EWZ Options History — June 2018

In June 2018, EWZ traded between $31.12 and $36.38. ATM implied volatility averaged 33.0%, placing in the 63.5% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 4.5% (HV 20d: 37.5%). Max pain ranged from $35.00 to $41.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.92.

Notable Days

2018-06-07: Highest Volume — 670,551 contracts
2018-06-07: Largest IV spike — 31.6% change
2018-06-07: Highest IV Rank — 100.0%
2018-06-07: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.19	$31.12	$36.38	$35.73	$32.00
Max Pain	$37.29	$35.00	$41.00	$41.00	$35.00
ATM IV	33.0%	28.9%	40.2%	30.6%	32.7%
Expected Move	9.3%	8.2%	10.7%	8.7%	9.3%
HV 20d	37.5%	32.5%	40.8%	32.5%	35.9%
HV 60d	30.0%	26.7%	31.5%	26.7%	30.8%
IV Rank	63.5%	46.6%	100.0%	56.5%	61.2%
IV Percentile	91.0%	64.7%	100.0%	79.8%	91.7%
Term Structure	-0.2%	-1.8%	0.8%	-1.5%	0.5%
VWIV	32.6%	28.9%	36.9%	30.4%	32.2%
Skew 25d	3.9%	2.6%	7.7%	2.9%	3.7%
Skew 10d	6.9%	3.4%	11.2%	3.7%	6.6%
Call IV 25d	31.2%	27.0%	36.3%	28.7%	30.9%
Put IV 25d	35.1%	29.9%	44.0%	31.6%	34.5%
Bid-Ask Spread %	3.39	1.86	7.35	3.16	1.99
Gamma HHI	0.10	0.07	0.19	0.09	0.14
Net GEX	-48.4M	-74.5M	-33.6M	-60.8M	-42.1M
Net DEX	2.16B	1.62B	2.90B	1.91B	1.74B
Net VEX	-11.2M	-12.2M	-9.3M	-9.4M	-12.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.92	1.17	3.57	1.78	2.79
Total Volume	251,341.143	111,216	670,551	266,093	111,216
Total OI	2,747,105.286	2,223,280	3,274,873	2,223,280	2,804,664

