EWZ Options History — September 2020 In September 2020, EWZ traded between $27.27 and $31.27. ATM implied volatility averaged 43.5%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 6.9% (HV 20d: 36.6%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.13.
Notable Days 2020-09-24 : Highest Volume — 284,319 contracts2020-09-03 : Largest IV spike — 9.6% change2020-09-03 : Highest IV Rank — 21.9%2020-09-08 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $29.86 $27.27 $31.27 $30.97 $27.70 Max Pain $30.79 $30.00 $32.00 $30.50 $30.00 ATM IV 43.5% 39.3% 48.5% 43.2% 43.4% Expected Move 12.4% 11.2% 13.9% 12.3% 11.7% HV 20d 36.6% 33.5% 39.8% 35.0% 34.1% HV 60d 34.3% 32.4% 39.8% 39.8% 33.0% IV Rank 17.9% 14.6% 21.9% 17.7% 17.8% IV Percentile 59.8% 45.6% 72.2% 62.3% 58.7% Term Structure 0.9% -0.8% 3.8% 1.5% 3.8% VWIV 43.6% 38.9% 50.6% 44.2% 41.9% Skew 25d 8.7% 7.3% 11.0% 9.2% 7.7% Skew 10d 15.6% 12.3% 20.3% 16.7% 12.9% Call IV 25d 39.2% 35.0% 43.3% 38.0% 39.0% Put IV 25d 47.9% 42.8% 53.8% 47.2% 46.7% Bid-Ask Spread % 3.33 2.43 8.04 2.47 3.16 Gamma HHI 0.08 0.06 0.13 0.07 0.08 Net GEX -4.4M -23.5M 14.9M 4.4M -20.8M Net DEX 387.3M -87.3M 1.04B 102.6M 929.2M Net VEX -8.6M -9.3M -7.5M -8.9M -8.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.13 0.40 2.53 0.52 1.60 Total Volume 113,638.952 29,713 284,319 96,093 100,276 Total OI 2,349,821.286 2,046,264 2,564,012 2,215,888 2,545,548
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 2020-09-01 $30.97 $30.50 43.2% 12.3% 35.0% 17.7% 44.2% 9.2% 1.5% 4.4M 102.6M -8.9M 0.52 2.47 N/A N/A 63,427 32,666 1,049,325 1,166,563 2020-09-02 $31.05 $31.00 44.3% 12.4% 34.5% 18.5% 43.6% 9.3% 1.1% 7.1M 61.6M -9.0M 0.57 3.28 N/A N/A 37,613 21,288 1,063,748 1,165,340 2020-09-03 $31.09 $31.00 48.5% 13.8% 34.5% 21.9% 49.2% 11.0% 0.0% 10.5M 37.4M -9.1M 0.40 5.27 N/A N/A 88,084 35,480 1,090,476 1,187,352 2020-09-04 $31.20 $31.00 45.9% 13.1% 33.5% 19.8% 47.4% 10.3% 0.3% 14.9M -54.5M -9.2M 0.49 8.04 N/A N/A 85,345 41,920 1,130,267 1,205,217 2020-09-08 $30.46 $31.00 48.1% 13.9% 34.5% 21.6% 50.6% 10.0% 0.2% 5.0M 157.8M -9.2M 1.34 2.90 N/A N/A 22,725 30,370 1,166,297 1,186,263 2020-09-09 $31.27 $31.00 44.3% 12.7% 35.9% 18.5% 42.1% 9.7% -0.6% 14.2M -87.3M -9.3M 1.29 3.34 N/A N/A 54,940 71,026 1,166,098 1,208,646 2020-09-10 $30.34 $31.00 44.2% 12.9% 37.2% 18.4% 41.7% 9.8% 1.0% -2.0M 269.3M -8.9M 1.56 2.83 N/A N/A 55,863 87,414 1,181,872 1,232,115 2020-09-11 $30.05 $32.00 43.9% 12.5% 37.3% 18.2% 40.3% 9.1% -0.8% -21.2M 409.2M -8.8M 1.05 2.57 N/A N/A 34,621 36,253 1,208,183 1,266,134 2020-09-14 $31.07 $31.00 40.8% 11.7% 39.2% 15.8% 41.9% 8.4% 0.8% 7.0M 39.5M -8.9M 2.28 2.64 N/A N/A 18,168 41,436 1,193,697 1,264,483 2020-09-15 $30.90 $31.00 40.2% 11.5% 37.3% 15.3% 38.9% 7.7% 0.2% 2.0M 127.9M -8.7M 0.67 2.48 N/A N/A 43,686 29,078 1,195,287 1,287,708 2020-09-16 $31.06 $31.00 39.5% 11.3% 35.4% 14.7% 39.8% 8.0% 1.0% 7.3M 36.6M -8.8M 1.49 3.11 N/A N/A 24,795 37,049 1,222,016 1,290,564 2020-09-17 $31.20 $31.00 39.3% 11.2% 34.2% 14.6% 40.9% 7.8% 1.0% 12.9M -23.4M -9.0M 0.88 2.43 N/A N/A 34,956 30,723 1,232,395 1,313,403 2020-09-18 $29.85 $31.00 41.5% 11.9% 37.9% 16.3% 41.8% 8.0% 0.0% -14.7M 588.3M -8.5M 0.99 3.12 N/A N/A 77,016 76,119 1,245,411 1,318,601 2020-09-21 $29.29 $31.00 42.8% 12.3% 38.1% 17.4% 45.9% 8.6% 0.5% -11.9M 585.5M -8.1M 2.53 2.73 N/A N/A 27,875 70,387 996,548 1,049,716 2020-09-22 $29.15 $31.00 42.6% 12.3% 37.9% 17.2% 46.0% 8.3% 0.7% -11.6M 624.2M -8.1M 2.27 3.63 N/A N/A 9,078 20,635 1,021,273 1,076,813 2020-09-23 $28.12 $31.00 44.8% 12.7% 39.6% 19.0% 42.6% 9.0% 0.9% -20.1M 888.1M -7.5M 0.64 3.87 N/A N/A 52,944 33,619 1,026,296 1,079,813 2020-09-24 $28.85 $30.00 43.3% 12.3% 39.7% 17.7% 43.9% 7.9% 0.8% -11.2M 673.9M -8.0M 0.60 3.35 N/A N/A 178,003 106,316 1,061,433 1,096,232 2020-09-25 $28.53 $30.00 42.9% 12.2% 39.8% 17.4% 44.2% 7.3% 0.7% -19.5M 767.3M -7.9M 0.63 3.42 N/A N/A 129,386 81,383 1,126,402 1,150,779 2020-09-28 $27.60 $30.00 45.5% 13.1% 37.5% 19.5% 44.9% 8.3% 3.1% -20.2M 963.2M -7.9M 0.80 2.78 N/A N/A 147,925 118,611 1,185,441 1,172,706 2020-09-29 $27.27 $30.00 44.9% 12.6% 36.4% 19.1% 44.0% 8.3% 3.0% -23.5M 1.04B -8.1M 1.09 2.47 N/A N/A 46,775 51,144 1,277,155 1,242,631 2020-09-30 $27.70 $30.00 43.4% 11.7% 34.1% 17.8% 41.9% 7.7% 3.8% -20.8M 929.2M -8.1M 1.60 3.16 N/A N/A 38,555 61,721 1,280,579 1,264,969
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