EWZ Options History — July 2019 In July 2019, EWZ traded between $43.44 and $46.85. ATM implied volatility averaged 27.6%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 6.6% (HV 20d: 21.0%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.87.
Notable Days 2019-07-10 : Highest Volume — 385,603 contracts2019-07-10 : Largest IV drop — 7.1% change2019-07-02 : Highest IV Rank — 10.4%2019-07-02 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $45.51 $43.44 $46.85 $43.90 $44.59 Max Pain $44.52 $42.50 $45.00 $42.50 $45.00 ATM IV 27.6% 24.6% 31.2% 30.4% 28.4% Expected Move 8.0% 7.0% 9.3% 9.0% 8.5% HV 20d 21.0% 17.6% 23.5% 23.1% 19.3% HV 60d 25.0% 24.0% 26.4% 25.6% 24.0% IV Rank 4.6% 0.0% 10.4% 8.5% 9.5% IV Percentile 8.9% 0.0% 39.7% 25.8% 10.7% Term Structure -0.1% -0.6% 0.7% -0.1% -0.4% VWIV 27.9% 24.9% 32.0% 31.7% 30.0% Skew 25d 5.4% 4.7% 6.7% 5.7% 5.6% Skew 10d 9.9% 8.7% 12.6% 10.6% 9.7% Call IV 25d 24.9% 22.5% 28.6% 27.7% 25.5% Put IV 25d 30.4% 27.2% 34.3% 33.4% 31.1% Bid-Ask Spread % 2.83 2.00 6.19 2.00 6.19 Gamma HHI 0.10 0.07 0.14 0.07 0.09 Net GEX 113.6M 31.3M 262.8M 60.9M 54.4M Net DEX -2.10B -3.81B -707.4M -1.13B -707.4M Net VEX -17.0M -17.6M -16.2M -16.2M -16.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.29 2.04 2.04 1.16 Total Volume 174,883.5 50,381 385,603 93,214 125,340 Total OI 3,105,963.727 2,674,054 3,535,545 2,674,054 3,124,519
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 2019-07-01 $43.90 $42.50 30.4% 9.0% 23.1% 8.5% 31.7% 5.7% -0.1% 60.9M -1.13B -16.2M 2.04 2.00 N/A N/A 30,684 62,530 1,353,829 1,320,225 2019-07-02 $43.44 $43.00 31.2% 9.3% 23.2% 10.4% 31.7% 5.7% -0.4% 41.4M -794.7M -16.4M 0.65 2.71 N/A N/A 71,316 46,631 1,401,901 1,364,342 2019-07-03 $43.86 $43.00 30.7% 9.2% 21.7% 9.1% 32.0% 5.7% -0.3% 61.0M -1.10B -16.7M 0.29 3.32 N/A N/A 103,188 30,021 1,434,133 1,394,578 2019-07-05 $45.23 $44.00 29.7% 8.5% 23.5% 6.4% 28.7% 5.6% 0.1% 108.3M -2.33B -16.6M 0.36 2.62 N/A N/A 190,537 68,260 1,511,077 1,405,723 2019-07-08 $45.60 $44.00 30.0% 8.4% 23.5% 7.4% 29.6% 6.7% -0.6% 120.9M -2.46B -16.8M 0.41 2.46 N/A N/A 125,004 51,633 1,529,855 1,369,344 2019-07-09 $45.89 $44.00 29.7% 8.4% 23.2% 6.4% 29.4% 6.6% -0.3% 163.6M -2.83B -16.9M 0.91 2.84 N/A N/A 123,725 113,073 1,638,393 1,405,699 2019-07-10 $46.85 $44.00 27.6% 7.8% 23.1% 0.7% 27.2% 6.0% -0.1% 199.2M -3.81B -16.6M 0.73 3.91 N/A N/A 222,460 163,143 1,692,072 1,469,360 2019-07-11 $46.55 $45.00 26.5% 7.5% 22.6% 0.0% 28.3% 5.3% -0.5% 262.8M -3.65B -17.1M 1.83 3.38 N/A N/A 87,786 160,717 1,786,498 1,563,833 2019-07-12 $46.27 $45.00 26.8% 7.8% 22.9% 0.8% 27.8% 5.4% 0.7% 165.4M -3.18B -17.3M 0.89 2.89 N/A N/A 87,704 78,133 1,806,979 1,634,908 2019-07-15 $45.86 $45.00 26.1% 7.5% 21.6% 0.0% 25.8% 5.2% -0.3% 153.0M -2.61B -16.8M 0.57 2.76 N/A N/A 94,902 53,876 1,672,318 1,550,356 2019-07-16 $45.75 $45.00 25.9% 7.4% 20.9% 0.0% 25.1% 5.2% 0.3% 149.5M -2.46B -16.7M 0.68 2.48 N/A N/A 106,735 73,054 1,677,006 1,568,691 2019-07-17 $46.02 $45.00 25.9% 7.4% 19.6% 0.0% 25.3% 4.8% -0.1% 164.8M -2.80B -16.8M 0.53 2.46 N/A N/A 161,557 86,289 1,708,193 1,598,891 2019-07-18 $46.68 $45.00 24.6% 7.0% 19.6% 0.0% 24.9% 4.7% 0.6% 204.4M -3.54B -16.9M 0.81 2.58 N/A N/A 118,913 96,805 1,776,366 1,627,670 2019-07-19 $45.92 $45.00 25.6% 7.4% 20.0% 2.5% 26.6% 5.2% 0.0% 130.1M -2.64B -17.6M 1.78 2.23 N/A N/A 73,657 131,335 1,806,305 1,729,240 2019-07-22 $46.12 $45.00 26.4% 7.6% 20.0% 4.4% 26.3% 5.1% -0.2% 93.2M -1.93B -17.4M 1.26 2.20 N/A N/A 22,251 28,130 1,499,457 1,471,826 2019-07-23 $45.76 $45.00 26.8% 7.7% 20.3% 5.4% 27.5% 5.1% -0.3% 70.7M -1.60B -17.4M 0.63 2.80 N/A N/A 79,613 50,218 1,498,185 1,491,398 2019-07-24 $45.89 $45.00 26.3% 7.6% 17.6% 4.1% 26.2% 5.3% -0.1% 80.8M -1.73B -17.4M 0.63 2.26 N/A N/A 91,988 58,375 1,529,439 1,518,637 2019-07-25 $45.14 $45.00 27.4% 7.9% 18.8% 7.0% 26.1% 5.3% -0.3% 35.0M -1.06B -17.5M 0.39 2.35 N/A N/A 155,666 60,329 1,567,460 1,542,223 2019-07-26 $45.42 $45.00 26.1% 7.6% 18.9% 3.8% 26.4% 5.0% -0.0% 31.3M -1.32B -17.1M 0.80 3.33 N/A N/A 86,818 69,284 1,561,093 1,567,517 2019-07-29 $45.41 $45.00 27.0% 8.0% 18.9% 5.8% 28.2% 5.2% -0.3% 77.7M -1.36B -17.4M 1.20 2.18 N/A N/A 50,685 60,684 1,560,774 1,512,982 2019-07-30 $45.16 $45.00 27.9% 8.3% 19.1% 8.2% 27.9% 5.3% -0.6% 71.3M -1.16B -17.1M 0.55 2.24 N/A N/A 60,731 33,657 1,564,226 1,523,681 2019-07-31 $44.59 $45.00 28.4% 8.5% 19.3% 9.5% 30.0% 5.6% -0.4% 54.4M -707.4M -16.9M 1.16 6.19 N/A N/A 58,041 67,299 1,597,795 1,526,724
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