EWZ Options History — October 2019 In October 2019, EWZ traded between $40.72 and $45.25. ATM implied volatility averaged 28.3%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 7.1% (HV 20d: 21.2%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.72.
Notable Days 2019-10-16 : Highest Volume — 285,333 contracts2019-10-11 : Largest IV drop — 7.8% change2019-10-08 : Highest IV Rank — 30.3%2019-10-02 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $42.70 $40.72 $45.25 $41.67 $44.43 Max Pain $41.65 $41.00 $42.00 $42.00 $42.00 ATM IV 28.3% 24.5% 32.8% 30.1% 25.2% Expected Move 8.1% 7.0% 9.2% 8.5% 7.3% HV 20d 21.2% 16.9% 23.4% 18.9% 23.2% HV 60d 26.5% 25.3% 27.4% 25.4% 26.2% IV Rank 14.4% 0.0% 30.3% 13.8% 5.0% IV Percentile 22.4% 0.0% 72.6% 36.1% 0.8% Term Structure -0.2% -1.5% 0.8% -0.3% 0.2% VWIV 28.1% 25.3% 31.0% 30.5% 27.1% Skew 25d 6.3% 5.3% 7.7% 7.3% 5.8% Skew 10d 11.6% 10.0% 14.0% 13.3% 10.7% Call IV 25d 25.1% 21.5% 28.6% 26.5% 22.5% Put IV 25d 31.4% 27.2% 36.3% 33.8% 28.4% Bid-Ask Spread % 7.28 2.97 19.84 5.00 4.53 Gamma HHI 0.11 0.07 0.20 0.07 0.14 Net GEX 101.0M 2.0M 206.3M 46.8M 134.2M Net DEX -736.3M -2.23B 651.4M 154.8M -1.60B Net VEX -10.8M -11.6M -10.3M -11.2M -10.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.11 2.13 0.49 0.81 Total Volume 121,412.391 30,885 285,333 64,858 100,167 Total OI 2,619,687.261 2,350,848 2,834,330 2,574,986 2,640,581
Daily Data (23 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 2019-10-01 $41.67 $42.00 30.1% 8.5% 18.9% 13.8% 30.5% 7.3% -0.3% 46.8M 154.8M -11.2M 0.49 5.00 N/A N/A 43,395 21,463 1,386,985 1,188,001 2019-10-02 $40.84 $42.00 31.5% 9.2% 17.4% 17.2% 30.8% 7.4% -0.1% 2.0M 651.4M -10.9M 0.29 12.75 N/A N/A 151,769 43,664 1,369,425 1,197,020 2019-10-03 $41.24 $41.00 31.5% 8.9% 16.9% 17.2% 31.0% 7.2% -0.1% 36.3M 255.4M -11.3M 0.66 8.46 N/A N/A 72,296 48,036 1,484,754 1,216,611 2019-10-04 $42.11 $41.00 29.6% 8.5% 18.2% 12.4% 28.4% 6.8% -0.1% 137.9M -536.3M -11.6M 0.58 4.84 N/A N/A 72,825 41,982 1,521,161 1,220,543 2019-10-07 $40.93 $41.00 31.6% 8.9% 20.7% 17.6% 29.4% 7.4% -0.3% 34.4M 429.6M -10.8M 1.04 3.29 N/A N/A 48,015 50,161 1,400,807 1,187,951 2019-10-08 $40.72 $41.00 32.8% 8.9% 20.8% 30.3% 29.2% 7.7% -1.5% 23.9M 591.1M -10.7M 0.31 10.08 N/A N/A 74,616 23,483 1,404,501 1,211,425 2019-10-09 $41.20 $41.00 31.8% 9.0% 20.4% 26.6% 29.3% 