EWZ Options History — June 2020 In June 2020, EWZ traded between $27.48 and $33.22. ATM implied volatility averaged 51.6%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 6.9% (HV 20d: 58.6%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.07.
Notable Days 2020-06-12 : Highest Volume — 336,792 contracts2020-06-11 : Largest IV spike — 24.3% change2020-06-26 : Highest IV Rank — 30.5%2020-06-26 : Largest Expected Move — 17.3%Monthly Statistics Metric Avg Min Max Open Close Price $29.96 $27.48 $33.22 $27.48 $28.87 Max Pain $27.86 $26.00 $30.00 $30.00 $29.00 ATM IV 51.6% 42.8% 59.3% 46.1% 53.9% Expected Move 14.9% 12.0% 17.3% 13.4% 15.8% HV 20d 58.6% 50.2% 66.3% 50.4% 58.7% HV 60d 75.1% 59.0% 102.0% 101.6% 59.0% IV Rank 24.4% 17.3% 30.5% 19.9% 26.1% IV Percentile 78.2% 74.2% 82.9% 76.6% 76.6% Term Structure -0.7% -2.4% 0.6% -0.4% -0.3% VWIV 52.4% 41.9% 60.5% 52.8% 55.8% Skew 25d 12.7% 8.1% 17.2% 12.7% 15.2% Skew 10d 23.1% 14.5% 31.9% 21.9% 28.4% Call IV 25d 46.2% 38.6% 54.3% 39.3% 47.1% Put IV 25d 58.9% 49.6% 68.2% 52.0% 62.3% Bid-Ask Spread % 2.11 1.69 2.76 1.79 1.91 Gamma HHI 0.10 0.06 0.31 0.07 0.06 Net GEX 6.0M -16.1M 22.9M 9.8M 9.1M Net DEX 42.6M -982.8M 598.7M 386.0M 261.1M Net VEX -7.6M -8.2M -5.8M -5.8M -7.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.31 2.02 0.66 0.54 Total Volume 154,835.182 70,468 336,792 78,352 142,369 Total OI 2,215,322.318 1,614,275 2,674,361 2,125,973 1,852,362
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 2020-06-01 $27.48 $30.00 46.1% 13.4% 50.4% 19.9% 52.8% 12.7% -0.4% 9.8M 386.0M -5.8M 0.66 1.79 N/A N/A 47,147 31,205 1,233,661 892,312 2020-06-02 $28.95 $30.00 42.9% 12.8% 52.8% 17.4% 44.1% 11.8% -0.7% 13.7M 70.2M -6.2M 0.31 1.89 N/A N/A 106,392 32,806 1,261,440 903,809 2020-06-03 $30.52 $30.00 44.0% 13.4% 54.6% 18.3% 46.2% 10.2% -0.5% 16.5M -308.9M -6.8M 0.48 2.24 N/A N/A 144,749 70,067 1,302,823 924,308 2020-06-04 $30.29 $26.00 43.5% 12.5% 53.5% 17.9% 44.6% 11.4% -0.1% 16.6M -262.5M -6.9M 1.32 2.35 N/A N/A 61,549 81,303 1,373,886 961,595 2020-06-05 $31.64 $26.00 42.8% 12.0% 52.1% 17.3% 41.9% 8.1% -0.2% 19.9M -594.5M -7.2M 0.50 1.82 N/A N/A 203,281 101,090 1,380,295 991,357 2020-06-08 $33.22 $26.00 45.1% 12.6% 52.6% 19.2% 45.4% 8.6% -0.6% 22.3M -982.8M -7.8M 0.76 1.95 N/A N/A 102,963 77,775 1,425,010 1,015,990 2020-06-09 $32.89 $26.00 45.9% 12.9% 50.2% 19.8% 49.0% 8.3% -0.6% 22.9M -880.6M -8.1M 1.30 1.69 N/A N/A 37,146 48,285 1,460,893 1,062,644 2020-06-10 $31.95 $26.00 46.9% 13.2% 51.3% 20.6% 47.3% 10.3% -1.2% 19.0M -605.1M -8.0M 1.81 2.11 N/A N/A 82,315 148,899 1,482,087 1,075,446 2020-06-11 $29.12 $27.00 58.3% 16.2% 64.0% 29.7% 55.0% 11.4% -1.1% 650.0K 410.3M -7.7M 2.02 2.76 N/A N/A 78,518 158,919 1,482,613 1,169,897 2020-06-12 $30.38 $27.00 56.5% 16.1% 64.7% 28.3% 56.2% 13.2% -0.6% -3.5M -33.9M -8.1M 0.31 2.50 N/A N/A 256,799 79,993 1,505,553 1,168,808 2020-06-15 $29.40 $27.00 57.1% 16.4% 66.3% 28.7% 57.5% 14.4% -2.4% -905.5K 598.7M -7.7M 1.01 2.21 N/A N/A 85,017 86,249 1,328,266 1,116,105 2020-06-16 $29.34 $27.00 57.4% 16.4% 63.7% 28.9% 53.9% 14.2% -1.6% 1.5M 480.2M -7.8M 1.06 2.29 N/A N/A 63,765 67,864 1,351,909 1,076,467 2020-06-17 $29.86 $28.00 55.4% 15.9% 63.4% 27.4% 56.3% 13.5% -0.4% 1.7M 352.2M -8.0M 1.69 2.39 N/A N/A 52,569 89,099 1,380,646 1,094,388 2020-06-18 $29.30 $28.00 55.2% 15.9% 64.3% 27.2% 56.7% 13.4% -1.5% -1.5M 522.1M -7.7M 1.66 1.95 N/A N/A 31,807 52,878 1,395,070 1,111,025 2020-06-19 $29.81 $28.00 52.6% 15.1% 63.7% 25.1% 52.1% 13.5% -0.7% -16.1M 393.1M -7.7M 1.23 2.58 N/A N/A 42,716 52,518 1,408,106 1,119,542 2020-06-22 $29.70 $28.00 54.1% 15.6% 63.5% 26.3% 54.2% 13.3% -0.8% 3.2M 108.6M -7.6M 1.05 1.98 N/A N/A 47,206 49,725 809,878 804,397 2020-06-23 $30.57 $28.00 51.8% 14.9% 57.8% 24.5% 49.7% 13.1% -0.7% 7.4M -95.5M -8.1M 1.20 1.91 N/A N/A 65,532 78,457 836,626 825,614 2020-06-24 $29.22 $29.00 56.9% 16.6% 59.4% 28.5% 60.5% 15.3% -0.3% -1.5M 231.2M -7.7M 1.52 1.94 N/A N/A 75,821 115,455 852,200 851,693 2020-06-25 $29.53 $29.00 55.4% 15.9% 58.8% 27.4% 57.3% 14.9% -0.1% -1.2M 145.8M -8.2M 1.30 2.30 N/A N/A 30,683 39,785 898,346 907,246 2020-06-26 $28.24 $29.00 59.3% 17.3% 61.3% 30.5% 56.9% 17.2% 0.6% -8.9M 459.9M -7.8M 0.86 2.08 N/A N/A 56,873 49,076 912,967 920,500 2020-06-29 $28.84 $29.00 55.2% 16.1% 61.5% 27.2% 60.0% 16.5% -0.3% 813.3K 282.6M -7.8M 0.97 1.71 N/A N/A 40,537 39,172 914,081 895,230 2020-06-30 $28.87 $29.00 53.9% 15.8% 58.7% 26.1% 55.8% 15.2% -0.3% 9.1M 261.1M -7.8M 0.54 1.91 N/A N/A 92,312 50,057 942,092 910,270
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