EWZ Options History — November 2019

In November 2019, EWZ traded between $42.02 and $45.27. ATM implied volatility averaged 26.5%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 4.4% (HV 20d: 22.1%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2019-11-13: Highest Volume — 301,029 contracts
  • 2019-11-08: Largest IV spike — 11.1% change
  • 2019-11-18: Highest IV Rank — 29.5%
  • 2019-11-13: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.16$42.02$45.27$45.12$42.45
Max Pain$42.85$42.00$43.00$42.00$43.00
ATM IV26.5%24.2%28.5%26.0%24.5%
Expected Move7.9%7.2%8.4%7.2%7.5%
HV 20d22.1%19.1%24.5%22.7%21.2%
HV 60d23.3%20.6%25.8%25.8%20.6%
IV Rank15.1%0.0%29.5%10.6%2.5%
IV Percentile8.1%0.0%23.0%4.0%0.4%
Term Structure-0.0%-1.5%2.0%0.3%0.3%
VWIV27.1%25.2%31.1%25.6%26.1%
Skew 25d5.8%5.3%6.6%5.6%5.3%
Skew 10d10.0%8.3%12.3%11.2%8.8%
Call IV 25d23.5%21.3%25.2%22.9%21.6%
Put IV 25d29.2%26.7%31.4%28.5%27.0%
Bid-Ask Spread %4.721.6019.078.022.00
Gamma HHI0.110.080.200.120.09
Net GEX41.2M-78.0M133.9M109.6M26.9M
Net DEX-235.8M-2.19B741.7M-2.19B303.5M
Net VEX-11.2M-12.2M-10.2M-10.9M-10.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.191.570.190.61
Total Volume168,579.2529,686301,029202,20229,686
Total OI3,094,418.32,601,2983,391,7932,680,3103,267,074

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$45.12$42.0026.0%7.2%22.7%10.6%25.6%5.6%0.3%109.6M-2.19B-10.9M0.198.02N/AN/A169,98732,2151,381,5341,298,776
2019-11-04$45.09$43.0026.8%8.1%19.5%16.6%31.1%5.9%0.4%108.6M-1.72B-11.0M1.572.23N/AN/A102,220160,4431,327,6101,273,688
2019-11-05$45.27$42.0025.9%8.0%19.1%10.4%29.1%6.1%0.4%119.6M-1.94B-11.5M0.812.93N/AN/A63,61551,5401,415,1701,379,429
2019-11-06$44.34$42.0025.4%7.9%21.1%6.7%27.4%5.6%0.4%89.9M-1.17B-11.7M0.624.24N/AN/A173,975107,5341,463,0431,424,135
2019-11-07$44.51$43.0024.8%7.5%20.9%1.6%25.3%5.3%0.5%98.9M-1.32B-12.2M0.445.39N/AN/A86,52538,4141,536,3511,505,269
2019-11-08$43.10$43.0027.5%8.3%22.3%22.2%28.3%5.7%-0.1%10.3M8.4M-12.0M0.4519.07N/AN/A178,99781,3581,593,4731,535,117
2019-11-11$43.52$43.0027.2%8.0%22.3%19.6%28.3%6.0%0.1%57.6M-519.3M-12.1M1.115.08N/AN/A102,518114,3111,689,4431,555,359
2019-11-12$42.84$43.0027.8%8.3%23.1%24.3%27.6%6.3%0.7%14.5M247.9M-11.9M0.573.50N/AN/A138,56378,9891,742,0501,596,835
2019-11-13$42.40$43.0027.4%8.4%23.3%21.5%26.7%6.1%1.7%-25.3M741.7M-11.6M0.9517.60N/AN/A154,674146,3551,768,4491,623,344
2019-11-14$42.49$43.0027.4%8.3%23.2%21.2%27.4%5.8%2.0%-18.3M493.0M-11.3M0.851.60N/AN/A146,305124,0471,786,1661,596,787
2019-11-15$43.06$43.0026.2%7.7%23.5%12.4%27.5%5.5%0.6%-78.0M-224.1M-11.7M0.811.91N/AN/A70,34656,6461,802,7801,572,546
2019-11-18$42.18$43.0028.5%8.2%24.5%29.5%27.3%6.6%-0.9%3.8M561.9M-10.7M0.741.76N/AN/A68,11750,2791,532,8771,340,226
2019-11-19$42.02$43.0028.3%8.1%22.5%28.0%27.6%5.9%-1.2%-5.8M687.4M-10.7M0.821.88N/AN/A80,78166,1781,572,0231,382,429
2019-11-20$42.09$43.0027.8%8.0%21.7%24.7%26.4%6.1%-1.1%376.2K629.7M-10.8M0.231.77N/AN/A133,37130,5061,636,9101,433,424
2019-11-21$42.69$43.0026.8%7.7%22.5%18.1%26.4%5.5%-1.3%58.1M35.6M-11.3M0.597.93N/AN/A77,97645,8221,711,4101,434,884
2019-11-22$43.06$43.0025.9%7.6%22.4%11.0%25.8%5.9%-1.5%133.9M-338.0M-11.3M0.801.67N/AN/A58,20846,8431,737,1671,436,308
2019-11-25$42.82$43.0024.2%7.3%21.8%0.0%26.1%5.4%-0.5%74.5M-87.9M-10.7M1.131.98N/AN/A49,58655,8721,708,0401,416,285
2019-11-26$42.07$43.0025.8%7.9%22.3%13.2%27.0%5.5%-0.5%23.1M558.1M-10.5M0.701.77N/AN/A83,87658,8861,727,3441,445,007
2019-11-27$42.15$43.0025.2%7.7%21.6%8.2%25.2%5.3%-0.6%21.3M531.5M-10.4M0.922.13N/AN/A29,18626,8351,758,1381,481,466
2019-11-29$42.45$43.0024.5%7.5%21.2%2.5%26.1%5.3%0.3%26.9M303.5M-10.2M0.612.00N/AN/A18,47711,2091,772,5121,494,562