EWZ Options History — October 2020 In October 2020, EWZ traded between $26.88 and $29.85. ATM implied volatility averaged 43.3%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 12.5% (HV 20d: 30.8%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.68.
Notable Days 2020-10-05 : Highest Volume — 191,872 contracts2020-10-28 : Largest IV spike — 17.2% change2020-10-30 : Highest IV Rank — 26.0%2020-10-30 : Largest Expected Move — 16.2%Monthly Statistics Metric Avg Min Max Open Close Price $28.59 $26.88 $29.85 $27.55 $26.88 Max Pain $28.18 $28.00 $30.00 $30.00 $28.00 ATM IV 43.3% 39.9% 53.7% 42.8% 53.7% Expected Move 12.7% 11.3% 16.2% 11.8% 16.2% HV 20d 30.8% 22.2% 36.7% 33.9% 31.1% HV 60d 32.3% 31.1% 33.4% 32.4% 32.8% IV Rank 17.7% 15.1% 26.0% 17.3% 26.0% IV Percentile 53.7% 39.3% 75.8% 54.0% 75.8% Term Structure 0.4% -1.4% 4.1% 4.1% -0.6% VWIV 43.5% 38.5% 56.4% 41.7% 56.4% Skew 25d 8.3% 6.9% 12.9% 7.2% 12.9% Skew 10d 14.9% 12.1% 22.7% 12.2% 22.7% Call IV 25d 39.3% 36.5% 48.1% 38.5% 48.1% Put IV 25d 47.6% 44.0% 61.0% 45.7% 61.0% Bid-Ask Spread % 2.39 1.71 3.61 2.20 2.70 Gamma HHI 0.08 0.06 0.11 0.08 0.07 Net GEX 6.8M -27.7M 33.6M -24.3M -11.1M Net DEX 460.1M -16.1M 965.0M 899.9M 853.9M Net VEX -7.9M -8.4M -7.1M -8.0M -7.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.13 1.74 1.34 1.03 Total Volume 106,438.5 33,332 191,872 151,867 95,031 Total OI 2,455,657.273 2,193,340 2,635,427 2,389,296 2,526,182
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 2020-10-01 $27.55 $30.00 42.8% 11.8% 33.9% 17.3% 41.7% 7.2% 4.1% -24.3M 899.9M -8.0M 1.34 2.20 N/A N/A 64,935 86,932 1,175,425 1,213,871 2020-10-02 $27.36 $30.00 44.4% 12.3% 33.8% 18.6% 42.5% 7.5% 3.1% -27.7M 965.0M -8.0M 0.81 2.18 N/A N/A 89,940 73,279 1,198,343 1,242,320 2020-10-05 $28.31 $28.00 43.4% 13.3% 36.7% 17.9% 45.1% 7.8% 1.0% -5.4M 607.8M -8.3M 1.74 1.99 N/A N/A 69,994 121,878 1,194,847 1,245,341 2020-10-06 $28.11 $28.00 45.3% 13.3% 36.0% 19.4% 42.9% 8.6% 0.1% -3.5M 642.1M -8.2M 0.51 2.46 N/A N/A 123,839 63,637 1,232,332 1,222,351 2020-10-07 $27.91 $28.00 45.4% 13.5% 34.2% 19.4% 45.9% 8.5% 1.3% -5.5M 734.5M -8.1M 0.74 2.42 N/A N/A 38,364 28,320 1,311,375 1,234,126 2020-10-08 $28.71 $28.00 43.8% 12.8% 34.9% 18.1% 43.6% 7.9% 0.8% 17.2M 433.3M -8.3M 0.37 2.36 N/A N/A 