EWZ Options History — March 2020 In March 2020, EWZ traded between $20.66 and $38.99. ATM implied volatility averaged 86.7%, placing in the 77.8% IV rank vs the trailing year. The 30-day expected move averaged 25.0%. IV traded below realized volatility by 14.3% (HV 20d: 101.0%). Max pain ranged from $35.00 to $42.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 1.23.
Notable Days 2020-03-11 : Highest Volume — 297,896 contracts2020-03-09 : Largest IV spike — 40.7% change2020-03-06 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 42.1%Monthly Statistics Metric Avg Min Max Open Close Price $27.94 $20.66 $38.99 $38.99 $23.55 Max Pain $38.95 $35.00 $42.00 $42.00 $35.00 ATM IV 86.7% 36.3% 146.9% 37.0% 80.1% Expected Move 25.0% 10.8% 42.1% 11.3% 23.5% HV 20d 101.0% 27.3% 152.7% 29.0% 151.6% HV 60d 63.3% 24.5% 90.1% 24.7% 89.8% IV Rank 77.8% 47.0% 100.0% 62.8% 47.0% IV Percentile 98.6% 94.8% 100.0% 99.2% 94.8% Term Structure -4.8% -21.7% -0.3% -0.3% -2.6% VWIV 87.5% 38.1% 142.2% 39.3% 84.7% Skew 25d 25.1% 8.4% 41.1% 9.8% 25.1% Skew 10d 47.8% 14.4% 97.3% 17.2% 48.0% Call IV 25d 74.9% 31.6% 123.0% 32.3% 66.2% Put IV 25d 100.0% 40.0% 162.2% 42.1% 91.3% Bid-Ask Spread % 24.90 1.52 58.66 1.52 9.33 Gamma HHI 0.07 0.05 0.09 0.09 0.07 Net GEX -11.5M -31.4M -3.0M -30.3M -4.0M Net DEX 1.59B 1.20B 2.15B 1.20B 1.36B Net VEX -4.7M -7.3M -2.8M -7.2M -3.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.23 0.36 3.98 0.99 1.21 Total Volume 113,444.636 37,843 297,896 141,198 37,843 Total OI 2,110,873.955 1,820,020 2,516,656 1,820,020 1,946,159
Daily Data (22 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 2020-03-02 $38.99 $42.00 37.0% 11.3% 29.0% 62.8% 39.3% 9.8% -0.3% -30.3M 1.20B -7.2M 0.99 1.52 N/A N/A 71,001 70,197 982,664 837,356 2020-03-03 $38.64 $42.00 39.1% 12.3% 27.4% 71.1% 38.1% 10.2% -1.6% -28.8M 1.27B -7.2M 0.76 1.85 N/A N/A 118,377 90,251 1,009,017 861,752 2020-03-04 $38.75 $42.00 36.3% 10.8% 27.3% 60.0% 38.5% 8.4% -1.3% -30.1M 1.26B -7.3M 0.85 1.70 N/A N/A 49,927 42,561 1,070,717 883,791 2020-03-05 $36.42 $42.00 43.0% 12.0% 32.9% 86.1% 38.2% 10.9% -1.5% -31.4M 1.78B -6.2M 0.70 2.11 N/A N/A 99,734 69,649 1,085,930 893,056 2020-03-06 $34.88 $42.00 48.4% 13.1% 34.9% 100.0% 44.3% 12.1% -1.0% -27.6M 2.00B -5.7M 0.88 2.70 N/A N/A 123,314 108,212 1,111,397 910,783 2020-03-09 $30.11 $41.00 68.1% 18.0% 59.4% 100.0% 