EWZ Options History — July 2018

In July 2018, EWZ traded between $31.78 and $37.14. ATM implied volatility averaged 31.3%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 1.7% (HV 20d: 29.6%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.54.

Notable Days

2018-07-25: Highest Volume — 264,313 contracts
2018-07-20: Largest IV drop — 6.8% change
2018-07-05: Highest IV Rank — 66.8%
2018-07-05: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.50	$31.78	$37.14	$31.78	$36.17
Max Pain	$33.45	$33.00	$35.00	$35.00	$35.00
ATM IV	31.3%	29.2%	33.8%	33.8%	30.0%
Expected Move	8.9%	8.2%	9.9%	9.7%	8.5%
HV 20d	29.6%	24.9%	34.9%	34.9%	32.0%
HV 60d	32.1%	30.7%	34.3%	30.7%	34.3%
IV Rank	53.7%	42.7%	66.8%	66.5%	47.2%
IV Percentile	77.6%	56.3%	96.0%	95.6%	63.9%
Term Structure	0.2%	-0.7%	1.1%	0.6%	0.7%
VWIV	31.7%	28.6%	34.5%	33.6%	32.2%
Skew 25d	3.7%	3.1%	4.4%	4.1%	3.4%
Skew 10d	7.2%	6.2%	8.6%	7.5%	6.9%
Call IV 25d	29.7%	27.7%	32.3%	32.1%	28.4%
Put IV 25d	33.3%	31.1%	36.5%	36.2%	31.8%
Bid-Ask Spread %	2.61	1.93	3.97	2.17	3.26
Gamma HHI	0.08	0.07	0.14	0.09	0.07
Net GEX	16.4M	-30.3M	43.0M	-30.3M	31.4M
Net DEX	593.4M	-591.3M	1.80B	1.80B	16.0M
Net VEX	-13.3M	-15.6M	-11.8M	-11.8M	-15.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	0.58	2.83	2.07	1.59
Total Volume	173,201.429	104,240	264,313	104,626	214,925
Total OI	2,774,470.095	2,328,925	3,234,026	2,734,453	2,688,975

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
2018-07-02	$31.78	$35.00	33.8%	9.7%	34.9%	66.5%	33.6%	4.1%	0.6%	-30.3M	1.80B	-11.8M	2.07	2.17	N/A	N/A	34,065	70,561	1,311,225	1,423,228
2018-07-03	$32.55	$35.00	33.4%	9.4%	34.1%	64.6%	33.1%	3.5%	0.3%	-19.4M	1.53B	-12.3M	2.72	3.97	N/A	N/A	30,008	81,613	1,323,006	1,425,554
2018-07-05	$32.31	$33.00	33.8%	9.9%	33.9%	66.8%	34.5%	4.2%	0.0%	-24.3M	1.64B	-12.0M	1.48	2.37	N/A	N/A	49,183	72,768	1,328,139	1,436,858
2018-07-06	$33.09	$33.00	32.7%	9.4%	30.0%	61.0%	33.0%	3.7%	0.4%	-6.1M	1.30B	-12.5M	1.38	2.65	N/A	N/A	52,840	72,848	1,347,034	1,443,842
2018-07-09	$33.51	$33.00	32.2%	9.1%	25.3%	58.7%	31.3%	3.6%	-0.7%	-4.7M	1.15B	-12.3M	0.68	2.00	N/A	N/A	140,211	95,239	1,344,944	1,411,942
2018-07-10	$33.66	$33.00	30.6%	8.7%	24.9%	50.3%	31.9%	3.4%	-0.4%	5.2M	1.04B	-12.4M	2.62	2.30	N/A	N/A	33,221	86,875	1,444,275	1,437,228
2018-07-11	$32.85	$33.00	31.3%	9.0%	26.2%	53.9%	33.0%	4.1%	0.2%	-7.4M	1.40B	-11.9M	2.83	2.13	N/A	N/A	28,265	80,116	1,447,860	1,431,414
2018-07-12	$33.34	$33.00	31.5%	9.2%	26.8%	54.7%	31.9%	3.5%	0.6%	1.8M	1.17B	-12.1M	1.32	2.49	N/A	N/A	68,088	89,586	1,458,817	1,430,329
2018-07-13	$34.06	$33.00	31.1%	9.0%	25.5%	52.8%	30.9%	3.9%	0.4%	22.0M	799.6M	-12.7M	1.16	2.58	N/A	N/A	96,156	112,012	1,491,245	1,447,422
2018-07-16	$33.91	$33.00	30.9%	8.8%	25.6%	51.9%	31.0%	3.5%	0.2%	21.2M	845.5M	-12.5M	1.66	1.99	N/A	N/A	41,966	69,556	1,526,741	1,453,757
2018-07-17	$34.83	$33.00	29.8%	8.5%	26.8%	45.8%	30.7%	3.2%	0.7%	40.8M	373.2M	-12.8M	0.58	1.93	N/A	N/A	166,020	95,637	1,535,421	1,456,292
2018-07-18	$34.47	$33.00	30.7%	8.8%	27.2%	50.6%	32.1%	4.0%	-0.5%	41.4M	477.9M	-13.2M	0.76	2.02	N/A	N/A	100,438	76,033	1,655,060	1,474,699
2018-07-19	$33.88	$33.00	32.4%	9.3%	28.1%	59.5%	32.8%	3.2%	0.3%	18.2M	741.1M	-13.2M	1.38	2.25	N/A	N/A	92,812	128,534	1,706,444	1,476,524
2018-07-20	$35.55	$33.00	30.2%	8.6%	30.9%	48.1%	31.4%	4.4%	1.1%	43.0M	-287.2M	-14.2M	1.26	2.61	N/A	N/A	93,345	117,380	1,744,876	1,489,150
2018-07-23	$35.37	$33.00	31.6%	9.0%	31.1%	55.2%	31.8%	4.3%	0.2%	23.7M	121.4M	-14.0M	2.39	2.31	N/A	N/A	30,715	73,525	1,113,394	1,215,531
2018-07-24	$36.19	$33.00	31.1%	8.8%	31.8%	52.8%	30.9%	3.7%	-0.3%	32.3M	-191.2M	-14.2M	1.38	2.62	N/A	N/A	49,761	68,846	1,116,240	1,233,190
2018-07-25	$37.14	$33.00	30.7%	8.7%	32.3%	50.6%	31.4%	3.7%	-0.1%	40.9M	-591.3M	-14.5M	0.71	3.83	N/A	N/A	154,509	109,804	1,126,182	1,248,242
2018-07-26	$36.19	$33.50	30.4%	8.7%	31.5%	49.0%	30.1%	3.1%	-0.2%	37.5M	-196.6M	-14.4M	1.63	2.84	N/A	N/A	87,592	142,589	1,171,824	1,258,023
2018-07-27	$36.75	$34.00	29.5%	8.2%	31.1%	44.4%	29.0%	3.4%	0.0%	38.5M	-373.8M	-15.5M	1.59	3.77	N/A	N/A	82,458	131,522	1,227,805	1,362,580
2018-07-30	$36.82	$35.00	29.2%	8.3%	31.1%	42.7%	28.6%	3.4%	0.6%	38.8M	-303.0M	-15.5M	1.19	2.66	N/A	N/A	98,532	117,076	1,217,768	1,380,792
2018-07-31	$36.17	$35.00	30.0%	8.5%	32.0%	47.2%	32.2%	3.4%	0.7%	31.4M	16.0M	-15.6M	1.59	3.26	N/A	N/A	83,092	131,833	1,283,459	1,405,516