EWZ Options History — December 2020 In December 2020, EWZ traded between $34.82 and $37.82. ATM implied volatility averaged 36.8%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 3.9% (HV 20d: 32.8%). Max pain ranged from $30.00 to $37.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.65.
Notable Days 2020-12-11 : Highest Volume — 840,159 contracts2020-12-21 : Largest IV spike — 8.3% change2020-12-22 : Highest IV Rank — 13.7%2020-12-22 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $36.59 $34.82 $37.82 $34.82 $37.00 Max Pain $35.14 $30.00 $37.00 $30.00 $37.00 ATM IV 36.8% 35.2% 39.3% 35.3% 37.1% Expected Move 10.6% 10.2% 11.3% 11.3% 10.5% HV 20d 32.8% 26.2% 36.7% 36.6% 26.4% HV 60d 33.8% 31.7% 35.7% 35.7% 31.7% IV Rank 12.0% 10.9% 13.7% 11.4% 11.5% IV Percentile 24.2% 19.4% 30.2% 23.8% 24.6% Term Structure 0.5% -0.7% 1.6% 1.6% 0.7% VWIV 37.7% 34.6% 42.0% 42.0% 37.5% Skew 25d 5.5% 4.2% 6.6% 5.9% 6.3% Skew 10d 10.4% 7.5% 12.9% 10.3% 12.9% Call IV 25d 34.7% 33.3% 37.2% 33.8% 34.4% Put IV 25d 40.2% 37.5% 42.8% 39.7% 40.7% Bid-Ask Spread % 2.58 2.09 3.75 2.92 2.76 Gamma HHI 0.15 0.12 0.23 0.14 0.14 Net GEX 90.6M 38.0M 152.0M 96.3M 63.3M Net DEX -1.39B -2.78B -531.5M -1.64B -786.1M Net VEX -8.4M -8.7M -7.5M -7.5M -8.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.10 1.21 1.18 0.94 Total Volume 198,374.636 23,082 840,159 232,244 62,824 Total OI 2,602,779.182 1,936,214 3,160,330 2,526,432 2,352,277
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 2020-12-01 $34.82 $30.00 35.3% 11.3% 36.6% 11.4% 42.0% 5.9% 1.6% 96.3M -1.64B -7.5M 1.18 2.92 N/A N/A 106,385 125,859 1,360,044 1,166,388 2020-12-02 $34.91 $31.00 36.2% 11.2% 36.7% 12.1% 38.8% 5.7% 0.9% 93.5M -1.66B -7.7M 0.22 2.69 N/A N/A 247,126 53,412 1,376,195 1,250,824 2020-12-03 $35.49 $33.00 36.5% 10.7% 36.2% 12.4% 36.8% 4.7% 0.4% 110.4M -2.05B -8.0M 0.37 3.75 N/A N/A 264,055 97,054 1,512,094 1,285,569 2020-12-04 $36.08 $33.00 35.4% 10.6% 33.3% 11.5% 37.3% 4.2% 1.6% 112.6M -2.35B -8.5M 0.42 2.27 N/A N/A 196,887 83,062 1,591,262 1,360,771 2020-12-07 $35.99 $33.00 38.2% 11.0% 32.2% 13.7% 38.3% 4.5% 0.1% 109.3M -2.05B -8.5M 0.87 3.60 N/A N/A 132,065 114,666 1,620,591 1,357,819 2020-12-08 $36.16 $33.00 36.5% 10.6% 31.8% 12.4% 36.6% 4.5% 0.6% 116.3M -2.12B -8.5M 0.90 2.30 N/A N/A 94,602 85,260 1,661,747 1,413,821 2020-12-09 $35.57 $33.00 36.8% 10.5% 32.8% 12.6% 34.6% 4.3% -0.2% 101.6M -1.70B -8.5M 0.46 2.31 N/A N/A 166,181 75,937 1,711,567 1,448,763 2020-12-10 $37.43 $35.00 35.2% 10.3% 36.3% 11.3% 35.9% 4.3% 0.5% 139.0M -2.78B -8.4M 0.37 2.20 N/A N/A 123,592 45,344 1,631,418 1,427,144 2020-12-11 $37.16 $35.00 35.9% 10.4% 33.1% 11.9% 35.6% 4.3% 1.0% 130.4M -2.50B -8.3M 0.10 2.17 N/A N/A 766,233 73,926 1,622,712 1,448,581 2020-12-14 $36.34 $36.00 36.7% 10.6% 34.5% 12.4% 38.5% 5.1% -0.7% 91.0M -675.5M -8.2M 0.39 2.44 N/A N/A 126,265 49,090 1,253,792 1,379,093 2020-12-15 $37.05 $36.00 36.4% 10.5% 34.6% 11.5% 38.9% 5.9% 0.2% 117.2M -1.13B -8.6M 0.49 2.09 N/A N/A 34,067 16,700 1,322,630 1,412,813 2020-12-16 $37.53 $36.00 36.1% 10.3% 33.6% 11.3% 38.0% 6.1% 0.5% 134.7M -1.51B -8.6M 0.90 2.29 N/A N/A 72,093 64,982 1,339,638 1,425,121 2020-12-17 $37.82 $36.00 37.0% 10.6% 32.5% 12.0% 37.3% 5.5% 0.1% 152.0M -1.70B -8.6M 0.64 2.14 N/A N/A 144,637 92,941 1,367,130 1,458,885 2020-12-18 $37.62 $37.00 36.1% 10.2% 32.7% 11.2% 36.0% 5.2% 1.3% 57.1M -1.35B -8.5M 0.92 2.78 N/A N/A 87,680 80,713 1,342,703 1,488,345 2020-12-21 $36.66 $37.00 39.1% 11.2% 33.3% 13.5% 39.7% 5.8% -0.0% 41.0M -588.4M -8.3M 0.66 2.68 N/A N/A 33,159 21,872 994,320 941,894 2020-12-22 $36.61 $37.00 39.3% 11.3% 33.5% 13.7% 38.2% 6.4% -0.3% 38.0M -531.5M -8.3M 1.06 2.77 N/A N/A 35,008 37,285 1,024,448 969,490 2020-12-23 $36.77 $37.00 37.8% 10.6% 31.9% 12.5% 39.4% 5.8% 0.2% 45.0M -585.6M -8.4M 1.21 2.41 N/A N/A 83,395 100,963 1,053,735 995,461 2020-12-24 $36.86 $37.00 36.8% 10.3% 31.8% 11.7% 36.9% 6.5% 0.4% 50.1M -649.1M -8.7M 0.76 2.28 N/A N/A 13,098 9,984 1,130,099 1,059,073 2020-12-28 $36.83 $37.00 37.3% 10.5% 31.9% 11.6% 38.1% 6.4% 0.3% 51.1M -607.1M -8.3M 0.54 2.26 N/A N/A 117,063 63,099 1,107,446 1,030,246 2020-12-29 $37.16 $37.00 36.6% 10.4% 30.3% 11.1% 34.9% 6.6% 0.9% 71.1M -843.5M -8.7M 0.32 2.57 N/A N/A 58,274 18,808 1,207,842 1,061,938 2020-12-30 $37.16 $37.00 36.4% 10.4% 26.2% 10.9% 39.2% 6.1% 0.7% 71.9M -861.2M -8.6M 0.61 3.00 N/A N/A 55,074 33,522 1,220,556 1,074,857 2020-12-31 $37.00 $37.00 37.1% 10.5% 26.4% 11.5% 37.5% 6.3% 0.7% 63.3M -786.1M -8.6M 0.94 2.76 N/A N/A 32,306 30,518 1,258,762 1,093,515
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