EWZ Options History — February 2021

In February 2021, EWZ traded between $32.15 and $36.32. ATM implied volatility averaged 40.7%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 4.6% (HV 20d: 36.2%). Max pain ranged from $35.50 to $36.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.80.

Notable Days

2021-02-22: Highest Volume — 234,370 contracts
2021-02-22: Largest IV spike — 20.4% change
2021-02-01: Highest IV Rank — 17.7%
2021-02-26: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.26	$32.15	$36.32	$34.98	$32.15
Max Pain	$35.89	$35.50	$36.00	$36.00	$35.50
ATM IV	40.7%	36.9%	49.2%	45.1%	49.2%
Expected Move	11.9%	10.6%	14.8%	13.1%	14.8%
HV 20d	36.2%	28.9%	41.2%	39.5%	38.1%
HV 60d	33.3%	31.2%	35.4%	35.4%	35.1%
IV Rank	12.4%	6.1%	17.7%	17.7%	12.8%
IV Percentile	32.6%	13.9%	70.6%	60.7%	70.6%
Term Structure	0.3%	-1.6%	2.6%	-0.4%	-1.6%
VWIV	41.0%	36.5%	50.6%	45.8%	50.5%
Skew 25d	7.0%	6.0%	9.8%	7.5%	9.8%
Skew 10d	14.6%	10.1%	23.5%	21.7%	18.1%
Call IV 25d	37.5%	33.2%	45.6%	41.7%	45.6%
Put IV 25d	44.5%	39.6%	55.4%	49.2%	55.4%
Bid-Ask Spread %	3.60	1.99	7.53	3.48	3.51
Gamma HHI	0.08	0.06	0.10	0.07	0.07
Net GEX	50.8M	-14.7M	108.9M	47.7M	-14.7M
Net DEX	-249.0M	-698.6M	621.5M	-238.8M	621.5M
Net VEX	-8.0M	-9.1M	-7.0M	-8.6M	-7.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.17	2.21	0.43	1.33
Total Volume	122,611.158	30,559	234,370	190,794	170,511
Total OI	2,180,760.474	1,653,360	2,366,702	2,178,841	1,980,657

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
2021-02-01	$34.98	$36.00	45.1%	13.1%	39.5%	17.7%	45.8%	7.5%	-0.4%	47.7M	-238.8M	-8.6M	0.43	3.48	N/A	N/A	133,168	57,626	1,423,159	755,682
2021-02-02	$35.64	$36.00	41.6%	11.6%	40.0%	14.8%	40.0%	6.4%	0.3%	69.2M	-494.9M	-8.7M	0.44	3.38	N/A	N/A	129,347	57,447	1,464,506	752,604
2021-02-03	$36.10	$36.00	39.3%	10.6%	40.2%	12.9%	36.5%	6.7%	0.4%	84.2M	-688.6M	-9.1M	0.45	7.53	N/A	N/A	113,575	50,537	1,511,787	780,739
2021-02-04	$35.47	$36.00	39.1%	11.8%	40.7%	12.8%	39.9%	6.1%	0.3%	63.4M	-313.4M	-8.6M	0.25	3.36	N/A	N/A	71,981	17,765	1,514,182	805,382
2021-02-05	$36.16	$36.00	36.9%	11.2%	41.2%	11.0%	40.0%	6.4%	1.0%	108.9M	-698.6M	-8.8M	0.68	3.09	N/A	N/A	86,517	58,510	1,553,904	812,798
2021-02-08	$36.32	$36.00	37.4%	11.3%	40.7%	11.4%	38.3%	6.3%	1.8%	83.5M	-654.2M	-8.6M	0.85	3.78	N/A	N/A	36,093	30,662	1,496,931	787,709
2021-02-09	$36.01	$36.00	38.1%	11.2%	39.0%	12.0%	38.1%	6.5%	1.1%	69.7M	-476.5M	-8.4M	0.28	3.43	N/A	N/A	72,499	20,373	1,497,298	794,328
2021-02-10	$35.74	$36.00	38.9%	11.3%	35.8%	12.6%	44.6%	6.2%	0.2%	62.4M	-363.0M	-8.2M	1.32	3.09	N/A	N/A	24,403	32,128	1,532,790	796,956
2021-02-11	$35.94	$36.00	38.3%	11.3%	35.6%	12.1%	38.6%	6.4%	1.3%	67.5M	-403.0M	-8.2M	0.94	3.17	N/A	N/A	21,753	20,482	1,523,894	812,376
2021-02-12	$35.99	$36.00	37.9%	11.3%	33.2%	11.8%	39.0%	6.0%	2.6%	92.4M	-391.3M	-8.1M	0.85	3.18	N/A	N/A	31,785	27,061	1,522,265	820,372
2021-02-16	$36.27	$36.00	40.0%	11.5%	29.4%	13.5%	41.5%	7.0%	-0.4%	78.4M	-529.7M	-7.7M	1.20	3.32	N/A	N/A	35,906	43,144	1,488,313	788,618
2021-02-17	$36.09	$36.00	39.1%	11.2%	29.4%	12.7%	37.6%	6.8%	-0.4%	67.0M	-394.4M	-7.7M	0.97	1.99	N/A	N/A	27,049	26,231	1,506,264	816,496
2021-02-18	$35.59	$36.00	38.5%	11.0%	29.7%	12.3%	37.6%	7.5%	0.6%	21.3M	-91.3M	-7.4M	0.85	2.43	N/A	N/A	32,352	27,350	1,512,134	826,229
2021-02-19	$35.78	$36.00	37.4%	10.7%	28.9%	10.8%	36.7%	6.6%	0.0%	26.5M	-138.1M	-7.4M	0.17	2.39	N/A	N/A	160,755	28,129	1,525,784	831,478
2021-02-22	$33.60	$36.00	45.0%	13.1%	35.7%	15.4%	43.7%	7.2%	0.0%	530.3K	261.6M	-7.0M	0.58	7.43	N/A	N/A	148,497	85,873	1,006,611	646,749
2021-02-23	$34.44	$35.50	42.0%	12.2%	36.3%	9.2%	39.6%	7.5%	0.3%	14.2M	32.7M	-7.6M	0.88	2.96	N/A	N/A	103,197	90,620	1,066,323	705,890
2021-02-24	$34.69	$35.50	40.9%	11.9%	35.1%	6.1%	39.7%	6.8%	-0.6%	26.1M	-106.6M	-7.7M	0.60	2.82	N/A	N/A	19,152	11,407	1,129,225	755,280
2021-02-25	$33.07	$35.50	48.9%	14.8%	38.4%	13.2%	50.6%	9.7%	-1.5%	-3.0M	335.6M	-7.3M	2.21	4.06	N/A	N/A	70,320	155,407	1,131,089	757,647
2021-02-26	$32.15	$35.50	49.2%	14.8%	38.1%	12.8%	50.5%	9.8%	-1.6%	-14.7M	621.5M	-7.1M	1.33	3.51	N/A	N/A	73,054	97,457	1,167,179	813,478