EWZ Options History — October 2018 In October 2018, EWZ traded between $33.58 and $40.30. ATM implied volatility averaged 46.0%, placing in the 57.0% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 6.4% (HV 20d: 39.6%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.13.
Notable Days 2018-10-08 : Highest Volume — 745,721 contracts2018-10-08 : Largest IV drop — 26.1% change2018-10-03 : Highest IV Rank — 100.0%2018-10-05 : Largest Expected Move — 16.2%Monthly Statistics Metric Avg Min Max Open Close Price $38.39 $33.58 $40.30 $33.58 $40.25 Max Pain $34.52 $33.00 $36.00 $33.00 $36.00 ATM IV 46.0% 37.1% 64.6% 56.0% 38.7% Expected Move 12.5% 10.6% 16.2% 12.5% 11.6% HV 20d 39.6% 35.0% 44.1% 35.0% 42.2% HV 60d 38.0% 34.6% 39.9% 34.6% 39.7% IV Rank 57.0% 33.9% 100.0% 92.8% 37.7% IV Percentile 89.6% 81.0% 100.0% 98.4% 81.3% Term Structure -2.5% -6.4% 0.2% -3.5% -0.7% VWIV 44.4% 37.2% 56.0% 42.5% 40.5% Skew 25d 10.9% 7.1% 16.4% 7.3% 7.2% Skew 10d 17.9% 7.5% 28.9% 7.6% 13.8% Call IV 25d 40.2% 32.4% 54.5% 52.9% 34.9% Put IV 25d 51.1% 42.1% 69.9% 60.3% 42.1% Bid-Ask Spread % 4.56 2.70 8.19 2.70 4.59 Gamma HHI 0.08 0.06 0.11 0.06 0.09 Net GEX 140.6M 51.0M 198.2M 51.0M 178.3M Net DEX -3.50B -5.39B -123.4M -123.4M -4.56B Net VEX -24.2M -26.6M -20.9M -20.9M -24.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.13 0.56 2.32 0.90 1.16 Total Volume 340,234.739 177,575 745,721 287,247 219,913 Total OI 5,759,417.826 4,797,050 6,309,213 4,797,050 6,204,653
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 2018-10-01 $33.58 $33.00 56.0% 12.5% 35.0% 92.8% 42.5% 7.3% -3.5% 51.0M -123.4M -20.9M 0.90 2.70 N/A N/A 150,824 136,423 2,747,059 2,049,991 2018-10-02 $35.69 $33.00 58.4% 13.2% 35.9% 99.3% 45.3% 9.2% -3.3% 91.6M -1.78B -22.8M 0.56 3.25 N/A N/A 228,188 126,646 2,750,013 2,111,781 2018-10-03 $36.50 $33.00 60.9% 13.9% 36.3% 100.0% 48.4% 9.9% -4.6% 110.5M -2.54B -23.9M 1.28 2.93 N/A N/A 269,108 344,916 2,875,701 2,177,472 2018-10-04 $36.48 $34.00 62.0% 15.8% 36.0% 100.0% 53.6% 12.6% -4.6% 94.0M -2.24B -24.9M 1.53 4.22 N/A N/A 166,158 254,815 2,921,170 2,376,987 2018-10-05 $36.71 $34.00 64.6% 16.2% 35.7% 100.0% 56.0% 15.4% -5.5% 97.3M -2.43B -26.0M 1.00 7.34 N/A N/A 171,095 171,898 2,996,766 2,524,957 2018-10-08 $39.11 $34.00 47.7% 12.6% 40.4% 59.4% 47.6% 15.1% -2.9% 149.7M -4.54B -25.3M 0.98 3.96 N/A N/A 377,319 368,402 3,015,105 2,532,526 2018-10-09 $39.69 $34.00 46.2% 12.4% 