EWZ Options History — June 2021 In June 2021, EWZ traded between $40.10 and $41.92. ATM implied volatility averaged 28.7%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.3% (HV 20d: 25.4%). Max pain ranged from $31.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.40.
Notable Days 2021-06-09 : Highest Volume — 1,536,400 contracts2021-06-25 : Largest IV spike — 7.7% change2021-06-16 : Highest IV Rank — 10.2%2021-06-02 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $40.97 $40.10 $41.92 $40.32 $40.65 Max Pain $37.84 $31.00 $40.00 $37.00 $40.00 ATM IV 28.7% 27.1% 30.4% 28.5% 29.7% Expected Move 8.3% 7.7% 9.0% 8.3% 8.5% HV 20d 25.4% 19.5% 29.3% 29.2% 19.5% HV 60d 26.2% 24.3% 30.6% 30.6% 24.4% IV Rank 4.8% 0.0% 10.2% 3.0% 9.9% IV Percentile 3.2% 0.0% 8.7% 0.4% 8.7% Term Structure 0.3% -0.3% 1.5% -0.2% 0.4% VWIV 29.1% 26.8% 33.9% 29.4% 28.3% Skew 25d 5.2% 3.3% 6.9% 3.3% 6.9% Skew 10d 10.3% 6.2% 15.4% 6.2% 14.6% Call IV 25d 26.9% 25.4% 28.5% 27.5% 26.9% Put IV 25d 32.1% 29.7% 34.2% 30.8% 33.8% Bid-Ask Spread % 19.72 3.58 46.06 4.22 12.64 Gamma HHI 0.15 0.12 0.22 0.16 0.12 Net GEX 176.5M 51.7M 252.3M 244.8M 122.0M Net DEX -1.65B -3.78B -169.6M -3.00B -820.2M Net VEX -10.0M -11.5M -8.2M -8.5M -10.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.40 0.07 1.02 0.13 0.47 Total Volume 238,271.045 30,667 1,536,400 340,871 113,303 Total OI 2,399,203.045 1,964,866 2,721,790 2,408,147 2,258,955
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 2021-06-01 $40.32 $37.00 28.5% 8.3% 29.2% 3.0% 29.4% 3.3% -0.2% 244.8M -3.00B -8.5M 0.13 4.22 N/A N/A 301,122 39,749 1,613,531 794,616 2021-06-02 $41.19 $37.50 29.7% 9.0% 28.9% 6.7% 31.8% 4.8% -0.3% 246.6M -3.60B -8.8M 0.23 5.94 N/A N/A 326,621 76,285 1,687,061 825,909 2021-06-03 $40.68 $31.00 29.7% 8.4% 28.9% 6.6% 28.6% 4.1% -0.3% 233.2M -3.07B -8.8M 0.12 7.23 N/A N/A 247,875 30,022 1,681,232 872,401 2021-06-04 $41.68 $32.00 27.7% 8.0% 29.3% 0.5% 27.3% 3.8% -0.2% 223.3M -3.78B -8.4M 0.28 6.50 N/A N/A 98,924 27,960 1,721,498 879,882 2021-06-07 $41.84 $32.00 27.4% 7.9% 28.1% 0.0% 27.1% 4.0% 0.2% 235.0M -3.65B -8.2M 0.15 5.24 N/A N/A 183,182 27,344 1,676,943 871,840 2021-06-08 $41.58 $35.00 27.1% 7.9% 28.4% 0.0% 26.8% 3.4% 0.0% 243.2M -3.31B -8.3M 0.12 6.51 N/A N/A 244,478 28,946 1,690,083 891,915 2021-06-09 $41.41 $35.00 27.1% 7.9% 28.5% 0.0% 28.6% 3.8% 0.1% 216.8M -2.94B -8.4M 0.07 28.77 N/A N/A 1,429,702 106,698 1,665,484 904,106 2021-06-10 $40.84 $38.00 28.2% 8.1% 24.4% 3.4% 26.9% 5.4% 0.0% 129.5M -517.9M -9.1M 0.39 36.17 N/A N/A 219,285 85,165 1,279,831 992,440 2021-06-11 $40.27 $39.00 28.0% 8.1% 25.2% 3.0% 28.3% 5.5% 0.7% 117.2M -214.5M -10.3M 0.52 4.46 N/A N/A 104,877 54,778 1,485,348 1,076,572 2021-06-14 $40.77 $39.00 28.4% 8.2% 25.3% 4.2% 28.4% 5.0% 0.0% 151.3M -487.7M -10.6M 0.70 3.58 N/A N/A 66,542 46,464 1,506,867 1,066,758 2021-06-15 $40.97 $39.00 28.5% 8.2% 25.2% 4.4% 28.1% 5.2% 0.3% 162.8M -724.6M -10.5M 0.28 20.89 N/A N/A 83,074 23,594 1,475,602 1,034,266 2021-06-16 $40.70 $39.00 30.4% 8.7% 25.4% 10.2% 28.4% 5.9% 1.5% 162.3M -612.4M -10.9M 0.17 46.06 N/A N/A 101,102 17,147 1,527,605 1,053,083 2021-06-17 $40.36 $39.00 28.7% 8.2% 24.4% 5.1% 28.6% 5.7% 0.2% 139.8M -345.9M -10.4M 0.28 39.08 N/A N/A 93,961 26,521 1,624,033 1,063,505 2021-06-18 $40.10 $40.00 29.4% 8.4% 24.6% 7.2% 29.4% 6.1% 0.2% 51.7M -169.6M -10.3M 0.30 7.40 N/A N/A 85,682 25,364 1,638,153 1,083,637 2021-06-21 $40.75 $40.00 29.5% 8.4% 24.0% 7.4% 31.1% 5.5% 0.1% 149.5M -1.16B -10.5M 0.84 34.76 N/A N/A 16,680 13,987 1,289,857 675,009 2021-06-22 $41.16 $40.00 28.6% 8.2% 23.6% 4.6% 27.7% 6.0% 0.4% 176.8M -1.34B -10.5M 0.49 37.33 N/A N/A 110,021 54,211 1,299,649 685,362 2021-06-23 $41.07 $40.00 28.3% 8.0% 22.6% 3.7% 31.5% 5.8% 0.3% 181.7M -1.30B -11.2M 1.02 34.44 N/A N/A 74,007 75,340 1,357,717 735,634 2021-06-24 $41.92 $40.00 27.5% 7.7% 23.1% 1.2% 27.4% 5.3% 0.8% 252.3M -1.88B -11.5M 0.23 7.29 N/A N/A 137,439 32,054 1,371,944 766,717 2021-06-25 $41.03 $40.00 29.6% 8.7% 24.8% 7.8% 30.7% 6.2% 0.5% 152.5M -1.21B -11.1M 0.79 34.98 N/A N/A 109,802 86,311 1,411,744 784,461 2021-06-28 $41.09 $40.00 30.0% 8.8% 23.9% 9.1% 33.9% 6.7% 0.5% 141.4M -1.14B -11.2M 0.41 40.95 N/A N/A 70,875 28,714 1,386,795 824,165 2021-06-29 $41.02 $40.00 29.4% 8.5% 20.7% 8.2% 32.7% 6.6% 0.4% 149.1M -1.09B -11.0M 0.87 9.45 N/A N/A 62,433 54,322 1,427,636 822,621 2021-06-30 $40.65 $40.00 29.7% 8.5% 19.5% 9.9% 28.3% 6.9% 0.4% 122.0M -820.2M -10.8M 0.47 12.64 N/A N/A 77,303 36,000 1,428,806 830,149
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