EWZ Options History — September 2018

In September 2018, EWZ traded between $30.70 and $34.35. ATM implied volatility averaged 50.1%, placing in the 83.1% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 11.6% (HV 20d: 38.5%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.82.

Notable Days

2018-09-26: Highest Volume — 441,163 contracts
2018-09-18: Largest IV drop — 10.5% change
2018-09-04: Highest IV Rank — 100.0%
2018-09-13: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.36	$30.70	$34.35	$30.97	$33.70
Max Pain	$33.11	$33.00	$34.00	$34.00	$33.00
ATM IV	50.1%	44.5%	58.6%	48.0%	49.9%
Expected Move	14.1%	12.5%	15.9%	13.2%	12.7%
HV 20d	38.5%	36.0%	40.7%	37.7%	36.0%
HV 60d	34.2%	33.0%	34.9%	33.0%	34.9%
IV Rank	83.1%	60.4%	100.0%	100.0%	75.4%
IV Percentile	97.7%	93.3%	100.0%	100.0%	97.6%
Term Structure	4.8%	-3.5%	15.2%	7.1%	15.2%
VWIV	48.6%	43.2%	54.5%	45.4%	43.5%
Skew 25d	4.2%	3.2%	5.5%	3.7%	5.2%
Skew 10d	7.1%	5.4%	9.5%	6.8%	9.5%
Call IV 25d	47.0%	40.7%	56.5%	46.0%	40.7%
Put IV 25d	51.3%	45.9%	60.9%	49.7%	45.9%
Bid-Ask Spread %	2.47	1.68	4.67	1.75	2.32
Gamma HHI	0.07	0.05	0.15	0.07	0.06
Net GEX	19.0M	-31.6M	113.0M	-18.6M	54.4M
Net DEX	871.6M	-782.9M	2.03B	1.91B	-329.6M
Net VEX	-19.0M	-22.0M	-16.6M	-16.6M	-21.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.35	1.58	1.22	0.52
Total Volume	299,058.789	192,767	441,163	253,749	309,925
Total OI	4,432,358.789	3,811,687	5,187,990	3,811,687	4,801,752

Daily Data (19 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
2018-09-04	$30.97	$34.00	48.0%	13.2%	37.7%	100.0%	45.4%	3.7%	7.1%	-18.6M	1.91B	-16.6M	1.22	1.75	N/A	N/A	114,228	139,521	2,022,166	1,789,521
2018-09-05	$31.31	$34.00	48.6%	13.3%	38.2%	100.0%	46.5%	4.6%	7.8%	-16.0M	1.76B	-17.3M	0.69	1.68	N/A	N/A	136,659	94,400	2,075,894	1,841,737
2018-09-06	$32.00	$33.00	48.0%	15.2%	39.5%	97.7%	52.7%	3.3%	8.0%	-3.9M	1.38B	-18.1M	0.67	4.67	N/A	N/A	150,895	101,568	2,140,195	1,868,689
2018-09-07	$32.56	$33.00	49.7%	15.1%	40.2%	100.0%	51.6%	3.5%	8.2%	15.4M	968.6M	-19.1M	0.49	3.07	N/A	N/A	139,316	67,976	2,223,309	1,914,873
2018-09-10	$32.15	$33.00	54.3%	15.6%	37.1%	100.0%	52.6%	4.8%	-1.8%	4.5M	1.27B	-18.1M	0.78	2.71	N/A	N/A	108,349	84,418	2,191,212	1,887,064
2018-09-11	$30.90	$33.00	56.4%	15.6%	39.2%	100.0%	51.9%	5.5%	-3.2%	-20.6M	1.99B	-16.6M	0.68	2.03	N/A	N/A	154,508	105,491	2,237,383	1,908,153
2018-09-12	$31.31	$33.00	56.6%	15.5%	38.7%	100.0%	53.5%	4.6%	-2.5%	-17.7M	1.77B	-17.4M	0.42	2.19	N/A	N/A	253,180	106,952	2,319,191	1,973,483
2018-09-13	$30.70	$33.00	58.6%	15.9%	38.2%	100.0%	54.5%	4.4%	-3.5%	-31.6M	2.03B	-17.2M	0.55	1.84	N/A	N/A	206,680	112,770	2,499,213	1,994,300
2018-09-14	$31.28	$33.00	57.3%	15.9%	39.1%	96.4%	54.5%	4.0%	-2.8%	-15.7M	1.67B	-18.0M	1.58	1.86	N/A	N/A	88,233	139,472	2,531,109	2,026,538
2018-09-17	$32.10	$33.00	55.5%	15.7%	40.4%	91.1%	54.1%	3.6%	-1.2%	8.3M	1.16B	-18.4M	0.93	2.68	N/A	N/A	191,088	177,785	2,527,378	2,013,324
2018-09-18	$32.52	$33.00	49.6%	14.1%	40.7%	74.8%	49.3%	3.4%	1.0%	26.6M	841.2M	-18.7M	0.53	2.37	N/A	N/A	237,859	125,973	2,605,028	2,018,444
2018-09-19	$32.45	$33.00	45.7%	13.1%	38.8%	63.7%	45.2%	3.2%	0.8%	34.6M	809.4M	-18.9M	0.99	3.14	N/A	N/A	192,921	190,530	2,799,955	2,055,135
2018-09-20	$33.03	$33.00	44.8%	12.8%	38.8%	61.0%	44.1%	4.2%	0.7%	59.1M	287.7M	-19.9M	1.39	2.75	N/A	N/A	140,112	195,288	2,882,629	2,122,574
2018-09-21	$33.78	$33.00	44.6%	12.7%	37.2%	60.7%	44.1%	4.3%	0.7%	113.0M	-383.5M	-21.0M	0.79	2.39	N/A	N/A	176,526	138,724	2,934,910	2,253,080
2018-09-24	$32.91	$33.00	46.3%	13.1%	38.4%	65.2%	46.3%	4.5%	13.5%	30.9M	289.6M	-20.0M	1.13	2.21	N/A	N/A	107,229	121,150	2,427,899	1,844,154
2018-09-25	$33.09	$33.00	46.0%	13.2%	37.6%	64.6%	46.0%	4.5%	13.6%	31.8M	148.3M	-20.4M	1.34	2.28	N/A	N/A	97,408	130,382	2,478,643	1,902,657
2018-09-26	$33.73	$33.00	44.5%	12.5%	37.5%	60.4%	43.2%	4.3%	14.8%	44.1M	-231.3M	-20.8M	0.35	2.80	N/A	N/A	326,678	114,485	2,481,768	1,969,966
2018-09-27	$34.35	$33.00	46.9%	12.7%	37.5%	67.1%	44.6%	5.0%	15.0%	62.3M	-782.9M	-22.0M	0.49	2.22	N/A	N/A	271,148	132,290	2,626,957	2,024,534
2018-09-28	$33.70	$33.00	49.9%	12.7%	36.0%	75.4%	43.5%	5.2%	15.2%	54.4M	-329.6M	-21.6M	0.52	2.32	N/A	N/A	204,123	105,802	2,722,052	2,079,700