EWZ Options History — July 2021 In July 2021, EWZ traded between $37.39 and $40.34. ATM implied volatility averaged 31.6%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.4% (HV 20d: 29.2%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.50.
Notable Days 2021-07-30 : Highest Volume — 323,705 contracts2021-07-19 : Largest IV spike — 17.1% change2021-07-19 : Highest IV Rank — 34.1%2021-07-19 : Largest Expected Move — 10.3%Monthly Statistics Metric Avg Min Max Open Close Price $38.92 $37.39 $40.34 $39.61 $37.39 Max Pain $39.10 $39.00 $40.00 $40.00 $39.00 ATM IV 31.6% 29.0% 36.2% 30.9% 33.8% Expected Move 9.0% 8.2% 10.3% 8.8% 9.6% HV 20d 29.2% 19.9% 38.0% 21.1% 38.0% HV 60d 27.4% 24.9% 30.2% 25.0% 30.2% IV Rank 16.9% 7.2% 34.1% 14.4% 25.3% IV Percentile 15.3% 5.6% 31.7% 11.9% 27.0% Term Structure 0.1% -0.3% 0.4% 0.4% 0.4% VWIV 31.1% 28.3% 34.9% 29.8% 32.3% Skew 25d 6.3% 5.1% 7.8% 6.6% 5.8% Skew 10d 13.3% 8.7% 24.8% 11.4% 24.8% Call IV 25d 29.0% 26.5% 32.6% 28.2% 31.7% Put IV 25d 35.3% 32.3% 40.4% 34.8% 37.4% Bid-Ask Spread % 20.99 9.25 56.46 35.93 38.78 Gamma HHI 0.11 0.06 0.22 0.10 0.10 Net GEX 57.1M 9.5M 118.4M 67.1M 18.8M Net DEX -93.1M -777.6M 453.6M -242.7M 453.6M Net VEX -9.1M -10.2M -8.5M -9.9M -8.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.12 1.63 0.64 0.30 Total Volume 123,494.381 41,086 323,705 88,021 323,705 Total OI 2,154,425.952 1,656,619 2,605,196 2,215,825 2,086,151
Daily Data (21 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 2021-07-01 $39.61 $40.00 30.9% 8.8% 21.1% 14.4% 29.8% 6.6% 0.4% 67.1M -242.7M -9.9M 0.64 35.93 N/A N/A 53,785 34,236 1,411,131 804,694 2021-07-02 $40.24 $40.00 29.3% 8.2% 19.9% 8.2% 29.0% 6.1% 0.1% 108.7M -528.5M -10.2M 0.26 11.99 N/A N/A 112,485 29,794 1,450,397 822,095 2021-07-06 $38.39 $39.00 32.6% 9.5% 25.4% 20.6% 31.9% 6.7% -0.1% 15.1M 276.0M -9.1M 1.63 56.46 N/A N/A 21,047 34,336 1,467,526 805,074 2021-07-07 $38.67 $39.00 32.9% 9.0% 25.7% 21.9% 31.2% 6.6% -0.3% 9.5M 216.4M -8.9M 0.12 13.37 N/A N/A 191,549 23,453 1,460,007 821,808 2021-07-08 $38.02 $39.00 33.8% 9.5% 26.2% 25.0% 34.9% 7.2% -0.3% 10.5M 387.5M -8.9M 0.22 14.06 N/A N/A 180,481 38,993 1,615,112 829,197 2021-07-09 $38.61 $39.00 31.6% 9.1% 26.8% 17.0% 31.4% 6.3% -0.1% 57.7M 86.8M -9.3M 0.97 13.13 N/A N/A 45,733 44,239 1,753,663 851,533 2021-07-12 $39.41 $39.00 30.4% 8.7% 27.7% 12.4% 30.6% 5.8% 0.1% 93.3M -314.1M -9.3M 0.53 11.87 N/A N/A 69,931 37,003 1,641,967 859,023 2021-07-13 $39.51 $39.00 30.0% 8.6% 27.3% 11.1% 30.4% 5.9% -0.0% 100.5M -365.7M -9.3M 0.13 9.25 N/A N/A 159,694 19,980 1,662,658 869,028 2021-07-14 $40.34 $39.00 29.0% 8.4% 28.3% 7.2% 29.7% 5.1% 0.2% 116.8M -777.6M -9.3M 0.25 11.83 N/A N/A 104,396 26,078 1,578,015 868,283 2021-07-15 $39.75 $39.00 30.8% 8.8% 28.7% 14.0% 28.9% 5.3% 0.1% 58.1M -347.9M -9.1M 0.19 12.84 N/A N/A 121,875 22,746 1,580,400 882,509 2021-07-16 $39.25 $39.00 30.9% 8.9% 28.9% 14.3% 30.4% 5.7% 0.1% 40.2M -140.4M -9.1M 1.08 11.46 N/A N/A 36,471 39,214 1,687,753 886,456 2021-07-19 $37.66 $39.00 36.2% 10.3% 32.2% 34.1% 34.1% 7.8% -0.3% 14.6M 308.1M -8.5M 0.37 18.97 N/A N/A 60,821 22,496 913,737 742,882 2021-07-20 $38.27 $39.00 33.3% 9.5% 32.1% 23.3% 33.8% 6.6% 0.3% 28.6M 118.8M -8.6M 0.45 12.91 N/A N/A 82,803 37,188 937,037 753,753 2021-07-21 $38.80 $39.00 31.8% 9.1% 32.4% 17.5% 31.0% 7.0% 0.2% 52.5M -103.5M -9.2M 0.35 35.42 N/A N/A 75,655 26,589 1,002,842 773,733 2021-07-22 $38.66 $39.00 31.3% 9.0% 32.4% 15.8% 31.0% 6.6% 0.1% 50.4M -77.4M -8.9M 0.64 12.36 N/A N/A 32,365 20,607 1,058,642 777,748 2021-07-23 $38.26 $39.00 30.0% 8.6% 31.2% 11.1% 32.0% 6.5% 0.4% 38.0M 123.1M -8.7M 0.37 31.22 N/A N/A 87,529 32,642 1,097,819 794,002 2021-07-26 $38.88 $39.00 31.1% 8.8% 31.4% 15.1% 28.3% 6.2% 0.4% 53.7M -125.9M -8.9M 0.27 20.16 N/A N/A 95,334 25,561 1,019,852 772,096 2021-07-27 $38.50 $39.00 32.8% 9.3% 31.4% 21.5% 31.5% 7.2% -0.2% 42.3M 41.5M -8.8M 0.38 11.60 N/A N/A 82,824 31,790 1,075,209 794,230 2021-07-28 $39.53 $39.00 30.5% 8.5% 33.2% 12.7% 29.5% 6.3% -0.0% 104.2M -414.6M -9.5M 0.48 11.41 N/A N/A 45,273 21,595 1,167,284 814,780 2021-07-29 $39.64 $39.00 30.6% 8.4% 33.1% 13.0% 30.5% 5.5% -0.3% 118.4M -528.1M -9.5M 0.79 45.81 N/A N/A 22,988 18,098 1,219,366 833,453 2021-07-30 $37.39 $39.00 33.8% 9.6% 38.0% 25.3% 32.3% 5.8% 0.4% 18.8M 453.6M -8.5M 0.30 38.78 N/A N/A 249,523 74,182 1,240,272 845,879
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