60.0% 19.2% -5.8% -16.0M 2.15B -4.1M 1.46 2.47 N/A N/A 52,295 76,433 1,149,803 914,715 2020-03-10 $32.72 $40.00 53.8% 14.8% 69.5% 69.8% 49.0% 18.5% -1.6% -19.0M 1.96B -5.5M 0.36 6.61 N/A N/A 100,035 35,779 1,184,591 929,010 2020-03-11 $29.45 $40.00 75.7% 20.7% 75.3% 100.0% 65.5% 26.6% -4.8% -10.7M 1.99B -4.8M 0.76 9.66 N/A N/A 169,079 128,817 1,258,168 935,070 2020-03-12 $24.87 $40.00 104.5% 28.4% 91.2% 100.0% 101.5% 16.6% -8.8% -6.8M 1.91B -3.9M 2.09 55.99 N/A N/A 29,652 61,953 1,400,627 978,647 2020-03-13 $27.74 $40.00 98.6% 27.0% 103.4% 92.9% 97.7% 18.1% -2.4% -6.5M 1.82B -5.5M 0.71 52.97 N/A N/A 65,880 46,736 1,419,817 985,949 2020-03-16 $23.57 $40.00 125.2% 35.0% 114.2% 100.0% 115.7% 37.4% -3.8% -4.2M 1.73B -4.3M 1.28 56.10 N/A N/A 28,772 36,920 1,403,010 997,264 2020-03-17 $24.98 $39.00 121.0% 34.5% 118.4% 96.0% 130.3% 39.7% -6.8% -4.1M 1.77B -4.6M 1.39 53.75 N/A N/A 22,047 30,736 1,419,957 1,000,136 2020-03-18 $21.00 $39.00 146.9% 42.1% 128.0% 100.0% 142.2% 39.2% -21.7% -3.6M 1.70B -3.2M 2.06 49.09 N/A N/A 32,495 66,883 1,434,638 1,015,130 2020-03-19 $22.78 $39.00 130.5% 37.6% 134.6% 87.0% 139.0% 41.1% -11.5% -3.3M 1.60B -4.3M 1.79 58.66 N/A N/A 48,483 86,901 1,464,110 990,286 2020-03-20 $22.54 $39.00 118.3% 34.4% 134.7% 77.3% 111.7% 35.8% -6.6% -3.7M 1.67B -3.6M 0.63 29.45 N/A N/A 90,239 56,893 1,496,214 1,020,442 2020-03-23 $20.66 $36.00 125.8% 37.4% 136.0% 83.3% 135.0% 37.0% -6.8% -4.2M 1.33B -2.8M 3.98 23.49 N/A N/A 15,492 61,704 1,026,634 852,792 2020-03-24 $23.29 $36.00 106.3% 31.8% 146.5% 67.8% 120.8% 32.0% -6.9% -3.6M 1.31B -3.7M 1.13 32.09 N/A N/A 19,151 21,545 1,045,190 840,289 2020-03-25 $25.43 $36.00 94.0% 29.0% 152.0% 58.0% 99.6% 31.4% -3.3% -3.0M 1.29B -4.4M 1.00 31.96 N/A N/A 32,057 32,033 1,056,302 848,749 2020-03-26 $25.71 $36.00 84.3% 24.3% 152.4% 50.3% 90.9% 28.6% -1.3% -3.2M 1.28B -4.4M 1.44 22.02 N/A N/A 20,424 29,393 1,057,815 864,375 2020-03-27 $24.51 $36.00 85.7% 25.0% 152.7% 51.4% 88.6% 28.4% -2.2% -5.0M 1.34B -3.8M 0.90 35.70 N/A N/A 31,620 28,587 1,072,484 875,423 2020-03-30 $24.14 $35.00 84.8% 26.1% 151.7% 50.7% 93.4% 26.4% -2.1% -4.7M 1.34B -3.7M 0.61 8.60 N/A N/A 34,644 21,038 1,060,801 848,167 2020-03-31 $23.55 $35.00 80.1% 23.5% 151.6% 47.0% 84.7% 25.1% -2.6% -4.0M 1.36B -3.3M 1.21 9.33 N/A N/A 17,119 20,724 1,091,339 854,820
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