EWZ Options History — May 2019 In May 2019, EWZ traded between $36.95 and $41.65. ATM implied volatility averaged 31.5%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 3.8% (HV 20d: 27.6%). Max pain ranged from $41.50 to $42.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.07.
Notable Days 2019-05-31 : Highest Volume — 481,556 contracts2019-05-13 : Largest IV spike — 9.8% change2019-05-13 : Highest IV Rank — 22.5%2019-05-13 : Largest Expected Move — 10.1%Monthly Statistics Metric Avg Min Max Open Close Price $39.75 $36.95 $41.65 $40.78 $41.65 Max Pain $41.98 $41.50 $42.00 $42.00 $42.00 ATM IV 31.5% 27.8% 34.6% 28.7% 31.4% Expected Move 9.1% 7.8% 10.1% 8.2% 9.2% HV 20d 27.6% 23.9% 31.2% 25.1% 30.4% HV 60d 30.4% 29.2% 31.5% 30.3% 31.1% IV Rank 13.2% 6.6% 22.5% 8.9% 11.0% IV Percentile 39.9% 6.3% 66.3% 9.5% 40.5% Term Structure 0.1% -1.2% 0.9% 0.0% 0.8% VWIV 31.4% 28.1% 34.2% 30.3% 34.1% Skew 25d 6.0% 4.4% 7.0% 4.7% 6.8% Skew 10d 10.3% 8.6% 11.5% 8.6% 11.5% Call IV 25d 28.5% 25.5% 31.8% 26.6% 28.4% Put IV 25d 34.4% 30.0% 37.8% 31.3% 35.2% Bid-Ask Spread % 5.52 2.05 18.68 11.61 2.50 Gamma HHI 0.07 0.06 0.17 0.07 0.08 Net GEX -9.3M -80.8M 54.8M 22.8M 54.8M Net DEX 1.13B -314.5M 2.88B 530.2M -314.5M Net VEX -14.4M -16.3M -11.5M -16.3M -15.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.28 3.38 0.60 1.69 Total Volume 155,296.5 57,860 481,556 57,860 481,556 Total OI 3,324,940.636 3,066,424 3,529,945 3,245,344 3,529,945
Daily Data (22 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 2019-05-01 $40.78 $42.00 28.7% 8.2% 25.1% 8.9% 30.3% 4.7% 0.0% 22.8M 530.2M -16.3M 0.60 11.61 N/A N/A 36,118 21,742 1,707,635 1,537,709 2019-05-02 $40.72 $42.00 28.8% 8.2% 24.8% 9.1% 29.7% 4.4% 0.1% 16.1M 638.2M -16.0M 0.63 5.46 N/A N/A 44,499 28,162 1,717,712 1,544,856 2019-05-03 $41.20 $42.00 27.8% 7.8% 23.9% 6.6% 28.1% 4.5% 0.3% 32.7M 250.4M -16.2M 1.41 2.05 N/A N/A 45,831 64,664 1,741,703 1,557,572 2019-05-06 $40.48 $42.00 29.6% 8.8% 24.5% 11.1% 30.7% 5.3% 0.2% 829.8K 838.7M -15.6M 1.09 2.85 N/A N/A 38,493 41,811 1,684,992 1,537,626 2019-05-07 $39.93 $42.00 31.7% 9.3% 24.6% 16.3% 30.8% 5.7% 0.4% -13.1M 1.15B -15.4M 1.31 2.58 N/A N/A 59,501 77,699 1,712,807 1,553,084 2019-05-08 $41.03 $42.00 31.0% 9.1% 26.6% 14.7% 30.7% 5.5% 0.1% 23.1M 366.1M -16.2M 0.58 14.19 