EWZ Options History — May 2021

In May 2021, EWZ traded between $35.23 and $38.93. ATM implied volatility averaged 32.5%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 5.8% (HV 20d: 26.8%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.33.

Notable Days

  • 2021-05-07: Highest Volume — 328,552 contracts
  • 2021-05-12: Largest IV spike — 10.3% change
  • 2021-05-12: Highest IV Rank — 24.0%
  • 2021-05-12: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.36$35.23$38.93$35.59$38.93
Max Pain$36.70$35.00$37.00$35.00$37.00
ATM IV32.5%27.6%37.8%32.9%27.6%
Expected Move9.4%8.1%10.9%9.5%8.1%
HV 20d26.8%22.7%30.4%22.7%27.1%
HV 60d32.2%29.7%34.4%32.5%30.2%
IV Rank8.1%0.0%24.0%7.9%0.0%
IV Percentile5.1%0.0%26.2%2.4%0.0%
Term Structure0.1%-1.6%2.5%2.5%-0.6%
VWIV31.8%27.8%37.9%32.4%27.8%
Skew 25d6.6%4.5%9.7%5.7%4.5%
Skew 10d11.5%6.2%16.8%13.6%7.1%
Call IV 25d29.7%26.6%33.7%30.3%26.6%
Put IV 25d36.2%31.1%43.4%36.0%31.1%
Bid-Ask Spread %16.282.5640.5635.532.56
Gamma HHI0.150.110.180.120.17
Net GEX143.0M61.6M218.3M71.0M218.3M
Net DEX-1.35B-2.01B-434.6M-622.1M-2.01B
Net VEX-10.2M-11.1M-9.1M-10.3M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.071.110.590.17
Total Volume116,165.8535,968328,55235,968118,623
Total OI2,559,009.62,331,1442,842,4092,387,2152,444,211

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$35.59$35.0032.9%9.5%22.7%7.9%32.4%5.7%2.5%71.0M-622.1M-10.3M0.5935.53N/AN/A22,66413,3041,539,770847,445
2021-05-04$35.23$35.0033.9%10.0%22.9%11.2%34.2%6.3%1.4%61.6M-434.6M-10.0M0.1316.75N/AN/A125,56916,7171,553,108849,943
2021-05-05$36.17$35.0032.5%9.4%24.3%7.0%34.8%6.1%1.8%103.6M-1.04B-10.8M0.3340.56N/AN/A43,36814,4851,663,476853,780
2021-05-06$36.86$37.0031.9%9.6%24.3%5.2%32.5%5.9%1.4%125.8M-1.34B-10.6M0.2410.47N/AN/A78,13119,0201,595,090869,449
2021-05-07$37.93$37.0030.8%9.3%23.4%1.8%31.5%5.5%1.9%137.0M-1.90B-10.9M0.079.02N/AN/A307,35621,1961,626,514893,371
2021-05-10$38.00$37.0033.0%9.6%23.3%8.7%31.6%6.0%-0.0%147.0M-1.85B-11.1M0.2210.56N/AN/A86,90119,1011,659,424851,737
2021-05-11$38.22$37.0034.3%9.9%23.3%12.9%31.9%7.3%-0.2%148.0M-1.97B-11.0M0.1816.82N/AN/A158,31229,2191,661,506868,150
2021-05-12$36.72$37.0037.8%10.9%27.9%24.0%37.9%9.7%-0.1%102.8M-1.00B-10.5M1.1111.89N/AN/A70,22778,0711,690,276887,301
2021-05-13$37.06$37.0036.3%10.2%27.8%19.3%32.3%8.3%-0.9%120.2M-1.18B-10.7M0.1836.63N/AN/A193,43935,6171,747,567940,944
2021-05-14$37.45$37.0033.2%9.4%27.9%10.1%32.7%7.4%-0.5%120.0M-1.43B-10.5M0.2912.52N/AN/A115,03633,1541,725,835971,129
2021-05-17$37.90$37.0032.9%9.3%28.0%9.1%34.5%7.0%-0.4%185.1M-1.80B-10.5M0.387.50N/AN/A87,14033,4911,787,363916,389
2021-05-18$38.16$37.0032.8%9.4%27.7%8.7%30.8%7.3%0.5%200.3M-2.01B-10.7M0.3913.12N/AN/A52,13720,3751,836,394930,865
2021-05-19$37.42$37.0033.9%9.7%29.0%12.7%31.3%7.3%0.6%177.1M-1.42B-10.3M0.6110.72N/AN/A23,06214,0861,852,398949,327
2021-05-20$37.68$37.0033.0%9.5%28.9%9.6%32.0%6.8%-0.6%212.4M-1.62B-10.1M0.2911.06N/AN/A67,22219,6051,871,140955,055
2021-05-21$37.10$37.0032.5%9.3%29.6%7.6%31.0%7.3%-0.4%128.7M-1.06B-9.6M0.216.96N/AN/A92,98319,8851,874,044968,365
2021-05-24$37.73$37.0031.1%8.9%30.0%3.1%30.2%7.0%-1.6%138.4M-1.09B-9.6M0.5437.56N/AN/A58,31831,3441,555,790775,354
2021-05-25$37.16$37.0031.4%9.0%30.4%3.9%29.4%6.1%-0.3%120.2M-802.9M-9.1M0.207.96N/AN/A75,60515,1211,570,194777,706
2021-05-26$37.70$37.0029.7%8.6%28.4%0.0%29.5%5.1%-1.3%156.3M-1.07B-9.2M0.2724.29N/AN/A41,32311,2351,604,948797,331
2021-05-27$38.12$37.0029.2%8.4%28.6%0.0%28.3%5.1%-0.7%186.7M-1.38B-9.3M0.173.09N/AN/A52,1868,6891,618,298799,205
2021-05-28$38.93$37.0027.6%8.1%27.1%0.0%27.8%4.5%-0.6%218.3M-2.01B-9.3M0.172.56N/AN/A101,45917,1641,640,652803,559