EWZ Options History — December 2019 In December 2019, EWZ traded between $43.08 and $47.66. ATM implied volatility averaged 22.6%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.4% (HV 20d: 17.2%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.79.
Notable Days 2019-12-13 : Highest Volume — 872,967 contracts2019-12-27 : Largest IV spike — 10.3% change2019-12-30 : Highest IV Rank — 28.2%2019-12-03 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $45.56 $43.08 $47.66 $43.08 $47.39 Max Pain $44.00 $42.50 $45.00 $43.00 $45.00 ATM IV 22.6% 20.9% 25.4% 22.6% 25.3% Expected Move 6.7% 6.1% 7.5% 7.3% 7.3% HV 20d 17.2% 14.0% 21.5% 21.1% 14.6% HV 60d 20.6% 20.1% 20.9% 20.7% 20.1% IV Rank 8.3% 0.0% 28.2% 0.0% 27.6% IV Percentile 3.0% 0.0% 11.5% 0.0% 10.7% Term Structure 0.6% -0.2% 1.7% 0.1% 0.5% VWIV 23.5% 18.6% 27.2% 25.5% 27.2% Skew 25d 5.1% 3.0% 6.7% 5.6% 6.7% Skew 10d 9.1% 6.3% 12.9% 8.7% 12.9% Call IV 25d 20.5% 19.0% 22.9% 19.7% 22.6% Put IV 25d 25.6% 23.0% 29.5% 25.3% 29.3% Bid-Ask Spread % 2.25 1.32 8.77 1.97 3.17 Gamma HHI 0.16 0.10 0.30 0.10 0.17 Net GEX 156.3M 41.3M 268.8M 41.3M 151.7M Net DEX -1.67B -2.89B -179.6M -179.6M -2.15B Net VEX -10.1M -11.3M -8.7M -10.0M -11.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.12 1.56 0.51 1.00 Total Volume 178,706.524 25,795 872,967 172,117 53,573 Total OI 3,062,039 2,697,226 3,381,848 2,992,245 2,861,732
Daily Data (21 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 2019-12-02 $43.08 $43.00 22.6% 7.3% 21.1% 0.0% 25.5% 5.6% 0.1% 41.3M -179.6M -10.0M 0.51 1.97 N/A N/A 113,694 58,423 1,520,560 1,471,685 2019-12-03 $43.14 $42.50 23.1% 7.5% 21.1% 3.6% 26.3% 5.2% 0.3% 58.0M -273.5M -10.1M 1.46 1.87 N/A N/A 23,880 34,828 1,567,506 1,501,833 2019-12-04 $43.59 $42.50 21.9% 7.1% 21.5% 0.0% 23.5% 4.8% 0.5% 87.9M -712.8M -9.8M 0.38 1.66 N/A N/A 51,470 19,461 1,573,567 1,520,196 2019-12-05 $44.03 $43.00 22.1% 6.7% 20.7% 1.1% 22.8% 4.9% 0.7% 122.1M -1.19B -10.0M 0.38 2.00 N/A N/A 84,601 31,800 1,595,408 1,527,987 2019-12-06 $44.75 $43.00 21.5% 6.3% 21.5% 0.0% 21.6% 4.8% 0.7% 158.8M -1.98B -9.7M 0.60 2.06 N/A N/A 90,437 54,220 1,618,664 1,543,997 2019-12-09 $44.62 $43.00 22.3% 6.4% 17.8% 5.1% 24.2% 4.7% 0.1% 154.3M -1.75B -9.5M 1.03 2.09 N/A N/A 76,734 79,182 1,612,248 1,545,109 2019-12-10 $44.36 $43.00 22.5% 6.8% 17.7% 6.7% 24.4% 4.5% 1.2% 131.3M -1.40B -9.6M 0.63 1.61 N/A N/A 55,893 35,129 1,641,969 1,595,750 2019-12-11 $44.91 $43.00 21.6% 6.4% 17.0% 1.0% 23.9% 4.0% 0.8% 179.9M -2.01B -9.2M 0.86 1.88 N/A N/A 68,938 59,123 1,651,321 1,612,326 2019-12-12 $45.84 $43.00 20.9% 6.2% 17.5% 0.0% 21.8% 3.8% 1.1% 203.4M -2.89B -8.9M 0.58 2.45 N/A N/A 81,379 47,429 1,639,336 1,646,897 2019-12-13 $45.65 $43.00 21.2% 6.1% 17.7% 1.7% 18.6% 3.0% -0.2% 210.1M -2.70B -8.7M 0.12 8.77 N/A N/A 781,165 91,802 1,667,372 1,671,818 2019-12-16 $45.56 $45.00 22.3% 6.4% 17.4% 8.3% 22.2% 4.8% 0.6% 139.9M -990.7M -9.6M 1.41 1.72 N/A N/A 91,954 129,885 1,370,683 1,614,338 2019-12-17 $45.59 $45.00 22.1% 6.3% 15.1% 7.0% 23.4% 5.1% 0.9% 129.4M -999.8M -9.9M 0.71 1.50 N/A N/A 52,065 37,004 1,395,899 1,690,330 2019-12-18 $46.16 $45.00 22.9% 6.6% 15.1% 12.4% 23.7% 4.9% 0.4% 212.4M -1.71B -10.0M 0.49 1.48 N/A N/A 148,492 73,230 1,427,594 1,710,069 2019-12-19 $46.52 $45.00 22.1% 6.3% 15.1% 7.1% 23.1% 5.6% 0.9% 268.8M -2.16B -10.3M 0.66 1.72 N/A N/A 159,340 104,899 1,517,234 1,757,880 2019-12-20 $46.18 $45.00 23.1% 6.6% 15.3% 13.7% 20.6% 5.4% 0.4% 214.6M -1.93B -10.6M 0.31 1.32 N/A N/A 401,486 122,986 1,539,671 1,842,177 2019-12-23 $46.64 $45.00 22.6% 6.4% 15.3% 10.7% 23.3% 5.1% 0.5% 145.4M -1.61B -11.1M 1.56 1.87 N/A N/A 36,816 57,594 1,326,068 1,371,158 2019-12-24 $46.59 $45.00 22.5% 6.3% 15.0% 9.7% 22.1% 5.5% 0.5% 151.2M -1.60B -11.3M 0.18 1.71 N/A N/A 21,951 3,844 1,358,548 1,404,962 2019-12-26 $47.66 $45.00 22.2% 6.4% 14.0% 8.0% 21.4% 5.2% 1.7% 191.2M -2.57B -11.0M 1.17 1.62 N/A N/A 32,795 38,499 1,356,127 1,407,110 2019-12-27 $47.25 $45.00 24.5% 7.1% 14.9% 22.4% 25.5% 6.0% 0.2% 168.9M -2.17B -11.3M 1.34 2.71 N/A N/A 56,697 76,227 1,369,832 1,434,583 2019-12-30 $47.34 $45.00 25.4% 7.3% 15.0% 28.2% 27.2% 6.6% 0.3% 161.2M -2.14B -11.1M 1.26 2.06 N/A N/A 50,473 63,439 1,373,736 1,447,539 2019-12-31 $47.39 $45.00 25.3% 7.3% 14.6% 27.6% 27.2% 6.7% 0.5% 151.7M -2.15B -11.0M 1.00 3.17 N/A N/A 26,747 26,826 1,382,588 1,479,144
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