EWZ Options History — April 2020 In April 2020, EWZ traded between $21.66 and $25.98. ATM implied volatility averaged 68.4%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded below realized volatility by 34.0% (HV 20d: 102.5%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.10.
Notable Days 2020-04-24 : Highest Volume — 244,757 contracts2020-04-22 : Largest IV drop — 12.0% change2020-04-01 : Highest IV Rank — 50.9%2020-04-01 : Largest Expected Move — 25.8%Monthly Statistics Metric Avg Min Max Open Close Price $24.35 $21.66 $25.98 $22.39 $24.77 Max Pain $26.62 $25.00 $35.00 $35.00 $25.00 ATM IV 68.4% 55.5% 85.0% 85.0% 58.9% Expected Move 19.6% 16.1% 25.8% 25.8% 17.5% HV 20d 102.5% 56.5% 152.6% 151.5% 69.5% HV 60d 94.3% 90.2% 98.2% 90.2% 98.2% IV Rank 37.7% 27.4% 50.9% 50.9% 30.1% IV Percentile 90.5% 86.1% 95.6% 95.6% 86.1% Term Structure -1.6% -4.3% 0.2% -3.5% 0.1% VWIV 70.2% 61.5% 94.7% 94.7% 64.8% Skew 25d 18.3% 16.1% 24.7% 24.7% 16.5% Skew 10d 35.8% 30.5% 51.2% 51.2% 31.9% Call IV 25d 59.4% 47.8% 73.5% 73.5% 51.6% Put IV 25d 77.7% 64.0% 98.2% 98.2% 68.1% Bid-Ask Spread % 5.47 1.91 10.36 10.29 1.94 Gamma HHI 0.09 0.06 0.28 0.09 0.09 Net GEX -1.1M -6.0M 8.7M -4.7M 7.1M Net DEX 1.11B 717.5M 1.36B 1.33B 875.0M Net VEX -3.8M -4.7M -2.7M -3.0M -4.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.10 0.39 2.08 1.16 1.60 Total Volume 67,390.714 17,960 244,757 57,212 69,246 Total OI 1,867,055 1,572,939 2,060,664 1,888,093 1,901,293
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 2020-04-01 $22.39 $35.00 85.0% 25.8% 151.5% 50.9% 94.7% 24.7% -3.5% -4.7M 1.33B -3.0M 1.16 10.29 N/A N/A 26,525 30,687 1,061,242 826,851 2020-04-02 $23.03 $28.00 79.7% 22.1% 152.1% 46.7% 79.4% 23.7% -2.4% -2.4M 1.31B -3.1M 0.75 9.85 N/A N/A 31,082 23,255 1,075,635 838,850 2020-04-03 $21.66 $28.00 80.6% 22.3% 152.6% 47.4% 81.8% 24.6% 0.1% -5.2M 1.36B -2.7M 1.35 6.57 N/A N/A 26,170 35,458 1,096,081 844,500 2020-04-06 $23.22 $27.00 76.9% 21.1% 148.7% 44.4% 74.5% 20.8% -3.2% -4.4M 1.30B -3.2M 0.54 7.38 N/A N/A 45,771 24,774 1,077,444 831,623 2020-04-07 $24.70 $27.00 73.7% 20.2% 147.1% 41.9% 73.5% 18.3% -3.3% -577.5K 1.18B -4.1M 0.99 10.36 N/A N/A 26,324 26,179 1,111,301 843,100 2020-04-08 $25.65 $27.00 70.3% 19.3% 144.0% 39.2% 68.9% 18.9% -2.3% 1.1M 1.12B -4.4M 1.16 8.50 N/A N/A 32,796 38,008 1,119,484 850,069 2020-04-09 $25.70 $27.00 69.4% 19.0% 130.7% 38.5% 64.8% 18.2% -4.3% -827.4K 1.11B -4.4M 1.64 5.86 N/A N/A 30,677 50,339 1,137,658 866,735 2020-04-13 $25.34 $27.00 70.7% 20.2% 124.4% 39.5% 71.3% 18.4% -2.1% -1.5M 1.21B -4.1M 0.91 6.44 N/A N/A 9,383 8,577 1,114,845 864,876 2020-04-14 $25.82 $27.00 64.6% 18.5% 109.5% 34.7% 68.3% 17.3% -0.1% 339.1K 1.18B -4.2M 0.93 4.52 N/A N/A 33,746 31,214 1,119,335 864,278 2020-04-15 $25.26 $27.00 66.4% 19.0% 108.0% 36.1% 65.2% 17.3% -1.1% -593.8K 1.19B -4.2M 1.10 4.72 N/A N/A 16,685 18,403 1,143,991 875,986 2020-04-16 $24.78 $27.00 65.8% 18.9% 86.8% 35.6% 66.4% 16.2% -1.1% -2.2M 1.25B -3.9M 0.76 4.27 N/A N/A 30,660 23,367 1,148,069 880,013 2020-04-17 $25.02 $26.00 64.3% 18.5% 82.5% 34.5% 63.8% 16.1% -0.8% 7.8M 1.22B -4.0M 0.66 4.05 N/A N/A 40,037 26,474 1,168,454 892,210 2020-04-20 $24.84 $26.00 66.2% 18.9% 82.4% 35.9% 69.6% 16.3% -1.5% -4.0M 956.1M -3.9M 0.96 5.44 N/A N/A 26,409 25,461 871,370 701,569 2020-04-21 $24.20 $25.00 70.8% 20.3% 76.0% 39.6% 70.7% 17.5% -3.2% -4.1M 979.1M -3.7M 1.16 5.39 N/A N/A 23,244 26,908 894,126 716,040 2020-04-22 $24.90 $25.00 62.3% 17.9% 64.1% 32.8% 64.8% 16.4% -0.8% -2.4M 949.1M -3.8M 2.02 5.30 N/A N/A 18,897 38,148 896,041 722,521 2020-04-23 $24.23 $25.00 61.9% 17.6% 56.5% 32.5% 63.9% 16.5% -1.5% -4.3M 1.03B -3.7M 2.08 4.72 N/A N/A 7,849 16,310 908,257 746,738 2020-04-24 $22.20 $25.00 68.5% 20.6% 63.8% 37.8% 70.6% 17.2% -1.3% -6.0M 1.11B -3.1M 1.22 2.97 N/A N/A 110,152 134,605 938,885 750,824 2020-04-27 $23.06 $25.00 64.5% 19.5% 63.8% 34.6% 68.7% 16.4% -0.5% -3.6M 1.05B -3.6M 1.16 1.91 N/A N/A 37,591 43,714 1,005,231 804,623 2020-04-28 $24.57 $25.00 61.0% 18.1% 67.8% 31.8% 66.0% 16.3% -0.2% -363.6K 929.4M -4.2M 0.56 1.96 N/A N/A 57,402 31,908 1,005,489 819,290 2020-04-29 $25.98 $25.00 55.5% 16.1% 69.8% 27.4% 61.5% 16.3% 0.2% 8.7M 717.5M -4.7M 0.39 2.39 N/A N/A 43,691 17,079 1,045,581 827,647 2020-04-30 $24.77 $25.00 58.9% 17.5% 69.5% 30.1% 64.8% 16.5% 0.1% 7.1M 875.0M -4.3M 1.60 1.94 N/A N/A 26,592 42,654 1,068,337 832,956
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