EWZ Options History — January 2022

In January 2022, EWZ traded between $26.62 and $31.64. ATM implied volatility averaged 34.1%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 2.9% (HV 20d: 31.3%). Max pain ranged from $29.00 to $33.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.13.

Notable Days

2022-01-20: Highest Volume — 411,177 contracts
2022-01-25: Largest IV drop — 7.2% change
2022-01-24: Highest IV Rank — 51.3%
2022-01-24: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.02	$26.62	$31.64	$27.37	$31.64
Max Pain	$30.07	$29.00	$33.00	$33.00	$30.00
ATM IV	34.1%	31.3%	38.9%	33.5%	33.0%
Expected Move	9.8%	8.9%	11.4%	9.3%	9.5%
HV 20d	31.3%	27.4%	36.0%	36.0%	31.1%
HV 60d	33.6%	31.9%	35.7%	34.5%	31.9%
IV Rank	30.7%	18.4%	51.3%	27.9%	25.9%
IV Percentile	44.6%	22.2%	78.2%	40.1%	37.7%
Term Structure	0.0%	-1.8%	5.8%	0.4%	0.5%
VWIV	34.7%	31.0%	39.4%	33.9%	35.4%
Skew 25d	5.1%	3.4%	7.2%	4.0%	5.2%
Skew 10d	9.4%	5.5%	13.2%	6.8%	10.2%
Call IV 25d	32.2%	30.0%	35.5%	32.2%	31.0%
Put IV 25d	37.3%	34.0%	42.7%	36.2%	36.2%
Bid-Ask Spread %	13.52	2.62	46.84	13.07	23.11
Gamma HHI	0.10	0.08	0.15	0.10	0.10
Net GEX	1.0M	-43.1M	38.0M	-15.5M	38.0M
Net DEX	598.3M	-428.1M	1.44B	1.22B	-428.1M
Net VEX	-6.9M	-8.6M	-5.5M	-6.0M	-8.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.39	3.11	1.39	1.52
Total Volume	196,874.65	123,047	411,177	168,669	123,047
Total OI	2,369,938.45	1,990,770	2,807,234	2,303,116	2,220,019

Daily Data (20 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
2022-01-03	$27.37	$33.00	33.5%	9.3%	36.0%	27.9%	33.9%	4.0%	0.4%	-15.5M	1.22B	-6.0M	1.39	13.07	N/A	N/A	70,431	98,238	1,289,620	1,013,496
2022-01-04	$27.24	$33.00	34.0%	9.4%	34.9%	30.2%	32.0%	4.5%	0.2%	-16.8M	1.23B	-5.9M	0.66	25.06	N/A	N/A	174,184	115,539	1,300,345	1,020,576
2022-01-05	$26.62	$32.50	34.9%	9.7%	34.8%	34.1%	33.0%	4.7%	-0.1%	-36.5M	1.44B	-5.6M	0.86	23.45	N/A	N/A	82,638	71,118	1,280,215	1,067,958
2022-01-06	$26.77	$29.00	33.4%	9.5%	33.5%	27.3%	33.8%	3.4%	0.2%	-40.2M	1.42B	-5.6M	1.19	46.84	N/A	N/A	69,447	82,781	1,311,351	1,086,819
2022-01-07	$27.28	$29.00	32.2%	9.7%	34.2%	22.1%	33.6%	3.9%	0.2%	-18.3M	1.24B	-5.9M	1.58	4.09	N/A	N/A	59,040	93,507	1,350,370	1,100,626
2022-01-10	$26.95	$29.00	33.5%	9.5%	34.1%	28.0%	31.4%	5.1%	-0.4%	-43.1M	1.37B	-5.5M	0.95	3.17	N/A	N/A	72,107	68,351	1,274,794	1,109,469
2022-01-11	$27.91	$29.00	31.3%	9.1%	27.4%	18.4%	33.1%	3.9%	0.1%	-20.9M	1.02B	-5.9M	1.16	2.62	N/A	N/A	65,844	76,360	1,302,585	1,135,438
2022-01-12	$28.82	$29.00	31.5%	8.9%	29.3%	19.1%	31.1%	4.1%	-0.2%	4.0M	691.7M	-6.3M	0.73	41.62	N/A	N/A	132,361	97,057	1,313,615	1,145,519
2022-01-13	$28.81	$29.00	32.2%	9.1%	29.3%	22.2%	31.6%	4.6%	-0.5%	9.5M	668.2M	-6.5M	0.64	8.77	N/A	N/A	93,249	59,253	1,373,606	1,146,087
2022-01-14	$29.17	$29.00	32.4%	9.2%	29.1%	23.0%	31.0%	4.4%	-0.3%	21.9M	492.0M	-6.7M	0.92	3.08	N/A	N/A	102,570	94,518	1,400,244	1,147,511
2022-01-18	$28.83	$30.00	34.1%	9.8%	29.2%	30.7%	34.2%	5.4%	-0.8%	16.7M	706.0M	-6.5M	0.54	10.95	N/A	N/A	96,639	52,398	1,425,720	1,079,896
2022-01-19	$29.90	$30.00	33.6%	9.6%	29.1%	28.3%	34.9%	5.7%	-0.6%	35.7M	283.6M	-7.0M	0.65	2.65	N/A	N/A	101,505	65,902	1,453,854	1,097,674
2022-01-20	$30.16	$30.00	34.6%	10.0%	29.1%	32.7%	36.6%	6.2%	-0.8%	37.6M	179.2M	-7.1M	1.91	15.97	N/A	N/A	141,425	269,752	1,468,470	1,108,230
2022-01-21	$29.94	$30.00	36.4%	10.6%	29.3%	40.6%	37.6%	6.5%	-1.4%	-6.0M	467.1M	-7.6M	1.98	9.85	N/A	N/A	127,893	252,880	1,466,715	1,340,519
2022-01-24	$29.47	$30.00	38.9%	11.4%	30.1%	51.3%	39.4%	7.2%	-1.8%	-12.0M	482.4M	-7.9M	0.88	5.61	N/A	N/A	72,301	63,410	882,518	1,108,252
2022-01-25	$30.52	$30.00	36.1%	10.7%	32.0%	39.1%	38.6%	5.7%	-0.1%	9.6M	18.6M	-8.2M	1.16	6.59	N/A	N/A	60,787	70,206	928,652	1,124,394
2022-01-26	$30.73	$30.00	36.3%	10.6%	31.8%	39.9%	37.3%	6.7%	5.8%	13.1M	-62.6M	-8.3M	0.39	8.09	N/A	N/A	191,418	74,829	949,756	1,153,950
2022-01-27	$31.25	$30.00	36.2%	10.7%	30.8%	39.6%	35.6%	6.3%	-0.1%	21.6M	-261.1M	-8.6M	0.48	4.96	N/A	N/A	118,635	56,530	982,518	1,196,464
2022-01-28	$31.07	$30.00	35.0%	10.3%	30.7%	34.5%	39.3%	5.5%	0.2%	22.1M	-209.3M	-8.5M	3.11	10.81	N/A	N/A	53,348	165,995	1,023,241	1,217,683
2022-01-31	$31.64	$30.00	33.0%	9.5%	31.1%	25.9%	35.4%	5.2%	0.5%	38.0M	-428.1M	-8.4M	1.52	23.11	N/A	N/A	48,855	74,192	1,016,072	1,203,947