EWZ Options History — June 2019 In June 2019, EWZ traded between $41.58 and $44.42. ATM implied volatility averaged 31.0%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 5.4% (HV 20d: 25.5%). Max pain ranged from $39.50 to $42.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.00.
Notable Days 2019-06-14 : Highest Volume — 619,668 contracts2019-06-25 : Largest IV spike — 8.2% change2019-06-17 : Highest IV Rank — 14.9%2019-06-05 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $42.98 $41.58 $44.42 $41.97 $43.75 Max Pain $41.45 $39.50 $42.50 $42.00 $42.50 ATM IV 31.0% 29.0% 32.9% 31.9% 30.6% Expected Move 9.0% 8.4% 9.7% 9.4% 9.1% HV 20d 25.5% 22.0% 30.4% 30.3% 23.2% HV 60d 29.0% 25.9% 31.0% 31.0% 26.0% IV Rank 9.9% 4.7% 14.9% 12.5% 9.0% IV Percentile 33.0% 8.7% 55.2% 45.6% 30.2% Term Structure -0.1% -0.6% 0.5% -0.0% -0.1% VWIV 31.2% 28.1% 34.1% 31.4% 31.3% Skew 25d 5.7% 4.9% 6.6% 6.6% 5.6% Skew 10d 10.3% 8.7% 11.9% 11.9% 9.9% Call IV 25d 28.4% 26.4% 30.1% 29.1% 27.7% Put IV 25d 34.1% 31.3% 36.3% 35.7% 33.3% Bid-Ask Spread % 2.95 2.31 4.30 4.30 2.62 Gamma HHI 0.10 0.07 0.20 0.08 0.07 Net GEX 102.6M 24.7M 235.2M 58.7M 67.5M Net DEX -873.8M -2.50B 689.6M -279.8M -1.22B Net VEX -14.8M -16.2M -13.8M -15.8M -15.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.25 3.13 1.18 1.05 Total Volume 226,568.7 109,693 619,668 117,299 312,936 Total OI 3,657,430.95 2,223,262 4,431,891 3,710,152 2,700,991
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 2019-06-03 $41.97 $42.00 31.9% 9.4% 30.3% 12.5% 31.4% 6.6% -0.0% 58.7M -279.8M -15.8M 1.18 4.30 N/A N/A 53,698 63,601 1,888,080 1,822,072 2019-06-04 $42.50 $42.00 31.7% 9.2% 29.7% 12.0% 31.5% 6.3% -0.1% 79.0M -750.1M -16.2M 0.30 3.52 N/A N/A 202,909 61,791 1,924,898 1,880,943 2019-06-05 $41.58 $42.00 32.8% 9.7% 30.4% 14.7% 34.1% 6.2% -0.5% 24.7M 314.2M -15.4M 0.98 4.02 N/A N/A 109,074 106,659 1,876,555 1,894,532 2019-06-06 $42.25 $39.50 31.7% 9.0% 29.4% 11.9% 30.3% 6.3% -0.1% 59.7M -293.5M -15.5M 0.51 2.78 N/A N/A 80,078 40,561 1,925,567 1,949,767 2019-06-07 $42.57 $39.50 30.4% 8.7% 28.9% 8.4% 28.7% 5.8% 0.0% 97.1M -662.9M -15.5M 1.81 2.64 N/A N/A 101,492 183,350 1,950,517 1,967,107 2019-06-10 $42.31 $39.50 30.6% 8.9% 28.9% 9.0% 30.2% 5.8% 0.5% 72.2M -380.4M -14.8M 3.13 3.36 N/A N/A 41,428 129,638 1,986,535 1,980,123 2019-06-11 $43.26 $39.50 30.3% 8.7% 25.5% 8.0% 31.9% 5.8% 0.1% 160.8M -1.47B -15.3M 0.65 3.41 N/A N/A 133,206 86,509 2,069,447 2,066,826 2019-06-12 $42.74 $40.00 30.7% 8.9% 26.3% 9.2% 31.4% 5.7% 0.4% 132.2M -846.6M -15.0M 0.72 3.82 N/A N/A 153,916 110,448 2,125,074 2,094,881 2019-06-13 $43.14 $41.00 30.7% 8.8% 25.6% 9.1% 31.5% 5.5% 0.2% 222.4M -1.24B -15.1M 0.71 2.94 N/A N/A 69,820 49,552 2,257,501 2,158,871 2019-06-14 $42.28 $41.50 31.5% 9.1% 24.6% 11.4% 33.1% 5.9% 0.0% 84.2M -109.0M -14.6M 0.25 3.21 N/A N/A 494,471 125,197 2,271,430 2,160,461 2019-06-17 $41.75 $42.00 32.9% 9.4% 24.2% 14.9% 33.1% 5.9% -0.1% 28.8M 689.6M -13.9M 0.63 2.40 N/A N/A 132,148 83,574 2,020,317 2,149,114 2019-06-18 $42.77 $42.00 31.6% 9.1% 24.3% 11.6% 31.7% 5.5% -0.4% 206.9M -794.8M -14.1M 0.71 2.55 N/A N/A 94,205 66,899 2,084,814 2,105,494 2019-06-19 $43.33 $42.00 29.9% 8.6% 22.0% 7.0% 31.1% 5.3% -0.4% 160.9M -1.18B -13.8M 1.20 2.33 N/A N/A 60,527 72,702 1,858,995 2,142,410 2019-06-20 $44.16 $42.00 29.3% 8.4% 22.6% 5.3% 28.1% 4.9% -0.5% 235.2M -2.16B -13.8M 0.40 2.31 N/A N/A 221,447 88,356 1,891,694 2,177,350 2019-06-21 $44.42 $42.00 29.0% 8.4% 22.0% 4.7% 28.8% 4.9% -0.6% 104.6M -2.50B -13.8M 0.66 2.36 N/A N/A 136,375 89,403 1,954,460 2,214,469 2019-06-24 $44.35 $42.50 29.6% 8.6% 22.2% 6.4% 30.2% 5.7% -0.1% 72.0M -1.52B -14.0M 1.33 2.86 N/A N/A 47,128 62,565 1,126,322 1,096,940 2019-06-25 $43.24 $42.50 32.1% 9.5% 23.9% 12.9% 31.7% 5.9% -0.4% 53.2M -917.7M -14.2M 0.91 2.39 N/A N/A 94,110 85,286 1,169,052 1,143,473 2019-06-26 $43.48 $42.50 30.8% 9.1% 23.5% 9.5% 32.4% 5.5% -0.2% 62.2M -1.05B -14.6M 1.74 2.65 N/A N/A 97,916 170,672 1,239,187 1,212,575 2019-06-27 $43.66 $42.50 30.8% 9.1% 23.3% 9.5% 31.0% 5.7% -0.1% 69.4M -1.12B -15.3M 1.08 2.57 N/A N/A 104,481 113,246 1,288,413 1,321,362 2019-06-28 $43.75 $42.50 30.6% 9.1% 23.2% 9.0% 31.3% 5.6% -0.1% 67.5M -1.22B -15.6M 1.05 2.62 N/A N/A 152,372 160,564 1,339,277 1,361,714
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