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
2018-06-01	$35.73	$41.00	30.6%	8.7%	32.5%	56.5%	30.4%	2.9%	-1.5%	-60.8M	1.91B	-9.4M	1.78	3.16	N/A	N/A	95,783	170,310	1,073,423	1,149,857
2018-06-04	$36.38	$39.00	28.9%	8.2%	33.6%	46.6%	29.2%	2.9%	-0.2%	-57.9M	1.62B	-10.0M	2.25	3.46	N/A	N/A	91,289	205,332	1,096,630	1,201,666
2018-06-05	$34.95	$41.00	29.3%	8.2%	35.6%	48.9%	28.9%	2.6%	-0.3%	-71.8M	2.18B	-9.7M	2.37	4.54	N/A	N/A	84,224	199,943	1,135,232	1,285,464
2018-06-06	$34.45	$41.00	30.5%	8.6%	35.5%	56.2%	29.6%	2.7%	-0.5%	-74.5M	2.41B	-10.0M	1.40	2.91	N/A	N/A	113,973	159,259	1,186,813	1,373,210
2018-06-07	$32.72	$40.00	40.2%	10.7%	38.5%	100.0%	36.9%	7.7%	-1.8%	-51.4M	2.76B	-9.3M	1.17	6.84	N/A	N/A	308,463	362,088	1,239,438	1,388,766
2018-06-08	$34.26	$36.00	34.4%	9.7%	40.4%	69.7%	32.6%	5.0%	-0.5%	-46.0M	2.25B	-11.5M	1.39	4.24	N/A	N/A	137,531	190,758	1,456,315	1,569,626
2018-06-11	$33.78	$37.00	34.0%	9.6%	40.4%	67.7%	33.6%	4.3%	-0.4%	-40.2M	2.44B	-11.2M	1.85	3.78	N/A	N/A	54,181	100,450	1,491,762	1,576,889
2018-06-12	$33.99	$37.00	33.3%	9.4%	40.8%	64.0%	33.5%	4.1%	-0.1%	-41.5M	2.37B	-11.3M	2.41	6.72	N/A	N/A	43,953	105,827	1,502,709	1,590,951
2018-06-13	$33.85	$37.00	32.0%	9.1%	40.8%	57.4%	31.9%	4.0%	-0.0%	-41.3M	2.48B	-11.4M	1.38	7.35	N/A	N/A	67,551	93,422	1,526,704	1,618,856
2018-06-14	$32.85	$37.00	32.7%	9.4%	40.7%	61.3%	33.4%	3.7%	0.0%	-53.1M	2.80B	-10.6M	1.86	4.26	N/A	N/A	96,942	180,205	1,574,436	1,598,777
2018-06-15	$32.84	$37.00	31.9%	9.1%	39.6%	56.9%	31.7%	4.1%	-0.2%	-57.8M	2.90B	-11.0M	1.18	2.23	N/A	N/A	209,957	247,169	1,613,568	1,661,305
2018-06-18	$32.57	$38.00	33.0%	9.4%	39.4%	62.7%	32.6%	4.1%	-0.1%	-38.6M	2.35B	-11.4M	1.20	2.55	N/A	N/A	135,045	161,589	1,155,373	1,471,398
2018-06-19	$32.74	$38.00	33.6%	9.6%	39.4%	65.7%	32.8%	4.3%	-0.2%	-33.6M	2.13B	-11.9M	1.54	1.86	N/A	N/A	81,210	125,060	1,168,920	1,485,762
2018-06-20	$32.62	$36.00	33.7%	9.7%	37.4%	66.4%	34.1%	3.9%	0.2%	-35.2M	1.67B	-12.0M	1.87	2.09	N/A	N/A	66,840	124,678	1,205,916	1,360,870
2018-06-21	$31.88	$36.00	35.0%	10.0%	37.6%	72.9%	34.6%	4.1%	-0.3%	-46.1M	1.93B	-11.6M	2.26	1.87	N/A	N/A	69,180	156,005	1,221,500	1,393,903
2018-06-22	$32.01	$36.00	33.7%	9.7%	37.8%	66.4%	34.0%	3.9%	-0.1%	-46.6M	1.95B	-12.0M	2.42	2.04	N/A	N/A	67,284	162,495	1,232,684	1,443,399
2018-06-25	$32.26	$36.00	33.2%	9.5%	37.8%	63.6%	33.5%	3.8%	-0.1%	-40.7M	1.79B	-12.1M	1.60	2.76	N/A	N/A	76,540	122,817	1,236,060	1,423,327
2018-06-26	$32.11	$35.00	32.3%	9.2%	33.5%	58.8%	31.5%	3.6%	0.8%	-40.9M	1.77B	-12.0M	1.87	1.93	N/A	N/A	57,964	108,610	1,262,047	1,414,944
2018-06-27	$31.12	$35.00	33.8%	9.7%	34.5%	66.8%	33.5%	3.5%	0.3%	-50.1M	2.09B	-11.4M	2.21	2.17	N/A	N/A	57,752	127,839	1,282,156	1,439,372
2018-06-28	$31.86	$35.00	33.4%	9.5%	35.8%	64.8%	33.6%	3.8%	0.3%	-47.3M	1.81B	-12.1M	3.57	2.36	N/A	N/A	32,226	115,204	1,316,696	1,457,823
2018-06-29	$32.00	$35.00	32.7%	9.3%	35.9%	61.2%	32.2%	3.7%	0.5%	-42.1M	1.74B	-12.2M	2.79	1.99	N/A	N/A	29,310	81,906	1,335,448	1,469,216