EWZ Options History — December 2021 In December 2021, EWZ traded between $27.43 and $31.25. ATM implied volatility averaged 35.9%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 3.6% (HV 20d: 32.4%). Max pain ranged from $31.00 to $35.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.85.
Notable Days 2021-12-10 : Highest Volume — 424,784 contracts2021-12-13 : Largest IV spike — 24.9% change2021-12-01 : Highest IV Rank — 73.9%2021-12-01 : Largest Expected Move — 16.0%Monthly Statistics Metric Avg Min Max Open Close Price $28.78 $27.43 $31.25 $28.73 $28.11 Max Pain $33.09 $31.00 $35.00 $35.00 $33.00 ATM IV 35.9% 29.6% 44.1% 44.1% 32.1% Expected Move 10.5% 8.7% 16.0% 16.0% 8.9% HV 20d 32.4% 24.6% 36.9% 29.7% 35.0% HV 60d 34.2% 32.8% 36.0% 35.2% 34.1% IV Rank 38.5% 11.1% 73.9% 73.9% 21.6% IV Percentile 50.2% 8.3% 89.7% 89.7% 25.0% Term Structure -0.3% -2.9% 0.6% -1.8% 0.5% VWIV 36.4% 28.3% 53.7% 53.7% 30.8% Skew 25d 4.0% -1.1% 6.9% 5.6% 4.2% Skew 10d 6.6% -0.1% 10.3% 7.2% 6.6% Call IV 25d 34.1% 29.8% 39.6% 39.6% 29.8% Put IV 25d 38.1% 29.6% 45.7% 45.2% 34.0% Bid-Ask Spread % 28.30 2.95 57.45 54.88 31.58 Gamma HHI 0.12 0.08 0.39 0.10 0.09 Net GEX 9.7M -18.3M 74.4M 9.3M -410.5K Net DEX 1.40B 968.6M 2.14B 2.05B 1.01B Net VEX -6.5M -6.8M -6.0M -6.1M -6.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.31 1.91 1.15 0.87 Total Volume 220,177.818 112,125 424,784 191,062 112,125 Total OI 2,939,553.955 2,032,396 3,769,811 3,633,908 2,410,091
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 2021-12-01 $28.73 $35.00 44.1% 16.0% 29.7% 73.9% 53.7% 5.6% -1.8% 9.3M 2.05B -6.1M 1.15 54.88 N/A N/A 88,822 102,240 2,243,319 1,390,589 2021-12-02 $29.64 $35.00 42.7% 14.8% 29.4% 67.9% 48.3% 4.8% -2.9% 49.3M 1.76B -6.7M 0.46 41.52 N/A N/A 202,237 93,056 2,258,053 1,392,066 2021-12-03 $29.64 $35.00 43.6% 15.9% 26.7% 72.0% 51.3% 6.9% -1.9% 19.9M 1.76B -6.8M 0.63 57.45 N/A N/A 198,453 125,589 2,346,773 1,423,038 2021-12-06 $30.23 $31.00 39.0% 10.2% 25.7% 52.0% 36.9% 2.4% -1.1% 34.4M 1.60B -6.8M 1.45 55.77 N/A N/A 59,817 86,704 2,155,025 1,393,314 2021-12-07 $30.57 $31.00 36.6% 9.5% 25.8% 41.5% 34.4% 3.1% -0.6% 47.2M 1.48B -6.8M 0.31 21.23 N/A N/A 276,585 85,665 2,148,386 1,396,385 2021-12-08 $31.25 $33.00 33.6% 9.3% 26.0% 28.4% 34.0% 1.8% -0.5% 57.0M 1.34B -6.5M 0.67 18.04 N/A N/A 196,900 132,145 2,069,400 1,403,052 2021-12-09 $30.52 $33.00 32.9% 9.1% 27.4% 25.2% 33.3% 1.5% 0.2% 37.8M 1.69B -6.3M 1.42 37.63 N/A N/A 63,338 89,968 2,091,958 1,432,078 2021-12-10 $30.65 $33.00 29.6% 8.7% 24.6% 11.1% 28.3% -1.1% 0.2% 74.4M 1.59B -6.0M 0.50 54.91 N/A N/A 282,455 142,329 2,106,324 1,434,095 2021-12-13 $28.53 $33.00 37.0% 10.5% 34.8% 43.2% 36.8% 4.3% -0.6% -12.8M 2.14B -6.8M 1.03 55.38 N/A N/A 137,013 141,372 1,949,926 1,384,490 2021-12-14 $28.14 $33.00 38.2% 10.9% 34.9% 48.3% 38.1% 4.6% -0.5% -17.8M 1.52B -6.6M 0.50 8.85 N/A N/A 126,676 62,963 1,978,645 1,144,334 2021-12-15 $28.10 $33.00 37.2% 10.7% 34.4% 44.0% 38.6% 4.9% -0.1% -18.3M 1.54B -6.5M 0.64 12.99 N/A N/A 111,109 71,565 2,005,080 1,158,828 2021-12-16 $28.57 $33.00 36.6% 10.3% 34.7% 41.6% 36.2% 4.5% -0.9% -14.8M 1.43B -6.7M 0.65 9.37 N/A N/A 146,389 95,860 2,010,455 1,158,438 2021-12-17 $28.34 $33.00 36.9% 10.6% 34.3% 42.7% 36.7% 5.4% 0.3% -13.4M 1.46B -6.7M 0.56 15.47 N/A N/A 132,423 74,557 2,042,692 1,172,105 2021-12-20 $27.44 $33.00 38.7% 11.1% 36.0% 50.7% 37.6% 5.5% 0.1% -9.5M 1.06B -6.2M 1.22 43.29 N/A N/A 85,498 104,513 1,149,878 882,518 2021-12-21 $27.58 $33.00 35.9% 10.3% 36.1% 38.4% 35.8% 5.1% 0.1% -11.5M 1.09B -6.3M 0.97 5.52 N/A N/A 88,726 85,814 1,172,354 930,336 2021-12-22 $27.87 $33.00 33.3% 9.6% 36.0% 27.1% 29.4% 4.5% 0.5% -8.8M 1.06B -6.5M 1.03 3.26 N/A N/A 76,336 78,443 1,218,892 940,787 2021-12-23 $27.79 $33.00 32.2% 9.2% 35.7% 22.2% 32.4% 3.8% 0.3% -6.6M 1.07B -6.3M 0.92 8.17 N/A N/A 83,461 77,134 1,238,307 950,951 2021-12-27 $28.12 $33.00 33.2% 9.4% 35.8% 26.8% 31.8% 4.2% 0.5% -2.1M 994.9M -6.4M 0.44 2.95 N/A N/A 156,973 68,953 1,234,900 958,228 2021-12-28 $27.96 $33.00 32.4% 9.0% 35.8% 23.2% 31.5% 4.4% 0.4% 630.4K 1.01B -6.5M 0.82 5.53 N/A N/A 75,116 61,942 1,324,648 964,861 2021-12-29 $27.43 $33.00 32.1% 8.9% 36.2% 21.8% 31.0% 4.0% 0.5% -5.2M 1.15B -6.0M 0.57 35.26 N/A N/A 98,622 56,205 1,333,786 967,392 2021-12-30 $27.96 $33.00 32.2% 9.2% 36.9% 22.3% 33.0% 3.8% 0.6% 4.2M 968.6M -6.5M 1.91 43.46 N/A N/A 71,397 136,424 1,331,037 972,373 2021-12-31 $28.11 $33.00 32.1% 8.9% 35.0% 21.6% 30.8% 4.2% 0.5% -410.5K 1.01B -6.6M 0.87 31.58 N/A N/A 59,930 52,195 1,349,248 1,060,843
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