EWZ Options History — December 2018

In December 2018, EWZ traded between $36.53 and $40.09. ATM implied volatility averaged 33.0%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 1.6% (HV 20d: 31.4%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.04.

Notable Days

2018-12-17: Highest Volume — 721,867 contracts
2018-12-10: Largest IV spike — 10.5% change
2018-12-24: Highest IV Rank — 30.6%
2018-12-24: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.20	$36.53	$40.09	$40.09	$38.30
Max Pain	$39.10	$36.00	$40.00	$36.00	$40.00
ATM IV	33.0%	29.9%	36.3%	30.3%	34.6%
Expected Move	9.6%	8.7%	10.6%	9.6%	9.9%
HV 20d	31.4%	26.7%	34.1%	32.6%	27.3%
HV 60d	36.3%	34.6%	37.1%	37.0%	34.6%
IV Rank	23.4%	16.4%	30.6%	17.4%	26.2%
IV Percentile	56.9%	34.9%	72.2%	37.7%	65.9%
Term Structure	0.2%	-2.8%	1.1%	0.0%	1.1%
VWIV	34.2%	30.4%	42.1%	32.0%	34.0%
Skew 25d	5.5%	4.4%	6.3%	5.3%	4.8%
Skew 10d	10.3%	6.9%	13.5%	9.7%	9.8%
Call IV 25d	30.7%	27.4%	33.3%	27.4%	32.7%
Put IV 25d	36.2%	32.7%	39.7%	32.7%	37.6%
Bid-Ask Spread %	4.34	2.69	10.59	3.50	2.98
Gamma HHI	0.09	0.06	0.19	0.09	0.07
Net GEX	35.4M	-58.9M	128.6M	128.6M	17.0M
Net DEX	-100.7M	-2.31B	1.66B	-2.31B	304.6M
Net VEX	-12.9M	-15.4M	-11.1M	-15.4M	-11.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.14	3.03	0.52	0.29
Total Volume	179,025.35	39,296	721,867	176,704	39,296
Total OI	3,912,398	2,687,496	4,436,626	4,311,485	2,777,908

Daily Data (20 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
2018-12-03	$40.09	$36.00	30.3%	9.6%	32.6%	17.4%	32.0%	5.3%	0.0%	128.6M	-2.31B	-15.4M	0.52	3.50	N/A	N/A	116,474	60,230	2,230,991	2,080,494
2018-12-04	$39.42	$37.00	31.2%	9.8%	32.9%	19.5%	33.2%	5.3%	0.3%	97.5M	-1.60B	-15.4M	0.77	4.16	N/A	N/A	61,488	47,079	2,221,562	2,102,374
2018-12-05	$39.29	$37.00	31.8%	10.2%	32.2%	21.1%	34.7%	6.0%	-0.1%	92.9M	-1.48B	-15.3M	0.79	10.59	N/A	N/A	64,141	50,899	2,221,562	2,102,374
2018-12-06	$39.55	$39.00	31.2%	8.9%	32.3%	19.7%	33.8%	5.6%	-0.0%	103.3M	-1.69B	-15.0M	0.85	8.68	N/A	N/A	100,748	85,845	2,186,716	2,085,159
2018-12-07	$39.49	$39.00	31.2%	9.1%	30.2%	19.6%	31.3%	5.8%	-0.1%	96.7M	-1.56B	-14.5M	0.74	8.16	N/A	N/A	43,850	32,569	2,172,861	2,119,437
2018-12-10	$37.69	$39.00	34.5%	9.8%	34.1%	27.5%	33.7%	5.7%	-0.5%	31.9M	192.3M	-13.7M	1.38	3.73	N/A	N/A	61,186	84,558	2,108,024	2,110,609
2018-12-11	$38.07	$39.00	33.1%	9.5%	34.0%	24.1%	34.2%	5.6%	0.3%	41.3M	-147.3M	-13.7M	3.03	2.95	N/A	N/A	27,145	82,131	2,135,832	2,136,559
2018-12-12	$38.75	$39.00	33.3%	9.0%	34.1%	24.7%	30.9%	4.4%	-2.8%	59.5M	-790.7M	-13.3M	0.51	3.38	N/A	N/A	175,897	89,594	2,124,891	2,176,384
2018-12-13	$38.89	$39.00	29.9%	8.7%	33.6%	16.4%	30.4%	4.6%	0.3%	65.7M	-1.00B	-13.2M	1.74	3.41	N/A	N/A	64,252	111,793	2,203,981	2,203,925
2018-12-14	$38.27	$39.00	30.6%	9.0%	32.6%	18.2%	30.7%	4.7%	1.0%	45.2M	-325.1M	-12.9M	1.45	4.18	N/A	N/A	51,942	75,399	2,212,167	2,224,459
2018-12-17	$37.82	$39.00	32.5%	9.3%	32.2%	22.7%	35.5%	5.2%	0.1%	19.0M	236.6M	-12.1M	0.14	3.37	N/A	N/A	632,923	88,944	2,140,067	2,164,073
2018-12-18	$37.62	$40.00	32.4%	9.3%	32.0%	22.5%	33.6%	6.2%	1.1%	6.1M	994.1M	-12.4M	0.84	2.86	N/A	N/A	155,046	130,995	2,014,994	2,225,716
2018-12-19	$36.70	$40.00	34.0%	9.7%	31.4%	26.2%	32.7%	6.3%	1.0%	-34.8M	1.66B	-11.6M	1.48	3.59	N/A	N/A	91,527	135,187	1,986,849	2,228,945
2018-12-20	$37.60	$40.00	33.2%	9.5%	32.3%	24.3%	34.6%	6.0%	0.4%	11.3M	959.8M	-11.9M	1.08	3.49	N/A	N/A	88,138	95,049	2,016,537	2,264,623
2018-12-21	$37.09	$40.00	34.1%	9.8%	32.2%	25.5%	38.4%	6.3%	0.0%	-58.9M	1.42B	-11.5M	1.53	3.02	N/A	N/A	79,904	121,873	2,051,525	2,261,374
2018-12-24	$36.53	$40.00	36.3%	10.6%	30.5%	30.6%	42.1%	6.3%	0.5%	-20.6M	1.15B	-11.1M	1.49	4.33	N/A	N/A	54,764	81,440	1,200,648	1,486,848
2018-12-26	$37.07	$40.00	35.3%	10.2%	27.4%	28.0%	36.1%	5.5%	0.2%	-12.2M	924.1M	-11.2M	0.72	3.69	N/A	N/A	53,366	38,687	1,223,905	1,482,504
2018-12-27	$37.58	$40.00	35.2%	10.2%	26.7%	27.6%	36.6%	5.5%	0.6%	2.5M	666.3M	-11.5M	0.69	4.10	N/A	N/A	54,299	37,375	1,250,117	1,501,008
2018-12-28	$38.08	$40.00	34.8%	10.0%	27.2%	26.8%	36.2%	5.3%	0.4%	16.6M	380.8M	-11.7M	0.83	2.69	N/A	N/A	62,488	51,986	1,295,432	1,514,526
2018-12-31	$38.30	$40.00	34.6%	9.9%	27.3%	26.2%	34.0%	4.8%	1.1%	17.0M	304.6M	-11.5M	0.29	2.98	N/A	N/A	30,465	8,831	1,285,688	1,492,220