EWZ Options History — September 2021 In September 2021, EWZ traded between $32.15 and $36.67. ATM implied volatility averaged 36.2%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 1.0% (HV 20d: 35.2%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.38.
Notable Days 2021-09-08 : Highest Volume — 647,162 contracts2021-09-20 : Largest IV spike — 12.7% change2021-09-20 : Highest IV Rank — 55.5%2021-09-20 : Largest Expected Move — 12.1%Monthly Statistics Metric Avg Min Max Open Close Price $34.17 $32.15 $36.67 $36.67 $32.33 Max Pain $35.62 $34.00 $38.00 $38.00 $34.00 ATM IV 36.2% 31.2% 41.9% 31.2% 38.1% Expected Move 10.3% 8.6% 12.1% 8.6% 10.7% HV 20d 35.2% 25.5% 40.7% 25.5% 37.7% HV 60d 31.8% 28.3% 33.8% 28.3% 32.5% IV Rank 34.1% 15.6% 55.5% 15.6% 41.4% IV Percentile 49.5% 20.2% 83.3% 20.2% 65.9% Term Structure -0.0% -1.1% 1.1% 0.4% 0.5% VWIV 36.0% 30.9% 42.6% 30.9% 39.7% Skew 25d 6.3% 4.9% 7.6% 4.9% 6.6% Skew 10d 9.9% -12.9% 20.6% 9.8% 13.1% Call IV 25d 33.4% 28.9% 38.0% 28.9% 35.6% Put IV 25d 39.7% 33.8% 45.4% 33.8% 42.1% Bid-Ask Spread % 12.89 3.03 56.54 5.56 5.89 Gamma HHI 0.12 0.07 0.21 0.07 0.10 Net GEX -59.2M -162.5M -13.4M -21.4M -45.5M Net DEX 1.69B 578.6M 2.71B 578.6M 1.94B Net VEX -8.2M -9.0M -6.7M -8.1M -8.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.38 0.39 4.16 2.35 1.40 Total Volume 211,026.143 59,913 647,162 143,882 246,420 Total OI 2,615,201.81 2,103,020 3,152,265 2,292,004 2,642,093
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 2021-09-01 $36.67 $38.00 31.2% 8.6% 25.5% 15.6% 30.9% 4.9% 0.4% -21.4M 578.6M -8.1M 2.35 5.56 N/A N/A 42,939 100,943 1,028,223 1,263,781 2021-09-02 $35.88 $35.00 32.5% 9.4% 26.5% 20.4% 33.1% 5.5% 1.1% -85.1M 1.24B -8.6M 0.99 3.03 N/A N/A 120,092 119,225 1,054,991 1,451,443 2021-09-03 $35.86 $36.00 32.2% 9.4% 26.5% 19.2% 32.8% 5.4% 0.4% -102.1M 1.32B -8.6M 0.69 6.10 N/A N/A 145,884 100,488 1,064,196 1,507,192 2021-09-07 $36.01 $36.00 33.3% 9.6% 26.5% 23.1% 32.5% 5.5% 0.1% -46.9M 1.11B -8.5M 0.82 5.56 N/A N/A 52,624 43,216 1,085,721 1,377,780 2021-09-08 $34.00 $36.00 36.9% 10.6% 33.0% 36.9% 35.1% 5.6% -0.1% -88.1M 2.24B -8.0M 1.42 6.49 N/A N/A 267,036 380,126 1,201,847 1,438,426 2021-09-09 $35.36 $36.00 37.3% 10.6% 36.5% 38.1% 37.8% 7.2% -0.3% -38.7M 1.45B -9.0M 1.40 56.54 N/A N/A 113,181 158,317 1,293,302 1,459,621 2021-09-10 $34.59 $36.00 36.7% 10.3% 36.9% 35.9% 35.3% 5.7% -1.0% -99.8M 1.96B -9.0M 0.87 14.20 N/A N/A 127,162 111,187 1,506,781 1,602,592 2021-09-13 $35.32 $36.00 36.7% 10.5% 37.8% 35.9% 36.1% 6.4% -1.1% -56.8M 1.40B -9.0M 0.56 3.92 N/A N/A 94,826 53,511 1,361,945 1,555,552 2021-09-14 $35.00 $36.00 35.9% 10.3% 37.3% 32.9% 35.0% 6.2% -0.2% -72.5M 1.72B -8.8M 4.16 14.05 N/A N/A 43,839 182,387 1,398,458 1,594,706 2021-09-15 $34.81 $36.00 35.5% 10.2% 37.2% 31.4% 32.9% 6.0% -0.2% -97.3M 1.88B -8.6M 1.33 8.22 N/A N/A 133,184 177,362 1,408,899 1,608,392 2021-09-16 $34.17 $36.00 36.1% 10.4% 36.7% 33.6% 38.5% 6.6% -0.4% -162.5M 2.70B -8.1M 1.68 3.92 N/A N/A 51,062 85,769 1,435,003 1,717,262 2021-09-17 $33.39 $37.00 37.2% 10.8% 37.2% 37.8% 37.7% 6.1% -1.1% -66.2M 2.71B -7.4M 1.51 4.42 N/A N/A 81,039 122,160 1,464,410 1,579,136 2021-09-20 $32.15 $37.00 41.9% 12.1% 39.0% 55.5% 42.6% 7.4% -0.2% -31.7M 1.91B -6.7M 0.94 13.08 N/A N/A 98,560 92,995 986,491 1,116,529 2021-09-21 $33.10 $37.00 39.3% 11.3% 40.7% 45.9% 38.6% 7.6% -0.3% -37.6M 1.75B -7.4M 0.42 30.41 N/A N/A 154,011 64,759 1,020,611 1,162,654 2021-09-22 $33.56 $36.00 37.3% 10.7% 37.8% 38.4% 38.0% 7.0% 0.1% -31.7M 1.58B -7.8M 0.39 31.81 N/A N/A 127,190 49,445 1,073,635 1,200,198 2021-09-23 $33.88 $34.00 34.9% 9.9% 37.6% 29.3% 35.5% 6.0% 1.0% -13.4M 1.39B -8.0M 2.85 5.18 N/A N/A 69,534 198,448 1,198,220 1,199,760 2021-09-24 $33.44 $34.00 34.8% 9.9% 37.2% 28.9% 34.3% 6.0% 0.4% -13.5M 1.49B -8.0M 1.58 4.47 N/A N/A 31,399 49,705 1,297,115 1,224,225 2021-09-27 $33.48 $34.00 35.3% 10.0% 35.7% 30.9% 36.0% 6.1% -0.1% -29.3M 1.31B -8.1M 2.56 35.81 N/A N/A 39,343 100,625 1,152,853 1,219,443 2021-09-28 $32.20 $34.00 39.0% 11.2% 37.7% 44.8% 37.6% 7.1% 0.1% -44.7M 1.86B -7.6M 0.41 7.12 N/A N/A 100,323 41,320 1,168,053 1,258,819 2021-09-29 $32.38 $34.00 38.1% 10.7% 38.0% 41.2% 37.0% 6.6% 0.3% -59.0M 1.95B -7.8M 0.72 4.85 N/A N/A 34,835 25,078 1,196,142 1,342,738 2021-09-30 $32.33 $34.00 38.1% 10.7% 37.7% 41.4% 39.7% 6.6% 0.5% -45.5M 1.94B -8.1M 1.40 5.89 N/A N/A 102,486 143,934 1,279,162 1,362,931
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