7.1% -0.3% 48.9M 239.5M -11.0M 0.11 8.58 N/A N/A 156,295 16,718 1,447,389 1,219,406 2019-10-10 $41.11 $41.00 31.3% 8.8% 19.9% 24.8% 28.6% 7.0% -0.6% 52.8M 280.1M -10.9M 0.77 7.81 N/A N/A 30,526 23,654 1,514,423 1,224,092 2019-10-11 $42.35 $41.00 28.9% 8.3% 22.0% 17.6% 29.1% 6.9% 0.8% 130.5M -684.7M -11.2M 0.77 19.84 N/A N/A 86,076 66,680 1,509,552 1,236,017 2019-10-14 $42.02 $41.00 28.6% 8.2% 22.2% 21.6% 28.4% 6.3% 0.1% 100.1M -392.0M -10.6M 1.31 2.97 N/A N/A 29,311 38,528 1,423,182 1,216,630 2019-10-15 $41.90 $42.00 27.6% 7.9% 21.4% 16.5% 27.7% 6.3% -0.1% 99.0M -244.6M -10.5M 0.99 4.36 N/A N/A 63,873 63,136 1,431,533 1,239,673 2019-10-16 $42.22 $42.00 28.0% 8.0% 21.6% 18.7% 28.8% 5.8% -0.1% 118.3M -533.6M -10.5M 0.27 6.22 N/A N/A 225,469 59,864 1,435,047 1,244,997 2019-10-17 $42.03 $42.00 28.2% 8.1% 20.9% 19.4% 27.9% 5.9% 0.2% 156.5M -498.3M -10.7M 0.29 3.50 N/A N/A 133,632 39,362 1,565,546 1,262,269 2019-10-18 $42.43 $42.00 27.6% 8.0% 21.2% 16.5% 27.8% 5.7% -0.3% 206.3M -945.0M -10.7M 0.61 3.08 N/A N/A 65,387 40,079 1,558,767 1,275,563 2019-10-21 $42.72 $42.00 27.6% 7.9% 21.2% 16.0% 26.6% 5.7% -0.8% 107.7M -690.2M -10.3M 0.85 6.89 N/A N/A 16,674 14,211 1,252,063 1,098,785 2019-10-22 $43.84 $42.00 26.8% 7.6% 22.7% 12.0% 27.1% 5.8% -0.4% 114.1M -1.46B -10.6M 0.30 15.27 N/A N/A 152,329 45,978 1,271,268 1,112,823 2019-10-23 $44.45 $42.00 25.8% 7.4% 23.0% 6.4% 25.8% 5.8% -0.2% 122.9M -1.94B -10.7M 0.39 5.06 N/A N/A 104,929 41,415 1,325,655 1,142,732 2019-10-24 $44.18 $42.00 26.4% 7.5% 23.1% 9.8% 25.4% 5.3% -0.5% 126.6M -1.73B -10.7M 0.65 7.35 N/A N/A 79,196 51,722 1,352,390 1,167,833 2019-10-25 $44.59 $42.00 25.3% 7.2% 23.2% 3.9% 26.9% 5.6% -0.2% 137.4M -2.13B -11.1M 1.12 3.45 N/A N/A 52,441 58,651 1,406,900 1,201,052 2019-10-28 $45.14 $42.00 25.3% 7.2% 23.4% 3.4% 27.7% 5.6% 0.0% 126.0M -2.13B -10.8M 2.13 3.46 N/A N/A 16,471 35,110 1,337,794 1,189,078 2019-10-29 $44.66 $42.00 25.4% 7.4% 23.3% 4.2% 27.0% 5.8% 0.6% 129.9M -1.80B -10.8M 0.65 7.11 N/A N/A 59,462 38,443 1,351,593 1,209,853 2019-10-30 $45.25 $42.00 24.5% 7.0% 21.8% 0.0% 25.3% 5.7% 0.3% 130.9M -2.23B -10.6M 1.22 13.60 N/A N/A 42,793 52,198 1,364,999 1,234,138 2019-10-31 $44.43 $42.00 25.2% 7.3% 23.2% 5.0% 27.1% 5.8% 0.2% 134.2M -1.60B -10.7M 0.81 4.53 N/A N/A 55,438 44,729 1,366,535 1,274,046
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