EWZ Options History — August 2020 In August 2020, EWZ traded between $29.31 and $31.95. ATM implied volatility averaged 41.4%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 12.4% (HV 20d: 29.0%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.15.
Notable Days 2020-08-21 : Highest Volume — 212,388 contracts2020-08-26 : Largest IV spike — 8.8% change2020-08-04 : Highest IV Rank — 18.9%2020-08-04 : Largest Expected Move — 13.8%Monthly Statistics Metric Avg Min Max Open Close Price $30.58 $29.31 $31.95 $31.78 $29.89 Max Pain $31.05 $30.00 $32.00 $31.00 $31.00 ATM IV 41.4% 39.5% 44.8% 43.9% 43.7% Expected Move 12.0% 11.3% 13.8% 13.2% 12.7% HV 20d 29.0% 26.0% 32.5% 30.7% 32.5% HV 60d 44.4% 39.9% 48.2% 48.2% 40.4% IV Rank 16.3% 14.8% 18.9% 18.2% 18.1% IV Percentile 59.1% 52.8% 65.9% 64.7% 63.5% Term Structure -0.2% -1.7% 1.4% -1.2% 0.8% VWIV 42.2% 36.8% 51.3% 47.7% 43.9% Skew 25d 10.1% 8.8% 12.6% 12.6% 9.4% Skew 10d 19.0% 16.4% 24.5% 24.5% 16.7% Call IV 25d 37.0% 34.6% 39.6% 38.6% 39.2% Put IV 25d 47.0% 44.4% 51.6% 51.2% 48.6% Bid-Ask Spread % 2.40 1.44 3.85 3.85 2.40 Gamma HHI 0.09 0.06 0.27 0.07 0.06 Net GEX -5.8M -33.7M 39.7M 7.8M -8.5M Net DEX 408.0M -74.2M 961.2M -44.8M 458.8M Net VEX -8.7M -9.4M -8.2M -9.4M -8.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.15 0.15 2.49 1.93 0.31 Total Volume 101,156.286 38,776 212,388 75,241 74,544 Total OI 2,306,488.667 2,079,511 2,621,620 2,079,511 2,172,696
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 2020-08-03 $31.78 $31.00 43.9% 13.2% 30.7% 18.2% 47.7% 12.6% -1.2% 7.8M -44.8M -9.4M 1.93 3.85 N/A N/A 25,668 49,573 1,029,761 1,049,750 2020-08-04 $31.38 $31.00 44.8% 13.8% 30.0% 18.9% 51.3% 12.0% -1.3% 1.5M 110.1M -9.2M 1.89 3.55 N/A N/A 38,942 73,664 1,033,023 1,074,410 2020-08-05 $31.90 $31.00 41.7% 12.5% 28.8% 16.5% 44.4% 10.2% -1.1% 4.7M -66.9M -9.3M 1.54 2.49 N/A N/A 26,660 41,063 1,050,701 1,118,814 2020-08-06 $31.95 $31.00 40.7% 11.4% 28.7% 15.7% 38.5% 11.1% -1.0% 5.7M -74.2M -9.3M 1.54 1.44 N/A N/A 22,296 34,355 1,063,839 1,134,727 2020-08-07 $31.20 $31.00 41.7% 11.8% 30.0% 16.5% 43.1% 11.2% -0.7% -4.1M 223.2M -9.0M 1.18 1.49 N/A N/A 52,550 61,845 1,075,865 1,142,804 2020-08-10 $31.12 $31.00 39.9% 11.3% 29.3% 15.0% 39.8% 10.1% 0.1% -6.2M 267.1M -8.8M 1.10 1.66 N/A N/A 28,756 31,662 1,063,285 1,156,365 2020-08-11 $31.07 $31.00 40.0% 11.4% 28.7% 15.1% 36.8% 10.2% 0.1% -6.6M 275.5M -8.9M 0.91 2.00 N/A N/A 43,153 39,329 1,075,934 1,172,330 2020-08-12 $30.68 $31.00 40.6% 11.5% 28.9% 15.6% 41.3% 10.4% -0.7% -13.1M 456.9M -8.6M 1.04 2.71 N/A N/A 53,581 55,919 1,095,491 1,190,166 2020-08-13 $30.82 $31.00 39.5% 11.4% 28.8% 14.8% 39.4% 9.7% 0.2% -12.9M 401.7M -8.9M 1.51 2.45 N/A N/A 35,501 53,657 1,128,953 1,225,575 2020-08-14 $30.68 $32.00 39.8% 11.4% 28.4% 15.0% 42.0% 9.0% -0.4% -12.7M 510.1M -8.8M 1.10 2.32 N/A N/A 43,354 47,829 1,144,181 1,256,628 2020-08-17 $29.68 $32.00 42.5% 12.2% 29.2% 17.1% 42.6% 10.6% 1.2% -25.7M 845.4M -8.3M 2.49 2.40 N/A N/A 42,963 106,868 1,146,036 1,235,646 2020-08-18 $30.69 $31.00 40.3% 11.5% 30.3% 15.4% 40.5% 9.6% 0.3% -14.4M 445.3M -9.0M 1.51 2.20 N/A N/A 68,526 103,362 1,169,792 1,316,030 2020-08-19 $29.95 $31.00 40.8% 11.7% 30.2% 15.8% 40.3% 9.3% 0.4% -30.0M 809.2M -8.7M 1.12 2.20 N/A N/A 27,839 31,309 1,199,295 1,390,843 2020-08-20 $30.02 $31.00 41.4% 11.9% 27.8% 16.3% 41.8% 8.8% -0.1% -28.8M 786.1M -8.7M 0.79 1.82 N/A N/A 101,213 80,407 1,205,049 1,382,716 2020-08-21 $29.56 $31.00 40.9% 11.6% 28.0% 15.8% 40.0% 9.3% 1.4% -33.7M 961.2M -8.4M 0.32 2.25 N/A N/A 161,245 51,143 1,247,379 1,374,241 2020-08-24 $29.91 $31.00 40.8% 11.6% 26.0% 15.8% 39.0% 9.7% -0.6% 8.5M 457.3M -8.4M 0.41 1.85 N/A N/A 37,440 15,180 1,095,345 1,141,789 2020-08-25 $30.16 $31.00 39.7% 11.3% 26.4% 14.9% 44.2% 9.0% -0.2% 16.9M 382.4M -8.4M 0.15 1.81 N/A N/A 68,361 10,549 1,115,335 1,143,671 2020-08-26 $29.31 $31.00 43.2% 12.5% 27.3% 17.7% 42.9% 10.3% 0.4% -5.6M 639.8M -8.2M 0.51 3.23 N/A N/A 71,263 36,010 1,099,261 1,145,690 2020-08-27 $29.51 $31.00 43.2% 12.8% 27.7% 17.7% 45.2% 10.3% -1.7% -5.3M 578.0M -8.3M 2.17 3.09 N/A N/A 12,238 26,538 1,116,841 1,160,119 2020-08-28 $30.82 $30.00 40.9% 11.5% 31.6% 15.9% 41.4% 8.8% -0.8% 39.7M 144.7M -8.8M 0.56 3.26 N/A N/A 88,459 49,468 1,124,748 1,171,138 2020-08-31 $29.89 $31.00 43.7% 12.7% 32.5% 18.1% 43.9% 9.4% 0.8% -8.5M 458.8M -8.4M 0.31 2.40 N/A N/A 56,978 17,566 1,011,136 1,161,560
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