EWZ Options History — February 2020

In February 2020, EWZ traded between $38.03 and $45.00. ATM implied volatility averaged 28.6%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 1.7% (HV 20d: 26.9%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.87.

Notable Days

  • 2020-02-03: Highest Volume — 283,426 contracts
  • 2020-02-24: Largest IV spike — 18.2% change
  • 2020-02-27: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.56$38.03$45.00$44.48$38.03
Max Pain$44.21$42.00$45.00$45.00$42.00
ATM IV28.6%23.3%46.5%27.7%46.5%
Expected Move8.3%6.7%14.2%8.2%14.2%
HV 20d26.9%25.4%30.0%25.9%27.3%
HV 60d22.0%20.9%24.3%22.0%24.0%
IV Rank44.3%14.8%100.0%42.8%100.0%
IV Percentile39.3%7.9%100.0%34.5%100.0%
Term Structure-0.4%-2.1%0.5%-0.3%-1.4%
VWIV28.5%23.5%50.1%25.9%50.1%
Skew 25d6.0%4.7%12.1%6.5%12.1%
Skew 10d10.5%7.3%22.0%11.5%22.0%
Call IV 25d25.8%21.4%42.0%24.6%42.0%
Put IV 25d31.8%26.0%54.1%31.1%54.1%
Bid-Ask Spread %1.621.123.151.553.15
Gamma HHI0.090.080.110.080.09
Net GEX3.0M-48.5M63.0M7.5M-30.6M
Net DEX730.7M-202.8M1.63B275.7M1.61B
Net VEX-8.1M-9.2M-6.6M-8.4M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.112.000.110.99
Total Volume136,833.63255,266283,426283,426213,316
Total OI1,903,933.4741,612,2342,129,5911,612,2341,853,171

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$44.48$45.0027.7%8.2%25.9%42.8%25.9%6.5%-0.3%7.5M275.7M-8.4M0.111.55N/AN/A256,33927,087834,970777,264
2020-02-04$44.68$45.0026.6%7.6%25.4%35.9%25.3%6.3%-0.6%42.4M55.8M-8.8M0.431.83N/AN/A71,39130,681976,922786,187
2020-02-05$45.00$45.0025.6%7.3%25.6%29.6%24.7%6.0%-0.2%63.0M-202.8M-9.2M0.761.90N/AN/A57,70443,9161,033,646793,212
2020-02-06$44.19$45.0026.4%7.5%26.2%34.2%26.1%6.1%0.4%27.3M291.9M-8.9M1.161.31N/AN/A53,78162,4571,059,772810,398
2020-02-07$43.52$45.0026.9%7.4%26.4%37.4%26.2%6.2%-0.4%-4.2M715.3M-8.5M1.421.30N/AN/A39,46155,9861,079,713837,353
2020-02-10$42.90$45.0026.6%7.6%26.6%35.6%25.3%5.9%-0.1%-17.6M962.1M-7.9M0.791.31N/AN/A72,15856,8141,061,677804,996
2020-02-11$43.84$45.0025.2%7.2%27.9%26.9%24.5%5.5%-0.0%22.9M456.0M-8.8M0.411.31N/AN/A127,18652,1391,115,610835,490
2020-02-12$44.16$45.0024.6%7.1%28.1%23.4%24.4%5.0%0.2%52.5M170.0M-9.1M0.661.35N/AN/A76,27850,1751,187,331848,579
2020-02-13$43.69$45.0025.4%7.2%27.5%28.5%24.7%5.0%-0.5%32.7M494.8M-8.9M0.901.36N/AN/A29,16226,1041,229,247863,421
2020-02-14$43.84$45.0023.8%6.9%27.6%18.4%24.1%4.8%0.5%30.7M494.5M-8.8M0.452.80N/AN/A60,59227,5641,235,936879,838
2020-02-18$43.28$44.0025.3%7.3%26.4%27.2%24.5%4.7%-0.5%2.9M686.4M-8.3M0.641.33N/AN/A58,79237,4171,226,928833,601
2020-02-19$43.90$44.0023.3%6.7%26.4%14.8%24.2%4.7%0.3%32.6M277.7M-8.5M1.041.28N/AN/A38,90840,3821,248,129825,164
2020-02-20$42.97$44.0024.2%6.9%26.6%20.5%23.5%4.7%0.3%-14.3M801.5M-8.0M0.951.12N/AN/A45,49743,3681,271,855829,753
2020-02-21$42.47$44.0026.5%7.6%25.7%35.2%26.2%4.9%-0.4%-26.7M990.9M-7.9M2.001.32N/AN/A51,679103,2631,291,066838,525
2020-02-24$40.44$44.0031.3%9.1%30.0%65.7%30.2%6.2%-0.3%-48.5M1.24B-7.1M0.631.55N/AN/A142,11889,064896,694771,723
2020-02-25$39.67$43.0034.1%10.1%28.4%83.1%35.0%6.1%-1.8%-40.0M1.39B-6.9M1.001.84N/AN/A74,00273,745915,055790,744
2020-02-26$39.20$43.0034.0%10.1%26.9%82.6%34.7%5.3%-0.8%-40.9M1.54B-6.8M1.051.38N/AN/A57,84660,867929,617830,318
2020-02-27$38.32$42.0039.8%11.6%27.3%100.0%41.1%7.7%-2.1%-34.8M1.63B-6.6M1.121.72N/AN/A90,804101,796946,016824,815
2020-02-28$38.03$42.0046.5%14.2%27.3%100.0%50.1%12.1%-1.4%-30.6M1.61B-7.0M0.993.15N/AN/A106,970106,346993,451859,720