EWZ Options History — September 2019 In September 2019, EWZ traded between $39.91 and $43.01. ATM implied volatility averaged 29.6%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 1.1% (HV 20d: 28.4%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.59.
Notable Days 2019-09-03 : Highest Volume — 256,202 contracts2019-09-13 : Largest IV spike — 5.7% change2019-09-03 : Highest IV Rank — 18.5%2019-09-03 : Largest Expected Move — 9.4%Monthly Statistics Metric Avg Min Max Open Close Price $42.02 $39.91 $43.01 $39.91 $42.20 Max Pain $41.25 $40.00 $42.00 $42.00 $42.00 ATM IV 29.6% 27.9% 32.0% 32.0% 29.1% Expected Move 8.4% 7.9% 9.4% 9.4% 8.1% HV 20d 28.4% 20.6% 35.5% 33.8% 20.6% HV 60d 26.6% 25.3% 27.5% 26.7% 25.3% IV Rank 12.4% 8.1% 18.5% 18.5% 11.1% IV Percentile 25.5% 8.3% 57.1% 57.1% 19.8% Term Structure 0.0% -0.9% 1.0% -0.4% -0.2% VWIV 29.2% 26.2% 32.8% 32.8% 27.5% Skew 25d 6.5% 6.0% 7.1% 6.6% 7.0% Skew 10d 11.9% 11.2% 13.6% 11.9% 12.9% Call IV 25d 26.3% 24.8% 29.0% 29.0% 25.8% Put IV 25d 32.8% 31.1% 35.6% 35.6% 32.9% Bid-Ask Spread % 7.03 3.00 15.48 6.59 5.64 Gamma HHI 0.07 0.06 0.09 0.06 0.08 Net GEX 101.7M -16.1M 181.5M -16.1M 76.8M Net DEX -293.7M -1.40B 1.41B 1.41B -257.6M Net VEX -13.1M -14.9M -11.5M -12.6M -11.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.11 1.32 0.83 0.43 Total Volume 134,527.05 53,018 256,202 256,202 157,463 Total OI 3,464,941.05 2,654,003 3,998,005 3,454,836 2,871,921
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 2019-09-03 $39.91 $42.00 32.0% 9.4% 33.8% 18.5% 32.8% 6.6% -0.4% -16.1M 1.41B -12.6M 0.83 6.59 N/A N/A 140,138 116,064 1,954,228 1,500,608 2019-09-04 $41.14 $42.00 31.7% 9.2% 35.1% 17.8% 30.2% 6.2% -0.9% 38.8M 462.3M -14.2M 0.38 3.00 N/A N/A 156,402 58,985 2,059,841 1,576,791 2019-09-05 $41.75 $40.00 30.6% 8.5% 35.5% 14.9% 28.2% 6.1% -0.6% 88.2M -155.5M -14.7M 0.54 10.04 N/A N/A 134,875 73,256 2,128,361 1,570,202 2019-09-06 $42.17 $40.00 29.5% 8.5% 34.2% 12.3% 30.4% 6.5% -0.0% 110.7M -585.2M -14.9M 0.35 4.33 N/A N/A 113,395 39,778 2,184,085 1,566,961 2019-09-09 $42.00 $40.00 30.2% 8.6% 34.1% 13.9% 26.9% 6.6% -0.1% 103.8M -309.5M -14.4M 0.35 4.23 N/A N/A 53,862 18,887 2,172,834 1,545,286 2019-09-10 $41.91 $40.00 29.8% 8.5% 32.7% 13.0% 31.4% 6.7% -0.0% 102.3M -219.7M -14.2M 0.74 4.03 N/A N/A 30,405 22,613 2,190,151 1,548,293 2019-09-11 $42.59 $40.00 29.3% 8.2% 32.7% 11.7% 29.1% 6.3% -0.7% 148.0M -909.2M -14.4M 0.81 7.67 N/A N/A 60,055 48,654 2,203,117 1,558,657 2019-09-12 $43.01 $40.00 28.4% 8.1% 28.1% 9.5% 30.8% 6.2% -0.1% 181.5M -1.40B -14.6M 1.32 4.56 N/A N/A 34,481 45,659 2,243,456 1,574,887 2019-09-13 $42.25 $41.00 30.1% 8.6% 29.0% 13.6% 28.0% 6.3% -0.3% 136.0M -550.3M -14.2M 0.36 6.94 N/A N/A 68,886 24,714 2,255,735 1,606,115 2019-09-16 $42.16 $41.00 31.0% 8.9% 29.0% 15.9% 28.3% 6.9% -0.4% 116.7M -400.7M -13.6M 0.11 7.17 N/A N/A 163,132 18,675 2,180,586 1,554,533 2019-09-17 $42.80 $41.00 29.7% 8.5% 28.5% 12.8% 30.5% 6.5% -0.3% 166.6M -1.09B -13.7M 0.42 4.27 N/A N/A 89,054 37,033 2,210,166 1,564,837 2019-09-18 $42.60 $42.00 29.6% 8.5% 28.5% 12.4% 31.0% 6.3% -0.4% 159.2M -863.2M -12.8M 0.74 6.45 N/A N/A 67,426 50,136 2,236,861 1,574,627 2019-09-19 $41.94 $42.00 28.4% 8.1% 28.4% 9.6% 28.6% 6.0% 0.2% 109.2M -59.6M -12.1M 0.74 6.48 N/A N/A 135,643 100,143 2,242,427 1,596,053 2019-09-20 $42.06 $42.00 27.9% 8.0% 27.2% 8.2% 28.5% 6.2% 0.4% 86.7M -259.7M -12.2M 0.80 11.11 N/A N/A 87,877 69,865 2,344,831 1,653,174 2019-09-23 $41.91 $42.00 27.9% 7.9% 23.7% 8.1% 26.4% 6.1% 0.9% 73.8M -62.5M -11.5M 0.41 8.30 N/A N/A 51,254 20,798 1,448,655 1,205,348 2019-09-24 $41.59 $42.00 29.3% 8.5% 22.3% 11.8% 29.6% 6.5% 0.8% 60.5M 96.9M -11.8M 0.67 12.23 N/A N/A 55,297 37,123 1,515,641 1,234,028 2019-09-25 $41.97 $42.00 28.9% 8.3% 22.1% 10.7% 29.3% 6.8% 0.8% 83.3M -164.6M -11.9M 1.02 5.36 N/A N/A 30,720 31,482 1,531,092 1,243,514 2019-09-26 $42.23 $42.00 28.5% 8.1% 22.1% 9.7% 26.2% 6.7% 1.0% 98.2M -314.6M -12.0M 0.49 6.72 N/A N/A 81,360 39,697 1,549,566 1,266,167 2019-09-27 $42.20 $42.00 29.3% 8.4% 21.1% 11.8% 29.6% 7.1% 0.8% 109.3M -241.9M -11.6M 0.38 15.48 N/A N/A 90,905 34,349 1,546,649 1,288,537 2019-09-30 $42.20 $42.00 29.1% 8.1% 20.6% 11.1% 27.5% 7.0% -0.2% 76.8M -257.6M -11.5M 0.43 5.64 N/A N/A 109,747 47,716 1,588,474 1,283,447
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