EWZ Options History — January 2020 In January 2020, EWZ traded between $43.61 and $48.36. ATM implied volatility averaged 25.3%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 5.7% (HV 20d: 19.5%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.18.
Notable Days 2020-01-17 : Highest Volume — 288,445 contracts2020-01-27 : Largest IV spike — 14.3% change2020-01-31 : Highest IV Rank — 53.5%2020-01-31 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $46.31 $43.61 $48.36 $48.36 $43.61 Max Pain $46.26 $45.00 $47.00 $45.50 $45.00 ATM IV 25.3% 22.9% 29.4% 24.0% 29.4% Expected Move 7.2% 6.5% 8.8% 6.7% 8.8% HV 20d 19.5% 15.6% 24.8% 15.6% 24.3% HV 60d 19.9% 19.0% 21.6% 19.4% 21.6% IV Rank 27.4% 12.2% 53.5% 19.1% 53.5% IV Percentile 15.5% 6.0% 53.6% 7.1% 53.6% Term Structure -0.1% -1.3% 0.6% 0.6% -0.0% VWIV 25.7% 22.7% 30.5% 26.8% 30.5% Skew 25d 5.9% 5.0% 6.7% 5.7% 6.6% Skew 10d 11.1% 9.7% 12.8% 11.8% 12.8% Call IV 25d 22.5% 20.5% 26.5% 21.2% 26.5% Put IV 25d 28.5% 25.6% 33.1% 27.0% 33.1% Bid-Ask Spread % 1.76 1.55 2.01 1.72 1.86 Gamma HHI 0.15 0.07 0.25 0.20 0.07 Net GEX 55.4M -23.7M 191.1M 190.6M -10.4M Net DEX -683.8M -2.93B 977.4M -2.93B 977.4M Net VEX -9.2M -10.4M -8.2M -10.2M -8.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.18 0.17 2.59 0.83 1.59 Total Volume 127,162.667 55,090 288,445 178,468 87,239 Total OI 2,328,512.429 1,502,749 2,967,362 2,751,521 1,768,165
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 2020-01-02 $48.36 $45.50 24.0% 6.7% 15.6% 19.1% 26.8% 5.7% 0.6% 190.6M -2.93B -10.2M 0.83 1.72 N/A N/A 97,741 80,727 1,339,305 1,412,216 2020-01-03 $48.18 $45.50 24.8% 7.0% 15.8% 24.2% 27.1% 5.9% 0.5% 191.1M -2.81B -10.4M 1.36 1.65 N/A N/A 58,781 79,854 1,377,428 1,433,098 2020-01-06 $47.27 $47.00 26.1% 7.6% 17.8% 32.8% 26.2% 6.7% -0.1% 144.0M -1.80B -10.1M 2.18 1.94 N/A N/A 78,591 171,167 1,352,615 1,438,451 2020-01-07 $47.15 $47.00 26.5% 7.6% 17.3% 35.4% 26.9% 6.4% -0.3% 110.0M -1.45B -10.2M 0.78 1.55 N/A N/A 40,393 31,663 1,327,365 1,483,248 2020-01-08 $47.19 $47.00 26.6% 7.6% 17.2% 35.8% 26.3% 6.6% -0.0% 113.2M -1.49B -10.2M 0.47 1.65 N/A N/A 60,894 28,630 1,334,884 1,504,051 2020-01-09 $46.66 $47.00 25.7% 7.1% 17.7% 29.8% 25.2% 6.4% 0.0% 92.4M -925.3M -9.9M 0.83 1.89 N/A N/A 114,808 94,912 1,353,565 1,511,352 2020-01-10 $46.30 $47.00 25.1% 7.3% 17.6% 26.5% 24.8% 5.9% 0.1% 55.2M -453.6M -9.9M 1.39 2.01 N/A N/A 39,221 54,416 1,404,907 1,562,455 2020-01-13 $46.59 $47.00 25.5% 7.1% 16.3% 28.8% 25.6% 6.0% -0.8% 79.0M -910.2M -9.4M 2.00 1.73 N/A N/A 18,349 36,741 1,371,050 1,498,833 2020-01-14 $46.76 $47.00 24.3% 6.9% 16.2% 21.5% 23.4% 5.9% -0.4% 95.1M -1.11B -9.2M 1.25 1.63 N/A N/A 31,130 38,811 1,376,780 1,503,227 2020-01-15 $45.82 $47.00 24.6% 7.0% 17.9% 22.8% 25.0% 5.9% 0.2% -15.8M -34.2M -8.9M 1.88 1.76 N/A N/A 59,551 111,791 1,395,495 1,521,931 2020-01-16 $45.72 $47.00 25.0% 6.9% 17.9% 25.7% 24.7% 5.7% -0.9% -23.7M -123.2M -8.9M 2.59 1.77 N/A N/A 33,380 86,516 1,419,153 1,506,490 2020-01-17 $46.70 $46.00 23.1% 6.5% 18.9% 13.7% 23.6% 5.3% -1.3% 56.6M -1.37B -8.6M 0.24 1.62 N/A N/A 233,384 55,061 1,434,929 1,522,712 2020-01-21 $45.78 $46.00 24.3% 6.9% 20.1% 21.4% 24.4% 5.7% -0.3% 6.2M -39.9M -8.8M 2.00 1.70 N/A N/A 19,331 38,731 744,694 758,055 2020-01-22 $46.41 $46.00 23.4% 6.7% 20.5% 15.4% 24.3% 5.3% 0.1% 19.2M -334.1M -9.0M 0.17 1.99 N/A N/A 87,418 15,246 758,590 775,859 2020-01-23 $47.11 $46.00 22.9% 6.6% 20.9% 12.2% 23.0% 5.0% 0.1% 65.1M -759.3M -9.0M 0.29 1.79 N/A N/A 138,914 39,665 792,191 780,565 2020-01-24 $46.52 $46.00 23.8% 6.9% 21.4% 18.4% 22.7% 5.6% -0.2% 10.7M -369.8M -9.0M 1.14 1.84 N/A N/A 37,114 42,221 812,951 792,137 2020-01-27 $44.88 $46.00 27.3% 8.0% 23.2% 40.0% 28.1% 6.2% 0.0% -9.1M 471.1M -8.4M 1.15 1.58 N/A N/A 56,531 64,881 770,814 781,871 2020-01-28 $45.74 $45.50 26.1% 7.6% 24.3% 32.3% 26.7% 5.8% 0.5% -525.6K 79.9M -8.8M 0.91 1.65 N/A N/A 35,201 32,178 804,866 820,939 2020-01-29 $45.06 $45.50 25.6% 7.6% 24.8% 29.3% 25.3% 6.4% 0.5% -510.1K 439.1M -8.4M 0.62 1.79 N/A N/A 44,818 27,791 829,799 834,072 2020-01-30 $44.67 $45.50 26.8% 7.9% 24.8% 36.9% 28.1% 6.0% 0.4% -4.3M 578.6M -8.4M 1.03 1.79 N/A N/A 82,082 84,543 851,546 836,107 2020-01-31 $43.61 $45.00 29.4% 8.8% 24.3% 53.5% 30.5% 6.6% -0.0% -10.4M 977.4M -8.2M 1.59 1.86 N/A N/A 33,688 53,551 899,705 868,460
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