EWZ Options History — August 2018

In August 2018, EWZ traded between $31.50 and $37.51. ATM implied volatility averaged 37.2%, placing in the 80.3% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 3.6% (HV 20d: 33.7%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.10.

Notable Days

2018-08-29: Highest Volume — 309,513 contracts
2018-08-10: Largest IV spike — 10.6% change
2018-08-23: Highest IV Rank — 100.0%
2018-08-30: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.97	$31.50	$37.51	$36.07	$32.49
Max Pain	$36.00	$34.00	$37.00	$35.00	$34.00
ATM IV	37.2%	29.5%	44.6%	29.5%	43.2%
Expected Move	10.7%	8.2%	12.8%	8.2%	12.2%
HV 20d	33.7%	31.1%	37.2%	31.5%	34.9%
HV 60d	34.3%	33.0%	35.4%	34.2%	33.0%
IV Rank	80.3%	44.2%	100.0%	44.2%	93.7%
IV Percentile	93.6%	58.3%	100.0%	58.3%	99.6%
Term Structure	0.7%	0.0%	2.1%	1.0%	1.9%
VWIV	37.2%	28.6%	44.3%	28.6%	43.1%
Skew 25d	3.7%	2.8%	4.7%	3.4%	3.6%
Skew 10d	6.5%	3.7%	8.7%	6.4%	7.0%
Call IV 25d	35.6%	27.9%	42.9%	27.9%	41.0%
Put IV 25d	39.3%	31.3%	46.2%	31.3%	44.7%
Bid-Ask Spread %	3.27	1.68	18.54	18.54	2.04
Gamma HHI	0.07	0.05	0.13	0.08	0.07
Net GEX	-6.4M	-54.6M	53.2M	33.8M	-4.9M
Net DEX	974.7M	-751.9M	1.90B	29.3M	1.27B
Net VEX	-16.6M	-18.3M	-15.1M	-16.2M	-18.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.52	2.40	0.81	0.71
Total Volume	232,509.348	147,573	309,513	191,986	267,618
Total OI	3,206,312.304	2,775,849	3,754,771	2,775,849	3,754,771

