EWZ Options History — November 2020 In November 2020, EWZ traded between $27.07 and $33.99. ATM implied volatility averaged 39.3%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 2.7% (HV 20d: 36.7%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.80.
Notable Days 2020-11-20 : Highest Volume — 234,218 contracts2020-11-04 : Largest IV drop — 15.3% change2020-11-02 : Highest IV Rank — 24.5%2020-11-02 : Largest Expected Move — 16.0%Monthly Statistics Metric Avg Min Max Open Close Price $31.49 $27.07 $33.99 $27.07 $33.24 Max Pain $29.20 $28.00 $30.00 $28.00 $30.00 ATM IV 39.3% 34.8% 51.8% 51.8% 37.1% Expected Move 11.7% 10.5% 16.0% 16.0% 11.7% HV 20d 36.7% 28.4% 41.2% 28.4% 34.3% HV 60d 34.8% 32.6% 36.0% 32.6% 34.5% IV Rank 14.6% 11.0% 24.5% 24.5% 12.8% IV Percentile 35.4% 24.2% 74.2% 74.2% 27.0% Term Structure -0.1% -2.2% 3.0% -0.5% 0.7% VWIV 41.0% 35.2% 53.9% 50.1% 40.3% Skew 25d 8.1% 5.9% 13.0% 12.8% 6.4% Skew 10d 15.0% 10.9% 24.8% 24.6% 11.4% Call IV 25d 36.0% 32.9% 45.2% 45.2% 34.2% Put IV 25d 44.0% 39.1% 58.0% 58.0% 40.6% Bid-Ask Spread % 2.69 2.31 3.60 2.31 2.73 Gamma HHI 0.10 0.06 0.22 0.06 0.14 Net GEX 49.2M -4.0M 103.5M -4.0M 62.8M Net DEX -611.4M -1.30B 798.2M 798.2M -836.1M Net VEX -7.5M -7.9M -6.9M -6.9M -7.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.19 2.35 0.83 0.67 Total Volume 129,955.65 63,958 234,218 76,637 85,812 Total OI 2,479,942.9 2,310,955 2,713,983 2,310,955 2,493,970
Daily Data (20 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 2020-11-02 $27.07 $28.00 51.8% 16.0% 28.4% 24.5% 50.1% 12.8% -0.5% -4.0M 798.2M -6.9M 0.83 2.31 N/A N/A 41,910 34,727 1,230,815 1,080,140 2020-11-03 $27.56 $28.00 49.2% 15.1% 29.2% 22.5% 53.9% 13.0% -0.5% 71.9K 688.5M -7.0M 0.98 3.09 N/A N/A 70,482 69,032 1,230,815 1,080,140 2020-11-04 $28.36 $28.00 41.7% 12.0% 30.9% 16.5% 46.4% 10.8% 0.1% 20.2M 454.9M -7.0M 0.94 2.52 N/A N/A 80,813 76,326 1,295,231 1,078,547 2020-11-05 $29.80 $29.00 39.6% 11.6% 34.2% 14.8% 40.2% 9.9% 0.3% 45.5M -170.7M -7.5M 0.29 2.58 N/A N/A 84,557 24,257 1,324,548 1,115,756 2020-11-06 $30.84 $29.00 37.1% 11.2% 36.0% 12.8% 40.1% 9.0% 1.0% 49.5M -598.3M -7.6M 0.41 2.75 N/A N/A 84,417 34,382 1,324,341 1,118,551 2020-11-09 $31.55 $29.00 39.0% 11.2% 36.6% 14.3% 40.1% 6.7% -0.3% 50.1M -769.4M -7.7M 0.23 3.60 N/A N/A 146,695 34,071 1,269,754 1,097,502 2020-11-10 $31.84 $29.00 36.9% 11.0% 36.3% 12.7% 36.1% 6.1% 1.3% 55.1M -856.9M -7.7M 0.23 2.38 N/A N/A 106,944 24,800 1,301,841 1,111,432 2020-11-11 $31.70 $29.00 37.0% 10.9% 36.4% 12.7% 42.1% 6.9% 0.6% 53.1M -776.4M -7.4M 2.20 2.62 N/A N/A 19,963 43,995 1,323,891 1,124,362 2020-11-12 $30.62 $29.00 40.7% 11.9% 38.9% 15.7% 44.6% 8.5% 1.1% 36.2M -302.0M -7.4M 1.65 2.73 N/A N/A 39,084 64,370 1,325,762 1,143,895 2020-11-13 $31.37 $29.00 36.7% 11.1% 39.1% 12.5% 38.3% 5.9% 3.0% 45.7M -605.7M -7.4M 1.10 2.36 N/A N/A 39,091 42,979 1,332,105 1,177,632 2020-11-16 $31.95 $29.00 37.7% 10.9% 39.4% 13.3% 38.1% 7.2% -0.9% 56.6M -825.8M -7.3M 0.55 2.72 N/A N/A 130,826 71,908 1,327,821 1,170,770 2020-11-17 $32.94 $29.00 37.5% 10.8% 40.1% 13.1% 38.7% 7.7% -0.8% 67.2M -1.26B -7.5M 0.43 2.39 N/A N/A 98,197 41,986 1,339,027 1,213,454 2020-11-18 $32.41 $29.00 40.4% 11.6% 40.7% 15.5% 41.9% 6.9% -2.2% 60.3M -1.04B -7.5M 0.95 3.18 N/A N/A 99,321 93,992 1,363,327 1,227,001 2020-11-19 $32.83 $30.00 40.0% 11.5% 40.6% 15.1% 41.5% 7.7% -1.2% 64.7M -1.21B -7.9M 2.35 2.81 N/A N/A 22,905 53,823 1,420,307 1,262,749 2020-11-20 $32.16 $30.00 39.8% 11.5% 41.2% 15.0% 39.5% 7.5% -1.3% 37.3M -920.3M -7.7M 0.52 2.32 N/A N/A 154,392 79,826 1,419,788 1,294,195 2020-11-23 $32.34 $30.00 37.5% 11.2% 41.2% 13.2% 40.1% 7.2% -0.4% 40.9M -548.1M -7.7M 0.42 2.60 N/A N/A 115,116 48,159 1,305,774 1,149,358 2020-11-24 $33.43 $30.00 36.7% 10.8% 40.8% 12.5% 36.7% 7.7% -0.4% 61.4M -953.8M -7.8M 0.49 2.64 N/A N/A 94,244 46,113 1,290,745 1,147,684 2020-11-25 $33.83 $30.00 35.5% 10.5% 34.5% 11.6% 35.2% 6.8% -0.8% 78.3M -1.20B -7.8M 0.19 2.74 N/A N/A 104,783 20,024 1,341,880 1,174,193 2020-11-27 $33.99 $30.00 34.8% 10.6% 34.5% 11.0% 37.2% 6.2% -1.3% 103.5M -1.30B -7.7M 0.65 2.65 N/A N/A 45,288 29,503 1,390,421 1,179,334 2020-11-30 $33.24 $30.00 37.1% 11.7% 34.3% 12.8% 40.3% 6.4% 0.7% 62.8M -836.1M -7.4M 0.67 2.73 N/A N/A 51,432 34,380 1,345,845 1,148,125
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