EWZ Options History — July 2020 In July 2020, EWZ traded between $29.60 and $33.41. ATM implied volatility averaged 44.4%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 4.8% (HV 20d: 39.6%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.20.
Notable Days 2020-07-01 : Highest Volume — 174,339 contracts2020-07-23 : Largest IV spike — 11.6% change2020-07-02 : Highest IV Rank — 25.0%2020-07-02 : Largest Expected Move — 15.3%Monthly Statistics Metric Avg Min Max Open Close Price $31.55 $29.60 $33.41 $29.77 $32.45 Max Pain $30.32 $29.00 $31.00 $29.00 $31.00 ATM IV 44.4% 39.1% 52.4% 50.3% 42.8% Expected Move 12.8% 11.3% 15.3% 14.4% 12.7% HV 20d 39.6% 28.4% 56.5% 56.5% 30.5% HV 60d 53.7% 48.3% 57.7% 57.7% 48.4% IV Rank 18.6% 14.4% 25.0% 23.3% 17.4% IV Percentile 66.1% 60.7% 75.4% 73.8% 62.7% Term Structure -0.1% -0.7% 1.4% 0.2% -0.5% VWIV 45.9% 38.3% 54.2% 52.2% 45.8% Skew 25d 12.4% 10.7% 14.3% 14.2% 12.7% Skew 10d 23.6% 20.7% 27.4% 26.8% 24.2% Call IV 25d 38.9% 34.4% 45.7% 44.3% 37.6% Put IV 25d 51.2% 45.2% 60.0% 58.5% 50.3% Bid-Ask Spread % 2.42 1.79 4.53 2.21 1.96 Gamma HHI 0.07 0.06 0.10 0.07 0.07 Net GEX 18.4M 9.5M 32.3M 16.1M 11.7M Net DEX -310.0M -664.0M 52.7M 28.7M -290.1M Net VEX -9.2M -9.9M -8.5M -8.5M -9.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.20 0.47 3.03 0.49 0.82 Total Volume 81,807.818 27,116 174,339 174,339 134,434 Total OI 2,003,620.136 1,784,391 2,170,734 1,784,391 2,068,037
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 2020-07-01 $29.77 $29.00 50.3% 14.4% 56.5% 23.3% 52.2% 14.2% 0.2% 16.1M 28.7M -8.5M 0.49 2.21 N/A N/A 117,127 57,212 924,192 860,199 2020-07-02 $29.60 $29.00 52.4% 15.3% 56.5% 25.0% 53.9% 14.3% -0.1% 11.6M 22.2M -8.7M 1.72 2.06 N/A N/A 39,517 67,904 1,004,212 901,070 2020-07-06 $30.37 $30.00 49.3% 14.2% 54.9% 22.5% 54.2% 13.4% -0.7% 14.6M -136.2M -8.8M 0.86 2.12 N/A N/A 78,890 67,967 993,179 922,245 2020-07-07 $29.74 $30.00 51.3% 14.1% 51.9% 24.1% 50.3% 13.4% -0.5% 9.5M 52.7M -8.7M 1.47 2.01 N/A N/A 22,837 33,661 1,036,606 957,305 2020-07-08 $30.63 $30.00 48.2% 13.4% 53.3% 21.6% 48.7% 13.2% -0.5% 17.6M -223.3M -9.0M 1.28 1.79 N/A N/A 37,923 48,577 1,044,049 966,632 2020-07-09 $30.48 $30.00 47.1% 13.7% 52.4% 20.8% 45.9% 12.5% -0.2% 16.2M -170.8M -9.0M 1.74 1.99 N/A N/A 15,302 26,597 1,058,303 998,568 2020-07-10 $30.76 $30.00 44.3% 12.7% 40.2% 18.6% 47.2% 11.4% -0.3% 24.6M -258.9M -9.0M 0.91 2.27 N/A N/A 38,266 35,010 1,061,703 1,010,394 2020-07-13 $30.26 $30.00 45.8% 13.5% 37.8% 19.7% 45.2% 12.3% 1.4% 16.7M -77.5M -8.5M 1.07 3.81 N/A N/A 29,984 32,187 1,061,844 983,316 2020-07-14 $30.79 $30.00 45.4% 13.1% 36.3% 19.5% 46.0% 12.6% 0.5% 22.8M -257.2M -8.8M 0.82 2.87 N/A N/A 49,903 40,876 1,072,717 1,002,158 2020-07-15 $31.08 $30.00 43.9% 12.6% 36.3% 18.2% 42.8% 12.0% 0.3% 32.3M -387.8M -8.7M 0.77 2.23 N/A N/A 75,291 58,188 1,103,776 1,020,104 2020-07-16 $30.88 $30.00 42.3% 12.1% 36.0% 16.9% 44.3% 11.8% -0.2% 27.0M -270.4M -8.7M 1.29 1.93 N/A N/A 11,860 15,256 1,118,778 1,051,956 2020-07-17 $31.30 $30.00 40.7% 11.9% 35.4% 15.7% 38.9% 11.6% 1.3% 14.8M -483.5M -8.7M 1.23 1.85 N/A N/A 52,865 64,840 1,116,449 1,053,715 2020-07-20 $32.00 $30.00 39.4% 11.3% 35.7% 14.7% 39.9% 10.9% 0.1% 17.2M -259.6M -9.0M 0.89 2.23 N/A N/A 47,595 42,338 929,829 902,159 2020-07-21 $32.84 $31.00 39.1% 11.3% 36.4% 14.4% 40.1% 10.7% -0.3% 21.9M -522.4M -9.5M 0.90 3.54 N/A N/A 48,923 43,825 956,648 924,201 2020-07-22 $33.41 $31.00 39.9% 11.4% 35.7% 15.0% 38.3% 10.7% -0.0% 20.6M -664.0M -9.8M 0.47 4.53 N/A N/A 61,850 29,277 966,023 954,868 2020-07-23 $32.19 $31.00 44.5% 12.8% 34.3% 18.7% 46.0% 13.4% -0.6% 15.4M -288.6M -9.7M 3.03 2.57 N/A N/A 19,596 59,353 995,669 973,848 2020-07-24 $32.31 $31.00 43.4% 12.5% 34.2% 17.8% 45.6% 12.2% -0.7% 13.8M -308.7M -9.8M 1.52 2.08 N/A N/A 18,657 28,408 1,005,782 1,007,381 2020-07-27 $33.24 $31.00 42.3% 12.2% 29.8% 16.9% 44.8% 12.2% -0.6% 20.0M -566.7M -9.9M 1.22 2.05 N/A N/A 17,457 21,276 1,002,273 993,620 2020-07-28 $33.17 $31.00 42.8% 12.5% 29.6% 17.4% 48.9% 12.3% -0.2% 19.2M -537.3M -9.8M 1.04 2.10 N/A N/A 15,471 16,147 1,004,748 1,003,188 2020-07-29 $33.41 $31.00 40.3% 11.9% 29.5% 15.4% 46.6% 12.4% 0.0% 20.3M -606.7M -9.8M 2.03 2.72 N/A N/A 11,488 23,339 1,009,711 1,013,337 2020-07-30 $33.35 $31.00 40.9% 11.9% 28.4% 15.8% 44.9% 12.0% -0.4% 22.0M -615.1M -9.8M 0.88 2.39 N/A N/A 22,508 19,790 1,023,931 1,020,920 2020-07-31 $32.45 $31.00 42.8% 12.7% 30.5% 17.4% 45.8% 12.7% -0.5% 11.7M -290.1M -9.6M 0.82 1.96 N/A N/A 73,813 60,621 1,025,689 1,042,348
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