EWZ Options History — January 2021

In January 2021, EWZ traded between $34.19 and $38.65. ATM implied volatility averaged 41.8%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 12.0% (HV 20d: 29.8%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.55.

Notable Days

2021-01-08: Highest Volume — 396,313 contracts
2021-01-27: Largest IV spike — 10.1% change
2021-01-29: Highest IV Rank — 20.5%
2021-01-29: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.38	$34.19	$38.65	$36.57	$34.19
Max Pain	$36.08	$36.00	$37.00	$36.00	$36.00
ATM IV	41.8%	37.4%	48.6%	40.7%	48.6%
Expected Move	12.0%	10.7%	14.2%	11.4%	14.2%
HV 20d	29.8%	22.0%	38.3%	26.3%	38.3%
HV 60d	33.7%	31.4%	35.7%	31.8%	35.3%
IV Rank	15.2%	11.7%	20.5%	14.4%	20.5%
IV Percentile	43.9%	24.2%	70.6%	39.3%	70.6%
Term Structure	-0.2%	-1.3%	0.6%	-0.3%	-1.2%
VWIV	41.4%	35.4%	47.9%	42.8%	47.9%
Skew 25d	7.3%	5.8%	9.1%	8.2%	7.4%
Skew 10d	14.0%	11.6%	18.1%	15.1%	16.4%
Call IV 25d	38.5%	34.5%	44.7%	37.2%	44.7%
Put IV 25d	45.8%	40.8%	52.9%	45.4%	52.2%
Bid-Ask Spread %	2.65	1.99	4.56	2.60	4.56
Gamma HHI	0.10	0.06	0.15	0.12	0.07
Net GEX	63.0M	15.2M	158.0M	47.7M	15.2M
Net DEX	-596.0M	-1.83B	92.4M	-461.6M	92.4M
Net VEX	-8.7M	-9.3M	-8.1M	-8.2M	-8.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.27	1.78	0.77	0.59
Total Volume	187,897.579	48,381	396,313	132,239	173,577
Total OI	2,267,597.316	1,819,483	2,713,916	2,177,130	2,241,122

Daily Data (19 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
2021-01-04	$36.57	$36.00	40.7%	11.4%	26.3%	14.4%	42.8%	8.2%	-0.3%	47.7M	-461.6M	-8.2M	0.77	2.60	N/A	N/A	74,726	57,513	1,170,663	1,006,467
2021-01-05	$36.82	$36.00	39.2%	11.1%	25.8%	13.2%	39.0%	7.3%	-0.1%	59.0M	-600.4M	-8.2M	1.78	2.08	N/A	N/A	35,632	63,307	1,190,505	1,027,301
2021-01-06	$36.75	$36.00	38.9%	10.9%	25.8%	12.9%	36.8%	6.7%	0.2%	57.2M	-527.4M	-8.1M	0.34	2.63	N/A	N/A	230,939	79,258	1,218,057	1,044,676
2021-01-07	$37.03	$36.00	37.7%	10.7%	25.9%	11.9%	35.4%	7.2%	0.2%	78.9M	-744.2M	-8.5M	0.35	2.51	N/A	N/A	114,686	40,062	1,351,704	1,080,034
2021-01-08	$37.72	$36.00	37.4%	10.7%	25.7%	11.7%	37.8%	6.3%	0.6%	121.5M	-1.33B	-9.0M	0.30	2.32	N/A	N/A	305,731	90,582	1,463,734	1,121,418
2021-01-11	$36.47	$36.00	40.5%	11.6%	22.0%	14.2%	38.6%	7.7%	-0.0%	53.5M	-458.5M	-8.8M	0.40	2.72	N/A	N/A	64,999	26,062	1,422,119	1,124,731
2021-01-12	$38.00	$36.00	38.4%	10.9%	26.5%	12.6%	38.5%	7.1%	-0.3%	124.2M	-1.44B	-9.2M	0.54	2.04	N/A	N/A	143,553	77,022	1,451,990	1,144,079
2021-01-13	$37.41	$36.00	38.4%	11.0%	25.8%	12.5%	42.2%	6.9%	-0.1%	101.4M	-986.3M	-9.0M	0.73	2.70	N/A	N/A	67,930	49,623	1,448,979	1,174,719
2021-01-14	$38.65	$36.00	38.8%	11.0%	27.4%	12.8%	38.9%	6.7%	-0.5%	158.0M	-1.83B	-9.3M	0.27	2.41	N/A	N/A	180,311	48,962	1,462,156	1,198,186
2021-01-15	$36.92	$36.00	41.7%	11.9%	31.9%	15.2%	40.5%	6.8%	-0.3%	91.2M	-627.5M	-9.0M	0.51	2.98	N/A	N/A	163,112	83,899	1,517,267	1,196,649
2021-01-19	$36.70	$36.00	42.5%	12.2%	31.8%	15.8%	41.0%	8.1%	-0.5%	47.1M	-608.5M	-8.8M	0.41	2.25	N/A	N/A	69,345	28,435	1,143,745	675,738
2021-01-20	$36.75	$36.50	41.2%	11.8%	31.8%	14.8%	39.7%	5.8%	0.2%	50.0M	-623.0M	-8.7M	0.29	2.23	N/A	N/A	163,754	47,881	1,167,497	684,803
2021-01-21	$35.99	$37.00	43.2%	12.4%	31.3%	16.4%	42.3%	7.4%	-0.2%	37.3M	-385.0M	-8.9M	0.27	2.48	N/A	N/A	176,075	46,809	1,267,444	720,607
2021-01-22	$35.18	$36.00	44.5%	12.8%	32.3%	17.4%	42.6%	6.8%	-0.2%	23.1M	-126.1M	-8.7M	0.30	2.60	N/A	N/A	272,581	80,654	1,306,409	746,901
2021-01-25	$34.48	$36.00	45.2%	13.1%	32.8%	17.7%	46.0%	7.6%	0.0%	20.1M	23.0M	-8.1M	0.87	1.99	N/A	N/A	92,562	80,863	1,319,343	705,941
2021-01-26	$35.38	$36.00	44.0%	12.7%	34.3%	16.8%	42.4%	7.5%	0.4%	32.8M	-229.1M	-8.8M	0.40	2.60	N/A	N/A	115,617	45,954	1,289,115	756,308
2021-01-27	$34.72	$36.00	48.5%	14.1%	34.8%	20.4%	47.8%	9.1%	-1.3%	31.0M	-81.9M	-8.7M	0.96	3.07	N/A	N/A	24,699	23,682	1,366,059	749,835
2021-01-28	$35.57	$36.00	45.0%	13.0%	35.9%	17.5%	45.5%	8.0%	-0.1%	48.5M	-374.1M	-8.9M	0.28	3.50	N/A	N/A	101,228	28,429	1,366,671	761,377
2021-01-29	$34.19	$36.00	48.6%	14.2%	38.3%	20.5%	47.9%	7.4%	-1.2%	15.2M	92.4M	-8.6M	0.59	4.56	N/A	N/A	109,000	64,577	1,459,714	781,408