0%	28.2%	4.4%	0.6%	-46.3M	921.4M	-8.8M	1.96	4.03	N/A	N/A	19,389	37,907	637,786	823,284
2018-05-08	$40.16	$43.00	26.5%	7.9%	21.8%	20.0%	27.8%	3.9%	0.9%	-48.2M	899.3M	-8.8M	2.24	3.10	N/A	N/A	20,815	46,646	647,374	834,060
2018-05-09	$40.32	$43.00	26.0%	7.9%	20.7%	18.1%	26.8%	3.2%	1.3%	-47.1M	849.5M	-9.0M	0.41	3.91	N/A	N/A	129,023	53,492	655,740	848,221
2018-05-10	$41.73	$43.00	25.3%	7.4%	24.7%	15.4%	27.8%	3.1%	0.5%	-1.9M	224.6M	-10.1M	1.76	2.95	N/A	N/A	43,150	76,072	768,097	871,223
2018-05-11	$41.00	$43.00	25.9%	7.6%	24.7%	17.6%	27.2%	2.9%	1.1%	-36.0M	536.0M	-10.1M	1.72	2.64	N/A	N/A	26,011	44,635	777,704	902,444
2018-05-14	$40.59	$43.00	26.6%	7.6%	24.3%	20.1%	27.6%	3.1%	2.1%	-35.7M	708.3M	-9.8M	2.18	3.63	N/A	N/A	16,303	35,512	776,619	915,016
2018-05-15	$40.08	$43.00	27.7%	8.0%	23.3%	24.2%	27.9%	2.7%	1.3%	-47.2M	907.0M	-9.5M	2.14	5.50	N/A	N/A	24,086	51,658	780,597	931,092
2018-05-16	$40.55	$43.00	27.3%	7.8%	21.1%	22.7%	27.5%	3.0%	1.5%	-45.6M	744.4M	-9.7M	0.88	3.98	N/A	N/A	81,627	71,976	786,537	946,572
2018-05-17	$39.06	$42.00	31.0%	8.8%	24.2%	36.1%	30.3%	2.5%	1.1%	-48.4M	1.23B	-9.5M	1.10	3.81	N/A	N/A	62,095	68,120	856,072	982,774
2018-05-18	$38.28	$42.00	31.5%	8.9%	24.7%	37.8%	31.1%	2.8%	0.8%	-55.7M	1.48B	-9.4M	1.58	3.02	N/A	N/A	71,344	112,680	897,884	1,007,391
2018-05-21	$38.41	$42.00	31.6%	8.7%	24.8%	48.3%	30.6%	3.7%	-1.0%	-45.7M	1.12B	-9.6M	1.23	2.72	N/A	N/A	36,481	44,734	858,325	960,388
2018-05-22	$39.43	$42.00	32.5%	9.2%	27.2%	52.6%	32.7%	3.6%	-1.4%	-27.6M	745.5M	-10.2M	2.01	2.84	N/A	N/A	45,218	90,985	875,416	971,936
2018-05-23	$38.77	$42.00	32.3%	8.9%	27.6%	55.0%	31.1%	2.8%	-1.3%	-44.1M	988.9M	-9.9M	0.60	2.68	N/A	N/A	83,057	49,454	897,369	997,344
2018-05-24	$38.07	$42.00	31.9%	8.9%	26.8%	52.7%	30.8%	3.2%	-1.0%	-58.9M	1.25B	-10.0M	1.19	2.24	N/A	N/A	78,016	92,685	950,819	1,023,949
2018-05-25	$37.20	$42.00	32.2%	8.8%	27.2%	54.5%	31.1%	2.7%	-1.4%	-68.9M	1.55B	-9.6M	1.17	3.13	N/A	N/A	84,813	99,425	980,032	1,041,694
2018-05-29	$35.25	$42.00	34.6%	10.2%	31.7%	74.3%	35.4%	2.2%	-1.2%	-47.4M	1.93B	-8.6M	1.53	3.81	N/A	N/A	105,293	160,586	990,768	1,035,866
2018-05-30	$35.48	$41.00	31.8%	9.2%	32.1%	63.5%	29.6%	2.4%	-1.5%	-55.4M	1.92B	-8.9M	1.63	3.08	N/A	N/A	75,438	122,780	1,029,491	1,091,233
2018-05-31	$35.75	$41.00	30.2%	8.6%	32.4%	54.1%	30.3%	2.4%	-1.4%	-58.5M	1.88B	-9.4M	1.62	2.61	N/A	N/A	49,334	79,743	1,062,422	1,131,249