EWZ Options History — May 2020 In May 2020, EWZ traded between $21.93 and $27.70. ATM implied volatility averaged 55.3%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 5.6% (HV 20d: 60.9%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.83.
Notable Days 2020-05-26 : Highest Volume — 220,134 contracts2020-05-18 : Largest IV drop — 9.5% change2020-05-01 : Highest IV Rank — 34.0%2020-05-01 : Largest Expected Move — 19.5%Monthly Statistics Metric Avg Min Max Open Close Price $24.05 $21.93 $27.70 $23.76 $27.12 Max Pain $32.30 $25.00 $35.00 $25.00 $30.00 ATM IV 55.3% 45.6% 63.7% 63.7% 45.6% Expected Move 16.0% 13.3% 19.5% 19.5% 13.3% HV 20d 60.9% 53.3% 70.8% 70.8% 53.3% HV 60d 99.7% 98.3% 102.2% 98.4% 102.2% IV Rank 27.3% 19.6% 34.0% 34.0% 19.6% IV Percentile 82.3% 76.6% 87.3% 87.3% 76.6% Term Structure -0.4% -3.9% 1.7% -0.1% -0.9% VWIV 55.1% 47.2% 68.5% 68.5% 47.8% Skew 25d 15.8% 12.5% 18.7% 18.6% 12.5% Skew 10d 29.0% 21.8% 36.8% 34.8% 23.8% Call IV 25d 47.9% 40.6% 56.2% 56.2% 41.2% Put IV 25d 63.6% 53.7% 74.9% 74.9% 53.7% Bid-Ask Spread % 2.62 1.64 5.82 1.71 1.82 Gamma HHI 0.11 0.06 0.26 0.08 0.26 Net GEX 5.6M -12.3M 39.3M -3.5M 19.5M Net DEX 862.1M 11.4M 1.23B 1.04B 216.5M Net VEX -4.0M -5.6M -3.1M -3.9M -5.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.16 1.92 0.95 1.24 Total Volume 104,118.2 28,507 220,134 36,462 115,088 Total OI 1,997,452.8 1,791,842 2,258,302 1,909,130 2,258,302
Daily Data (20 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 2020-05-01 $23.76 $25.00 63.7% 19.5% 70.8% 34.0% 68.5% 18.6% -0.1% -3.5M 1.04B -3.9M 0.95 1.71 N/A N/A 18,738 17,724 1,062,438 846,692 2020-05-04 $23.80 $35.00 62.3% 17.8% 66.8% 32.8% 64.6% 17.9% -0.6% -2.9M 1.02B -3.8M 0.96 2.98 N/A N/A 34,587 33,100 1,027,485 803,386 2020-05-05 $23.69 $35.00 60.9% 17.2% 62.3% 31.8% 57.4% 16.9% 1.2% -6.5M 1.06B -3.7M 0.35 4.74 N/A N/A 55,610 19,380 1,006,086 831,879 2020-05-06 $23.13 $35.00 62.5% 18.0% 58.5% 33.0% 61.5% 17.9% -0.4% -7.7M 1.11B -3.5M 1.04 5.66 N/A N/A 23,808 24,733 1,048,820 842,021 2020-05-07 $22.48 $35.00 62.8% 18.5% 57.1% 33.3% 60.8% 18.0% 0.2% -11.7M 1.17B -3.3M 1.42 5.82 N/A N/A 40,709 57,733 1,050,371 850,158 2020-05-08 $23.41 $34.00 57.3% 17.3% 59.4% 28.9% 54.7% 15.8% 0.9% -2.6M 1.08B -3.6M 1.92 5.01 N/A N/A 30,926 59,453 1,075,834 875,332 2020-05-11 $22.63 $34.00 61.2% 17.1% 60.3% 31.9% 55.8% 16.2% -1.6% -7.9M 1.16B -3.3M 1.17 1.73 N/A N/A 18,170 21,305 1,053,829 853,063 2020-05-12 $22.21 $34.00 61.1% 17.9% 59.7% 31.8% 60.1% 17.7% 1.7% -10.3M 1.20B -3.1M 1.30 2.03 N/A N/A 32,045 41,581 1,056,981 863,803 2020-05-13 $21.93 $34.00 61.8% 17.8% 59.5% 32.5% 61.2% 18.7% -0.1% -12.3M 1.23B -3.1M 1.52 1.71 N/A N/A 11,313 17,194 1,071,936 883,740 2020-05-14 $22.48 $34.00 59.1% 17.1% 60.4% 30.3% 59.7% 16.6% 0.8% -11.5M 1.17B -3.2M 1.00 1.64 N/A N/A 58,557 58,670 1,076,332 876,957 2020-05-15 $22.24 $34.00 57.0% 16.4% 60.2% 28.6% 56.1% 15.3% 0.7% -5.5M 1.16B -3.3M 1.09 1.65 N/A N/A 28,402 30,926 1,123,435 905,820 2020-05-18 $23.73 $33.00 51.6% 14.8% 65.2% 24.3% 52.4% 15.0% -0.2% -1.8M 983.5M -3.7M 0.23 2.07 N/A N/A 80,811 18,350 995,272 796,570 2020-05-19 $23.57 $32.00 51.6% 14.8% 64.6% 24.4% 47.9% 14.7% 0.4% 5.0M 956.3M -3.7M 0.18 2.19 N/A N/A 161,130 29,394 1,054,239 805,548 2020-05-20 $23.95 $32.00 47.6% 13.6% 64.0% 21.1% 48.1% 15.4% 0.6% 18.4M 872.4M -3.9M 0.16 1.91 N/A N/A 91,300 14,445 1,201,176 828,267 2020-05-21 $24.80 $30.00 46.9% 13.4% 64.5% 20.6% 48.8% 13.2% 0.5% 35.1M 633.3M -4.4M 0.52 2.00 N/A N/A 129,026 67,470 1,278,065 833,910 2020-05-22 $24.55 $30.00 51.1% 14.8% 55.6% 23.9% 50.9% 14.1% -1.4% 39.3M 670.6M -4.5M 0.59 1.98 N/A N/A 90,914 53,806 1,343,902 874,343 2020-05-26 $26.68 $30.00 47.7% 13.7% 61.2% 21.2% 47.2% 13.0% -2.8% 34.7M 206.9M -5.1M 0.28 1.91 N/A N/A 171,861 48,273 1,316,074 868,952 2020-05-27 $27.70 $30.00 47.0% 13.6% 58.7% 20.7% 50.1% 13.6% -3.9% 23.5M 11.4M -5.5M 0.29 2.05 N/A N/A 140,649 40,514 1,327,105 895,305 2020-05-28 $27.11 $30.00 47.5% 13.9% 56.4% 21.1% 48.2% 14.0% -2.5% 20.5M 293.0M -5.4M 0.31 1.87 N/A N/A 72,466 22,203 1,268,101 917,527 2020-05-29 $27.12 $30.00 45.6% 13.3% 53.3% 19.6% 47.8% 12.5% -0.9% 19.5M 216.5M -5.6M 1.24 1.82 N/A N/A 51,492 63,596 1,329,822 928,480
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