35.9% 55.7% 48.3% 14.6% -2.7% 162.9M -5.28B -25.6M 1.22 3.74 N/A N/A 226,913 277,538 3,108,532 2,679,237 2018-10-10 $38.11 $34.00 51.5% 13.7% 40.5% 68.5% 49.8% 16.4% -3.4% 126.2M -3.41B -26.6M 0.93 5.64 N/A N/A 197,421 183,147 3,164,901 2,836,918 2018-10-11 $37.70 $34.00 48.7% 13.1% 39.8% 61.7% 47.3% 15.0% -3.9% 116.4M -2.87B -25.9M 1.09 8.19 N/A N/A 124,147 135,905 3,196,113 2,910,259 2018-10-12 $38.38 $34.00 42.4% 11.5% 39.8% 46.5% 40.1% 13.3% -3.5% 141.0M -3.60B -24.7M 0.91 4.23 N/A N/A 112,458 101,933 3,184,377 2,920,941 2018-10-15 $38.21 $34.00 40.6% 11.4% 39.6% 42.3% 40.9% 10.5% -1.5% 147.7M -3.39B -23.7M 1.74 4.14 N/A N/A 97,557 169,788 3,112,772 2,871,901 2018-10-16 $39.34 $35.00 37.1% 10.6% 40.3% 33.9% 40.9% 9.8% -1.6% 186.3M -4.80B -23.6M 0.98 4.18 N/A N/A 143,960 141,031 3,144,527 2,931,949 2018-10-17 $39.84 $35.00 37.7% 10.8% 40.1% 35.2% 38.8% 9.6% -1.5% 198.2M -5.39B -23.8M 1.07 5.09 N/A N/A 85,707 91,868 3,177,253 2,987,583 2018-10-18 $38.92 $35.00 39.3% 11.3% 41.7% 39.1% 37.2% 9.4% -1.6% 163.8M -4.23B -23.9M 0.68 4.95 N/A N/A 123,114 83,859 3,196,773 3,007,051 2018-10-19 $38.99 $35.00 40.1% 11.6% 41.4% 41.0% 37.8% 9.4% -1.6% 174.6M -4.36B -24.1M 0.68 3.28 N/A N/A 163,827 111,798 3,267,449 3,041,764 2018-10-22 $39.87 $35.00 39.0% 11.6% 39.7% 38.4% 41.1% 8.5% -1.0% 160.9M -4.24B -24.0M 0.99 3.95 N/A N/A 98,896 97,721 2,900,235 2,658,964 2018-10-23 $39.50 $35.00 40.0% 12.0% 40.3% 40.9% 41.8% 9.4% -0.7% 156.3M -3.86B -24.0M 1.00 3.79 N/A N/A 121,776 122,035 2,932,075 2,703,595 2018-10-24 $38.56 $35.00 41.2% 12.5% 41.7% 43.7% 43.0% 9.8% -0.4% 128.7M -2.72B -23.9M 1.31 3.78 N/A N/A 90,425 118,657 2,972,243 2,735,989 2018-10-25 $39.10 $35.00 41.5% 12.7% 41.6% 44.4% 43.0% 10.0% -1.0% 148.9M -3.37B -24.1M 1.06 4.68 N/A N/A 117,361 124,238 2,994,476 2,782,604 2018-10-26 $39.89 $35.00 42.9% 13.3% 40.7% 47.9% 51.9% 12.0% -1.2% 171.3M -4.15B -24.7M 1.97 5.49 N/A N/A 177,493 348,818 2,998,697 2,858,145 2018-10-29 $38.31 $36.00 42.5% 12.3% 44.1% 46.8% 43.4% 8.8% -6.4% 108.6M -2.17B -23.3M 2.32 6.20 N/A N/A 145,467 338,003 2,983,033 2,919,083 2018-10-30 $40.30 $36.00 38.3% 11.6% 42.6% 36.7% 41.9% 7.1% 0.2% 168.9M -4.48B -23.5M 0.67 4.57 N/A N/A 219,961 146,872 3,013,154 2,989,836 2018-10-31 $40.25 $36.00 38.7% 11.6% 42.2% 37.7% 40.5% 7.2% -0.7% 178.3M -4.56B -24.2M 1.16 4.59 N/A N/A 101,903 118,010 3,124,723 3,079,930
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