EWZ Options History — March 2021 In March 2021, EWZ traded between $31.12 and $34.23. ATM implied volatility averaged 41.3%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 1.6% (HV 20d: 39.7%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.02.
Notable Days 2021-03-03 : Highest Volume — 524,491 contracts2021-03-08 : Largest IV spike — 13.5% change2021-03-08 : Highest IV Rank — 13.2%2021-03-03 : Largest Expected Move — 14.8%Monthly Statistics Metric Avg Min Max Open Close Price $32.79 $31.12 $34.23 $32.07 $33.48 Max Pain $33.78 $33.00 $35.00 $35.00 $34.00 ATM IV 41.3% 33.9% 49.7% 45.9% 33.9% Expected Move 11.9% 9.5% 14.8% 13.7% 9.5% HV 20d 39.7% 33.3% 46.6% 35.9% 37.0% HV 60d 35.4% 33.4% 36.7% 33.7% 36.7% IV Rank 6.3% 0.0% 13.2% 9.8% 0.0% IV Percentile 34.3% 0.0% 71.4% 63.1% 0.0% Term Structure -0.2% -8.0% 3.0% 0.1% 0.2% VWIV 41.8% 35.1% 55.5% 48.5% 35.1% Skew 25d 7.5% 5.1% 10.5% 8.4% 5.1% Skew 10d 13.6% -7.2% 20.8% 16.9% 10.8% Call IV 25d 38.1% 31.6% 43.7% 42.4% 31.6% Put IV 25d 45.6% 36.8% 54.3% 50.8% 36.8% Bid-Ask Spread % 4.35 2.05 23.84 2.79 5.93 Gamma HHI 0.09 0.05 0.33 0.05 0.09 Net GEX 25.2M -12.1M 114.3M -12.1M 32.9M Net DEX 183.0M -469.8M 668.6M 572.3M -18.1M Net VEX -8.0M -8.6M -6.9M -6.9M -8.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.15 4.11 0.49 0.67 Total Volume 181,413.217 28,256 524,491 195,153 89,885 Total OI 2,168,532.609 1,649,632 2,644,491 1,879,677 1,955,349
Daily Data (23 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 2021-03-01 $32.07 $35.00 45.9% 13.7% 35.9% 9.8% 48.5% 8.4% 0.1% -12.1M 572.3M -6.9M 0.49 2.79 N/A N/A 131,361 63,792 1,087,255 792,422 2021-03-02 $32.32 $35.00 46.8% 14.1% 34.8% 10.6% 49.8% 8.7% -1.2% -4.4M 455.6M -7.3M 0.78 3.40 N/A N/A 263,572 205,661 1,163,731 815,328 2021-03-03 $32.50 $34.00 48.8% 14.8% 34.0% 12.5% 55.5% 10.5% 2.9% 24.0M 218.8M -7.9M 1.98 4.88 N/A N/A 175,743 348,748 1,357,697 860,701 2021-03-04 $32.30 $33.00 46.6% 13.3% 33.3% 10.5% 42.8% 10.0% -1.6% 30.6M 214.3M -8.5M 0.32 4.45 N/A N/A 205,751 65,577 1,498,753 1,029,123 2021-03-05 $33.06 $33.00 43.8% 12.5% 34.5% 8.0% 41.9% 7.9% -0.9% 114.3M -48.1M -8.6M 0.65 3.32 N/A N/A 91,545 59,687 1,490,254 1,043,025 2021-03-08 $31.12 $33.00 49.7% 13.7% 38.9% 13.2% 46.2% 9.7% -2.8% -4.2M 661.6M -7.7M 1.14 3.41 N/A N/A 41,770 47,702 1,422,169 927,904 2021-03-09 $31.31 $33.00 45.8% 13.3% 38.9% 9.8% 47.2% 9.0% 0.6% -6.6M 668.6M -7.8M 1.81 4.22 N/A N/A 48,092 86,881 1,437,609 955,937 2021-03-10 $32.38 $33.00 43.4% 12.6% 41.6% 7.6% 44.4% 8.3% 0.6% 16.4M 331.0M -8.2M 0.87 2.43 N/A N/A 83,847 72,779 1,459,590 975,768 2021-03-11 $33.66 $33.00 41.1% 11.6% 44.4% 5.6% 40.2% 7.4% -0.8% 57.5M -192.8M -8.6M 0.30 2.33 N/A N/A 130,352 39,345 1,448,660 976,705 2021-03-12 $33.25 $33.00 40.8% 11.6% 44.4% 5.3% 38.3% 7.5% -0.3% 32.6M 31.3M -8.2M 0.40 2.05 N/A N/A 115,476 46,285 1,450,951 982,632 2021-03-15 $32.93 $34.00 41.3% 11.8% 44.4% 5.8% 41.4% 7.3% -0.0% 24.8M 226.3M -8.0M 1.41 2.27 N/A N/A 11,727 16,529 1,418,513 902,082 2021-03-16 $32.94 $34.00 40.1% 11.5% 44.2% 4.7% 43.9% 7.0% 0.0% 30.1M 209.1M -7.8M 4.11 2.25 N/A N/A 24,375 100,206 1,423,670 903,567 2021-03-17 $33.84 $34.00 38.6% 11.1% 45.6% 3.4% 38.8% 5.9% 0.8% 59.2M -150.2M -8.2M 1.00 3.48 N/A N/A 129,614 129,110 1,435,818 979,101 2021-03-18 $33.38 $34.00 40.8% 11.7% 45.6% 5.4% 38.5% 6.3% -0.6% 61.1M 67.9M -8.1M 0.15 2.42 N/A N/A 224,143 34,033 1,507,398 1,049,396 2021-03-19 $34.23 $34.00 39.4% 11.2% 46.6% 4.8% 40.5% 6.7% 0.7% 32.7M -469.8M -8.4M 0.55 3.89 N/A N/A 141,224 77,861 1,592,389 1,052,102 2021-03-22 $33.73 $34.00 37.9% 11.2% 41.1% 3.4% 37.0% 6.7% 3.0% 32.7M -118.1M -8.3M 0.61 4.00 N/A N/A 64,228 39,073 946,226 703,406 2021-03-23 $33.24 $34.00 39.5% 11.1% 40.4% 5.2% 38.8% 7.4% -8.0% 24.4M 47.7M -8.2M 0.74 23.84 N/A N/A 65,372 48,198 982,046 726,800 2021-03-24 $32.39 $34.00 39.0% 11.5% 41.1% 5.8% 38.6% 8.3% 1.5% 7.6M 294.9M -7.8M 0.31 4.54 N/A N/A 146,651 45,871 1,006,894 734,480 2021-03-25 $32.48 $34.00 38.1% 11.0% 37.6% 5.4% 41.0% 7.1% 0.1% 5.3M 312.8M -7.8M 1.51 3.54 N/A N/A 30,333 45,864 1,030,262 762,256 2021-03-26 $32.34 $34.00 37.5% 10.6% 36.3% 5.2% 38.8% 6.7% -0.1% -5.7M 377.0M -7.8M 1.08 3.96 N/A N/A 77,783 83,775 1,047,269 772,909 2021-03-29 $32.40 $34.00 36.4% 10.6% 36.3% 3.1% 39.7% 5.3% -0.1% 6.2M 328.9M -7.8M 1.32 4.00 N/A N/A 64,532 85,202 1,050,553 788,289 2021-03-30 $32.81 $34.00 35.1% 10.1% 36.4% 0.6% 35.4% 5.6% 0.5% 20.8M 187.3M -8.0M 1.15 2.57 N/A N/A 33,880 39,069 1,094,552 834,709 2021-03-31 $33.48 $34.00 33.9% 9.5% 37.0% 0.0% 35.1% 5.1% 0.2% 32.9M -18.1M -8.1M 0.67 5.93 N/A N/A 53,683 36,202 1,097,560 857,789
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