EWZ Options History — March 2019 In March 2019, EWZ traded between $39.50 and $44.40. ATM implied volatility averaged 30.5%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 2.0% (HV 20d: 28.5%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.97.
Notable Days 2019-03-28 : Highest Volume — 436,593 contracts2019-03-22 : Largest IV spike — 20.0% change2019-03-27 : Highest IV Rank — 28.3%2019-03-27 : Largest Expected Move — 10.1%Monthly Statistics Metric Avg Min Max Open Close Price $42.34 $39.50 $44.40 $42.41 $40.88 Max Pain $42.43 $41.00 $43.00 $42.00 $42.00 ATM IV 30.5% 27.3% 36.3% 29.1% 33.4% Expected Move 8.7% 7.9% 10.1% 8.1% 9.3% HV 20d 28.5% 23.8% 38.5% 25.8% 38.3% HV 60d 28.6% 26.7% 32.1% 28.2% 29.9% IV Rank 13.6% 5.5% 28.3% 10.2% 20.9% IV Percentile 32.8% 8.3% 73.0% 19.0% 58.7% Term Structure -0.3% -1.7% 0.3% 0.1% 0.3% VWIV 30.0% 26.1% 34.6% 28.4% 32.2% Skew 25d 5.0% 4.1% 7.0% 4.1% 6.2% Skew 10d 9.2% 7.4% 13.4% 7.4% 11.1% Call IV 25d 28.1% 25.1% 33.5% 27.1% 30.6% Put IV 25d 33.1% 29.5% 40.5% 31.2% 36.7% Bid-Ask Spread % 2.55 1.69 3.33 1.89 2.44 Gamma HHI 0.08 0.05 0.13 0.08 0.05 Net GEX 35.7M -35.7M 138.8M 30.7M -2.2M Net DEX -186.1M -1.59B 1.39B -194.9M 575.9M Net VEX -15.5M -17.2M -14.5M -15.7M -17.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.97 0.41 1.84 0.64 0.97 Total Volume 195,112.905 30,164 436,593 193,694 198,617 Total OI 2,952,193.429 2,315,629 3,326,041 2,991,161 3,291,380
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 2019-03-01 $42.41 $42.00 29.1% 8.1% 25.8% 10.2% 28.4% 4.1% 0.1% 30.7M -194.9M -15.7M 0.64 1.89 N/A N/A 117,863 75,831 1,598,542 1,392,619 2019-03-04 $42.35 $42.00 29.9% 8.4% 25.8% 12.3% 29.4% 4.7% -0.2% 36.3M -202.7M -15.4M 1.06 1.74 N/A N/A 29,418 31,222 1,583,451 1,382,914 2019-03-05 $42.75 $42.00 29.4% 8.2% 26.2% 10.9% 27.9% 4.4% -0.0% 61.6M -520.0M -15.7M 1.05 1.83 N/A N/A 14,741 15,423 1,641,073 1,392,406 2019-03-06 $41.61 $42.00 31.4% 9.1% 27.5% 15.9% 31.3% 4.5% -0.2% 14.0M 308.9M -14.9M 1.18 1.93 N/A N/A 59,543 70,524 1,658,266 1,396,701 2019-03-07 $41.12 $42.00 31.3% 9.4% 23.9% 15.7% 32.3% 5.4% 0.3% -7.8M 683.5M -14.5M 1.84 1.69 N/A N/A 74,561 137,000 1,682,152 1,435,337 2019-03-08 $41.66 $42.00 30.5% 8.9% 24.5% 13.7% 31.3% 4.5% -0.1% 4.9M 287.3M -15.0M 1.69 2.10 N/A N/A 99,827 168,568 1,716,510 1,518,477 2019-03-11 $43.09 $43.00 29.1% 8.5% 27.5% 10.0% 30.4% 4.2% 0.0% 95.0M -947.7M -15.6M 0.52 2.94 N/A N/A 130,595 68,132 1,725,425 1,527,186 2019-03-12 $43.38 $43.00 27.8% 8.4% 27.0% 6.9% 26.1% 4.1% -0.0% 102.6M -1.12B -15.5M 0.41 2.77 N/A N/A 97,273 39,512 1,700,270 1,543,285 2019-03-13 $43.91 $43.00 27.4% 8.0% 25.5% 5.7% 29.7% 4.3% 0.1% 138.8M -1.59B -15.6M 0.64 2.87 N/A N/A 84,853 54,245 1,727,343 1,559,629 2019-03-14 $43.24 $43.00 27.7% 8.1% 25.6% 6.5% 27.1% 4.2% -0.2% 77.4M -897.1M -15.2M 0.78 2.99 N/A N/A 69,134 53,842 1,727,372 1,584,755 2019-03-15 $43.65 $43.00 27.3% 7.9% 23.8% 5.5% 29.1% 4.5% -0.0% 57.0M -1.25B -15.2M 0.77 3.23 N/A N/A 102,933 79,629 1,730,242 1,595,799 2019-03-18 $44.39 $43.00 27.4% 8.1% 24.6% 5.8% 28.1% 4.6% -0.5% 76.2M -1.07B -15.6M 1.64 2.33 N/A N/A 30,067 49,430 1,192,925 1,122,704 2019-03-19 $44.30 $43.00 27.5% 8.1% 24.6% 5.9% 27.4% 4.7% -0.4% 70.5M -984.7M -15.7M 1.01 2.66 N/A N/A 61,966 62,561 1,203,012 1,154,036 2019-03-20 $44.40 $43.00 27.9% 8.2% 24.2% 7.1% 28.7% 4.6% -0.3% 71.9M -1.06B -15.9M 0.62 2.93 N/A N/A 102,779 63,636 1,234,744 1,173,881 2019-03-21 $42.98 $43.00 30.0% 8.5% 26.7% 12.5% 28.0% 5.5% -1.0% 20.4M -215.4M -15.8M 1.06 3.25 N/A N/A 169,906 180,442 1,298,536 1,205,466 2019-03-22 $40.48 $43.00 36.1% 9.8% 33.1% 27.8% 34.1% 7.0% -1.7% -27.7M 1.11B -15.1M 1.70 3.33 N/A N/A 116,016 196,799 1,400,699 1,306,378 2019-03-25 $40.98 $42.00 34.5% 9.5% 33.6% 23.9% 30.9% 5.6% -0.1% -19.6M 734.7M -15.5M 0.80 2.74 N/A N/A 135,891 109,202 1,407,079 1,327,888 2019-03-26 $41.36 $42.00 31.8% 9.1% 33.8% 17.0% 30.8% 5.3% -0.1% -4.5M 389.0M -15.9M 0.61 2.55 N/A N/A 107,810 65,370 1,524,416 1,350,962 2019-03-27 $39.50 $42.00 36.3% 10.1% 37.0% 28.3% 34.6% 5.5% -1.1% -35.7M 1.39B -14.5M 0.67 2.80 N/A N/A 200,512 135,105 1,564,719 1,358,341 2019-03-28 $40.78 $41.00 33.9% 9.4% 38.5% 22.3% 32.0% 6.3% -0.4% -10.3M 663.3M -15.9M 0.67 2.46 N/A N/A 261,458 175,135 1,625,593 1,433,549 2019-03-29 $40.88 $42.00 33.4% 9.3% 38.3% 20.9% 32.2% 6.2% 0.3% -2.2M 575.9M -17.2M 0.97 2.44 N/A N/A 100,834 97,783 1,764,386 1,526,994
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