N/A N/A 67,718 39,067 1,731,977 1,573,695 2019-05-09 $40.43 $42.00 32.0% 9.4% 26.9% 17.1% 29.7% 5.9% -0.1% 2.3M 813.0M -15.9M 0.74 13.38 N/A N/A 63,602 47,251 1,748,362 1,574,717 2019-05-10 $40.24 $42.00 31.5% 9.3% 25.9% 15.9% 30.0% 5.7% 0.1% -3.8M 1.01B -15.3M 1.49 18.68 N/A N/A 50,600 75,468 1,762,919 1,594,988 2019-05-13 $38.76 $42.00 34.6% 10.1% 27.3% 22.5% 34.0% 6.0% 0.2% -39.7M 1.90B -13.6M 1.35 3.25 N/A N/A 75,120 101,291 1,750,597 1,568,348 2019-05-14 $39.02 $42.00 32.5% 9.4% 27.3% 15.7% 32.2% 5.8% 0.1% -55.8M 1.91B -13.7M 1.00 6.73 N/A N/A 108,579 108,734 1,777,337 1,646,160 2019-05-15 $38.57 $42.00 32.2% 9.4% 27.3% 13.1% 32.1% 5.8% 0.5% -63.0M 2.17B -13.2M 0.90 3.08 N/A N/A 64,987 58,358 1,826,657 1,650,998 2019-05-16 $37.56 $42.00 32.6% 9.6% 27.7% 14.3% 32.4% 5.9% 0.9% -67.4M 2.63B -12.1M 1.04 2.88 N/A N/A 57,749 60,206 1,852,213 1,641,552 2019-05-17 $36.95 $42.00 33.4% 9.7% 27.3% 16.4% 33.5% 6.0% 0.3% -80.8M 2.88B -11.5M 3.38 3.01 N/A N/A 52,484 177,601 1,877,551 1,650,641 2019-05-20 $37.84 $42.00 33.7% 9.7% 29.1% 17.2% 34.2% 7.0% -0.2% -52.9M 2.08B -12.4M 0.62 2.52 N/A N/A 125,470 77,596 1,536,809 1,529,615 2019-05-21 $39.17 $42.00 32.2% 9.3% 31.2% 13.3% 31.7% 6.6% -0.5% -23.2M 1.34B -13.6M 1.21 3.32 N/A N/A 100,232 121,258 1,592,732 1,579,704 2019-05-22 $39.36 $42.00 31.3% 9.0% 30.0% 10.8% 30.1% 6.7% 0.8% -17.4M 1.25B -13.9M 0.74 3.79 N/A N/A 77,841 57,708 1,628,234 1,625,241 2019-05-23 $39.07 $42.00 31.9% 9.2% 28.6% 12.5% 31.5% 6.7% -0.2% -15.1M 1.40B -13.9M 0.96 2.63 N/A N/A 64,307 61,966 1,668,718 1,626,308 2019-05-24 $39.31 $42.00 31.2% 8.9% 28.7% 10.5% 29.5% 6.5% 0.6% -10.6M 1.25B -13.9M 0.93 2.58 N/A N/A 69,597 64,391 1,694,687 1,641,928 2019-05-28 $40.23 $42.00 31.8% 9.2% 30.1% 12.1% 31.8% 6.4% -0.5% 11.5M 708.9M -14.1M 0.68 6.10 N/A N/A 81,531 55,621 1,681,418 1,597,558 2019-05-29 $40.84 $42.00 30.8% 9.0% 30.6% 9.5% 30.6% 6.7% -0.3% 30.1M 234.1M -14.6M 0.28 2.70 N/A N/A 88,578 25,145 1,711,528 1,621,380 2019-05-30 $41.30 $41.50 31.7% 9.0% 30.3% 11.7% 32.4% 6.6% -1.2% 43.9M -149.5M -14.9M 0.89 5.65 N/A N/A 103,684 92,707 1,732,493 1,625,988 2019-05-31 $41.65 $42.00 31.4% 9.2% 30.4% 11.0% 34.1% 6.8% 0.8% 54.8M -314.5M -15.4M 1.69 2.50 N/A N/A 178,920 302,636 1,820,443 1,709,502
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