71,728 26,388 1,324,499 1,246,469 2020-10-09 $28.98 $28.00 41.1% 12.3% 35.0% 16.0% 43.6% 7.9% 0.8% 23.4M 315.3M -8.4M 0.61 3.61 N/A N/A 71,144 43,439 1,367,709 1,259,578 2020-10-12 $29.30 $28.00 40.5% 12.3% 32.9% 15.5% 42.1% 7.3% 2.3% 17.5M 238.3M -8.4M 0.65 2.34 N/A N/A 36,034 23,593 1,290,628 1,258,679 2020-10-13 $29.05 $28.00 41.1% 11.9% 32.9% 16.0% 44.5% 7.2% 0.1% 13.5M 344.4M -8.1M 1.46 2.32 N/A N/A 32,066 46,864 1,288,218 1,256,471 2020-10-14 $29.13 $28.00 41.2% 12.0% 32.9% 16.1% 39.5% 7.2% 0.5% 17.0M 330.3M -8.1M 0.35 1.71 N/A N/A 46,114 16,155 1,295,222 1,273,172 2020-10-15 $29.04 $28.00 40.4% 11.6% 32.7% 15.4% 42.6% 6.9% 0.1% 19.8M 353.9M -7.9M 0.93 1.97 N/A N/A 54,611 50,568 1,317,847 1,277,052 2020-10-16 $28.63 $28.00 40.3% 11.3% 29.4% 15.3% 39.8% 7.0% -1.4% 2.6M 562.8M -7.7M 0.72 1.78 N/A N/A 63,371 45,391 1,329,905 1,305,522 2020-10-19 $28.85 $28.00 41.6% 12.0% 28.9% 16.4% 42.6% 7.3% -0.6% 5.8M 370.0M -7.8M 0.39 2.35 N/A N/A 57,554 22,541 1,131,767 1,061,573 2020-10-20 $29.45 $28.00 40.3% 11.5% 29.8% 15.4% 40.2% 8.2% 0.2% 19.3M 164.9M -8.0M 0.33 2.66 N/A N/A 57,340 18,979 1,168,114 1,070,476 2020-10-21 $29.38 $28.00 40.5% 11.6% 26.5% 15.5% 40.3% 7.3% -0.4% 21.0M 150.1M -8.1M 0.26 2.58 N/A N/A 26,549 6,783 1,202,182 1,079,459 2020-10-22 $29.85 $28.00 39.9% 11.5% 25.6% 15.1% 38.5% 8.2% -0.6% 33.6M -16.1M -8.1M 0.13 2.42 N/A N/A 141,040 18,982 1,202,526 1,083,314 2020-10-23 $29.51 $28.00 40.7% 11.8% 25.6% 15.7% 40.0% 8.0% -1.1% 28.3M 113.9M -8.0M 0.22 2.34 N/A N/A 88,685 19,741 1,302,374 1,094,602 2020-10-26 $29.44 $28.00 42.1% 12.3% 22.2% 16.8% 41.7% 8.8% 0.4% 20.9M 145.6M -8.0M 0.29 2.60 N/A N/A 43,010 12,365 1,318,957 1,065,462 2020-10-27 $28.73 $28.00 44.1% 13.0% 23.7% 18.4% 43.5% 8.4% -0.3% 7.2M 381.0M -7.5M 0.67 1.99 N/A N/A 34,601 23,274 1,343,121 1,068,367 2020-10-28 $27.30 $28.00 51.7% 15.7% 29.8% 24.4% 53.0% 12.8% -0.6% -7.9M 778.7M -7.3M 1.03 2.46 N/A N/A 71,864 73,941 1,350,685 1,082,672 2020-10-29 $27.53 $28.00 48.3% 14.6% 30.0% 21.7% 46.6% 10.7% -0.0% -12.1M 752.8M -7.3M 0.41 3.04 N/A N/A 100,082 40,701 1,381,360 1,129,965 2020-10-30 $26.88 $28.00 53.7% 16.2% 31.1% 26.0% 56.4% 12.9% -0.6% -11.1M 853.9M -7.1M 1.03 2.70 N/A N/A 46,741 48,290 1,413,227 1,112,955
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