EWZ Options History — January 2019 In January 2019, EWZ traded between $40.53 and $45.26. ATM implied volatility averaged 30.9%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 1.1% (HV 20d: 29.8%). Max pain ranged from $38.00 to $42.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.53.
Notable Days 2019-01-08 : Highest Volume — 325,704 contracts2019-01-22 : Largest IV spike — 8.6% change2019-01-03 : Highest IV Rank — 25.1%2019-01-03 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $42.81 $40.53 $45.26 $40.53 $45.26 Max Pain $40.62 $38.00 $42.50 $40.00 $40.00 ATM IV 30.9% 28.8% 34.2% 33.7% 29.7% Expected Move 8.9% 8.3% 9.9% 9.8% 8.6% HV 20d 29.8% 23.1% 34.9% 34.2% 23.1% HV 60d 32.5% 29.9% 36.4% 36.4% 30.2% IV Rank 16.4% 11.7% 25.1% 23.9% 11.7% IV Percentile 37.9% 22.2% 63.9% 60.3% 27.8% Term Structure 0.1% -0.3% 0.9% -0.1% -0.0% VWIV 31.8% 28.0% 36.3% 34.5% 29.4% Skew 25d 5.6% 4.4% 6.5% 4.7% 5.9% Skew 10d 11.0% 8.5% 12.5% 8.5% 11.3% Call IV 25d 28.3% 25.7% 31.9% 31.7% 27.3% Put IV 25d 33.9% 31.5% 37.0% 36.4% 33.2% Bid-Ask Spread % 2.83 2.22 3.70 3.08 3.70 Gamma HHI 0.14 0.08 0.18 0.08 0.15 Net GEX 103.2M 56.0M 142.2M 56.0M 120.7M Net DEX -2.11B -3.40B -932.3M -932.3M -2.66B Net VEX -13.1M -14.9M -11.1M -11.6M -14.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.53 0.14 7.11 0.99 1.20 Total Volume 166,081.286 48,780 325,704 161,218 209,294 Total OI 2,979,840.429 2,254,038 3,854,015 2,790,322 2,542,665
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 2019-01-02 $40.53 $40.00 33.7% 9.8% 34.2% 23.9% 34.5% 4.7% -0.1% 56.0M -932.3M -11.6M 0.99 3.08 N/A N/A 81,041 80,177 1,297,656 1,492,666 2019-01-03 $40.94 $38.00 34.2% 9.9% 33.7% 25.1% 35.7% 5.1% 0.4% 66.7M -1.20B -11.7M 0.76 3.07 N/A N/A 68,662 52,444 1,330,117 1,544,277 2019-01-04 $41.93 $38.00 32.1% 9.3% 34.5% 20.0% 32.9% 4.8% -0.1% 71.9M -1.78B -11.5M 1.28 3.00 N/A N/A 93,414 119,389 1,337,671 1,567,987 2019-01-07 $41.44 $38.00 32.7% 9.5% 34.9% 21.4% 33.6% 4.8% 0.5% 68.4M -1.39B -11.3M 0.94 3.30 N/A N/A 25,139 23,641 1,344,302 1,633,927 2019-01-08 $41.88 $39.00 31.3% 9.1% 34.9% 18.0% 31.2% 5.2% 0.3% 81.2M -1.69B -11.1M 0.40 3.21 N/A N/A 232,679 93,025 1,366,750 1,656,144 2019-01-09 $42.91 $39.00 29.7% 8.6% 30.4% 14.0% 29.5% 4.7% 0.5% 119.3M -2.69B -11.9M 0.14 3.14 N/A N/A 264,785 37,386 1,558,301 1,688,493 2019-01-10 $42.84 $39.00 29.4% 8.5% 30.5% 13.3% 28.5% 4.4% 0.2% 142.2M -2.97B -13.0M 1.73 2.84 N/A N/A 94,909 164,523 1,737,999 1,707,234 2019-01-11 $42.74 $41.00 29.0% 8.5% 30.3% 12.4% 28.0% 5.6% 0.9% 137.6M -2.81B -13.5M 1.58 3.37 N/A N/A 65,233 103,334 1,790,136 1,784,815 2019-01-14 $43.01 $41.00 29.6% 8.5% 30.3% 13.8% 30.5% 6.0% -0.1% 138.9M -3.00B -13.0M 0.45 2.27 N/A N/A 76,340 34,484 1,783,915 1,765,274 2019-01-15 $42.74 $41.00 30.4% 8.7% 29.6% 15.8% 31.7% 6.0% -0.2% 137.0M -2.79B -13.3M 1.89 2.89 N/A N/A 32,948 62,374 1,835,881 1,790,267 2019-01-16 $42.75 $41.00 29.5% 8.5% 28.9% 13.7% 28.4% 5.9% -0.3% 131.5M -2.76B -13.2M 1.36 2.59 N/A N/A 47,590 64,761 1,847,457 1,819,945 2019-01-17 $42.98 $41.50 29.3% 8.4% 28.6% 13.2% 30.6% 6.0% -0.1% 120.3M -2.99B -13.1M 0.97 2.57 N/A N/A 106,487 103,484 1,860,263 1,860,996 2019-01-18 $43.25 $42.00 28.8% 8.3% 26.1% 11.9% 29.4% 5.8% 0.3% 97.0M -3.40B -13.4M 0.64 2.60 N/A N/A 128,048 82,259 1,916,364 1,937,651 2019-01-22 $42.12 $42.00 31.3% 9.1% 28.1% 18.0% 31.7% 6.3% 0.0% 75.7M -948.3M -13.4M 1.28 2.88 N/A N/A 29,112 37,282 1,173,689 1,080,349 2019-01-23 $43.25 $42.00 31.0% 9.0% 28.1% 17.3% 32.6% 6.1% 0.1% 103.1M -1.59B -13.7M 1.15 2.83 N/A N/A 136,070 156,852 1,185,757 1,108,529 2019-01-24 $43.62 $42.00 30.6% 8.9% 26.7% 16.3% 34.6% 6.2% 0.1% 113.0M -1.75B -14.4M 2.32 2.22 N/A N/A 48,136 111,717 1,217,098 1,180,350 2019-01-25 $43.74 $42.00 31.0% 9.0% 26.7% 15.0% 30.1% 6.3% 0.3% 122.1M -1.84B -14.4M 1.54 2.47 N/A N/A 54,130 83,288 1,244,611 1,198,129 2019-01-28 $42.88 $42.00 32.3% 9.5% 28.4% 18.1% 36.3% 6.5% -0.1% 74.3M -1.24B -14.1M 7.11 2.30 N/A N/A 11,481 81,668 1,218,961 1,184,498 2019-01-29 $43.47 $42.00 31.9% 9.3% 28.4% 17.2% 33.5% 6.5% 0.4% 82.9M -1.51B -14.9M 3.19 2.54 N/A N/A 18,099 57,681 1,231,271 1,256,013 2019-01-30 $44.67 $42.50 30.9% 8.9% 29.3% 14.7% 34.4% 5.8% -0.3% 106.8M -2.28B -14.4M 1.13 2.59 N/A N/A 53,755 60,586 1,238,394 1,259,847 2019-01-31 $45.26 $40.00 29.7% 8.6% 23.1% 11.7% 29.4% 5.9% -0.0% 120.7M -2.66B -14.6M 1.20 3.70 N/A N/A 94,955 114,339 1,272,259 1,270,406
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