Daily Data (23 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
2018-08-01	$36.07	$35.00	29.5%	8.2%	31.5%	44.2%	28.6%	3.4%	1.0%	33.8M	29.3M	-16.2M	0.81	18.54	N/A	N/A	105,797	86,189	1,346,527	1,429,322
2018-08-02	$36.25	$35.00	30.6%	8.5%	31.1%	50.1%	30.7%	3.3%	1.0%	31.6M	3.2M	-16.5M	1.07	2.85	N/A	N/A	118,052	126,157	1,343,596	1,457,644
2018-08-03	$37.51	$35.00	30.8%	8.6%	32.1%	51.3%	30.4%	3.5%	0.9%	53.2M	-751.9M	-17.7M	1.02	4.72	N/A	N/A	142,832	146,350	1,383,375	1,488,899
2018-08-06	$37.11	$37.00	32.3%	9.6%	32.6%	58.8%	33.8%	3.7%	0.4%	47.7M	-504.6M	-17.6M	1.89	1.97	N/A	N/A	82,782	156,624	1,410,720	1,501,417
2018-08-07	$36.41	$37.00	33.3%	9.9%	33.7%	64.1%	33.3%	4.7%	0.1%	28.4M	-64.2M	-17.4M	2.05	2.56	N/A	N/A	68,749	141,109	1,433,454	1,534,621
2018-08-08	$36.01	$37.00	32.8%	9.6%	32.5%	61.3%	33.6%	4.2%	0.4%	14.9M	180.1M	-17.1M	2.40	2.56	N/A	N/A	62,749	150,866	1,453,164	1,566,224
2018-08-09	$35.52	$37.00	33.3%	9.7%	32.9%	62.9%	33.2%	4.1%	0.0%	-854.6K	516.8M	-17.1M	0.97	2.71	N/A	N/A	130,717	126,583	1,485,010	1,609,236
2018-08-10	$33.87	$37.00	36.8%	10.6%	36.7%	81.8%	36.5%	4.6%	0.3%	-23.2M	1.35B	-16.6M	1.35	4.32	N/A	N/A	120,185	162,222	1,579,998	1,652,111
2018-08-13	$34.05	$37.00	37.3%	10.8%	36.7%	84.4%	35.7%	4.6%	0.3%	-28.1M	1.27B	-16.7M	0.82	2.23	N/A	N/A	140,727	115,211	1,574,157	1,677,136
2018-08-14	$34.74	$37.00	35.4%	10.3%	36.1%	74.7%	34.3%	4.4%	0.1%	-11.9M	825.5M	-17.2M	0.71	2.89	N/A	N/A	147,673	104,966	1,641,022	1,668,945
2018-08-15	$33.83	$37.00	36.7%	10.7%	37.2%	81.5%	38.2%	4.5%	0.8%	-22.8M	1.27B	-16.6M	1.04	2.97	N/A	N/A	80,008	83,567	1,712,158	1,677,054
2018-08-16	$33.70	$37.00	36.9%	10.6%	36.7%	82.5%	37.0%	3.5%	0.1%	-31.4M	1.37B	-16.3M	0.96	1.77	N/A	N/A	80,752	77,884	1,724,140	1,691,763
2018-08-17	$33.34	$37.00	37.3%	10.9%	32.1%	84.6%	38.2%	4.0%	1.2%	-54.6M	1.53B	-15.9M	0.88	2.10	N/A	N/A	146,157	129,253	1,739,948	1,709,858
2018-08-20	$33.13	$37.00	37.5%	10.8%	32.1%	85.9%	38.1%	3.6%	0.7%	-16.3M	1.37B	-15.9M	1.96	1.68	N/A	N/A	49,818	97,755	1,454,518	1,479,755
2018-08-21	$32.02	$37.00	39.2%	11.3%	32.3%	95.0%	39.6%	3.3%	0.1%	-28.9M	1.79B	-15.1M	1.19	1.94	N/A	N/A	86,150	102,101	1,482,255	1,524,620
2018-08-22	$32.59	$37.00	38.7%	11.1%	31.3%	92.0%	38.4%	2.8%	0.6%	-28.5M	1.60B	-15.9M	0.56	5.99	N/A	N/A	150,778	84,164	1,538,737	1,567,041
2018-08-23	$31.50	$35.00	41.5%	11.9%	32.1%	100.0%	40.6%	3.1%	0.3%	-30.0M	1.90B	-15.2M	0.73	2.22	N/A	N/A	162,163	118,829	1,634,267	1,582,731
2018-08-24	$31.97	$35.00	41.4%	11.9%	32.1%	99.5%	41.4%	2.8%	0.1%	-31.6M	1.73B	-16.0M	0.92	1.92	N/A	N/A	123,092	113,301	1,694,134	1,624,022
2018-08-27	$32.71	$35.00	42.3%	12.0%	33.7%	100.0%	41.6%	3.4%	1.7%	-8.5M	1.27B	-16.9M	1.02	1.75	N/A	N/A	93,803	96,095	1,717,839	1,621,178
2018-08-28	$32.15	$34.50	42.9%	12.4%	33.6%	100.0%	42.4%	3.4%	2.1%	-13.2M	1.51B	-16.6M	0.91	2.00	N/A	N/A	101,593	92,358	1,764,795	1,653,140
2018-08-29	$32.74	$34.50	42.4%	12.2%	34.7%	97.8%	43.0%	3.1%	1.4%	-5.3M	1.22B	-17.3M	0.82	1.81	N/A	N/A	170,327	139,186	1,815,364	1,681,317
2018-08-30	$31.65	$34.00	44.6%	12.8%	36.0%	100.0%	44.3%	3.3%	1.2%	-15.9M	1.72B	-17.0M	0.52	1.75	N/A	N/A	174,279	90,144	1,915,151	1,748,049
2018-08-31	$32.49	$34.00	43.2%	12.2%	34.9%	93.7%	43.1%	3.6%	1.9%	-4.9M	1.27B	-18.3M	0.71	2.04	N/A	N/A	156,379	111,239	1,976,087	1,778,684