EWZ Options History — March 2022 In March 2022, EWZ traded between $31.88 and $37.99. ATM implied volatility averaged 34.5%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 5.0% (HV 20d: 29.5%). Max pain ranged from $31.00 to $37.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.19.
Notable Days 2022-03-21 : Highest Volume — 402,215 contracts2022-03-11 : Largest IV spike — 25.2% change2022-03-11 : Highest IV Rank — 80.2%2022-03-07 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $34.89 $31.88 $37.99 $32.89 $37.99 Max Pain $33.86 $31.00 $37.00 $31.00 $36.00 ATM IV 34.5% 29.1% 45.5% 34.9% 29.2% Expected Move 10.3% 8.7% 13.0% 10.3% 8.7% HV 20d 29.5% 19.0% 35.0% 19.0% 31.4% HV 60d 28.4% 26.3% 30.5% 29.2% 27.4% IV Rank 32.4% 8.6% 80.2% 34.0% 9.1% IV Percentile 50.6% 6.3% 96.8% 60.3% 6.7% Term Structure -0.0% -4.9% 1.4% 0.1% 1.4% VWIV 37.6% 31.1% 50.3% 35.1% 31.9% Skew 25d 6.2% 4.2% 9.2% 6.8% 4.2% Skew 10d 13.3% 7.5% 31.5% 12.5% 7.5% Call IV 25d 32.4% 27.6% 51.1% 32.1% 27.6% Put IV 25d 38.6% 31.7% 56.8% 38.9% 31.7% Bid-Ask Spread % 32.32 3.69 65.09 28.83 38.95 Gamma HHI 0.13 0.09 0.20 0.12 0.11 Net GEX 45.8M -11.2M 78.6M 29.4M 66.1M Net DEX -914.6M -1.92B 480.3M -265.0M -1.90B Net VEX -11.4M -11.9M -10.1M -11.1M -11.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.19 0.25 2.78 1.25 1.09 Total Volume 210,204.304 106,121 402,215 106,121 119,946 Total OI 2,361,224.565 2,224,676 2,662,278 2,224,676 2,399,426
Daily Data (23 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 2022-03-01 $32.89 $31.00 34.9% 10.3% 19.0% 34.0% 35.1% 6.8% 0.1% 29.4M -265.0M -11.1M 1.25 28.83 N/A N/A 47,219 58,902 1,140,156 1,084,520 2022-03-02 $34.11 $31.00 34.2% 10.0% 22.1% 30.9% 37.0% 6.8% 0.0% 45.3M -868.9M -11.5M 1.23 16.04 N/A N/A 86,687 107,015 1,137,732 1,096,966 2022-03-03 $34.54 $32.00 34.8% 10.0% 21.9% 33.6% 41.7% 6.9% -0.2% 44.7M -1.06B -11.5M 1.76 3.69 N/A N/A 87,604 154,304 1,141,820 1,110,978 2022-03-04 $34.09 $32.00 37.6% 11.2% 22.5% 45.7% 43.4% 8.9% 0.1% 38.0M -802.9M -11.8M 1.52 19.98 N/A N/A 77,825 118,038 1,181,713 1,152,041 2022-03-07 $33.12 $32.00 42.1% 13.0% 25.3% 65.2% 44.8% 9.2% -0.8% 24.2M -277.8M -11.6M 0.99 50.44 N/A N/A 71,597 70,923 1,172,828 1,092,588 2022-03-08 $33.24 $32.00 40.6% 12.5% 25.2% 58.6% 50.3% 8.4% -1.9% 31.7M -334.4M -11.4M 1.63 55.20 N/A N/A 61,057 99,819 1,199,231 1,092,843 2022-03-09 $34.23 $32.00 36.3% 10.7% 27.0% 40.0% 38.8% 7.2% -1.0% 53.2M -816.5M -11.6M 1.82 52.22 N/A N/A 60,767 110,798 1,223,596 1,125,407 2022-03-10 $34.19 $32.00 36.3% 11.0% 27.0% 40.3% 44.8% 6.1% -0.6% 63.7M -778.5M -11.7M 0.70 41.62 N/A N/A 137,862 96,765 1,251,219 1,129,718 2022-03-11 $33.40 $32.00 45.5% 12.4% 28.6% 80.2% 47.8% 5.7% -4.9% 36.9M -345.3M -11.6M 1.92 65.09 N/A N/A 57,749 110,706 1,340,832 1,160,423 2022-03-14 $32.55 $33.00 38.1% 11.7% 30.1% 48.1% 40.8% 8.2% 1.0% 7.8M 176.7M -10.7M 2.78 34.88 N/A N/A 51,513 143,326 1,290,489 1,175,361 2022-03-15 $31.88 $33.00 37.4% 11.7% 30.8% 45.0% 38.4% 7.4% 0.0% -11.2M 480.3M -10.1M 2.68 30.92 N/A N/A 43,500 116,483 1,298,745 1,164,373 2022-03-16 $32.66 $33.00 35.4% 11.2% 31.7% 36.0% 37.8% 6.5% 0.4% 15.4M 91.6M -10.4M 1.29 37.95 N/A N/A 88,438 114,346 1,313,801 1,180,972 2022-03-17 $33.86 $0.00 33.2% 9.9% 34.0% 26.5% 34.6% 5.8% 0.2% 69.2M -484.3M -10.9M 0.69 46.01 N/A N/A 197,018 135,129 1,303,991 1,192,021 2022-03-18 $34.53 $35.00 31.6% 9.4% 33.7% 19.5% 31.8% 5.3% 0.7% 70.3M -1.10B -11.5M 0.48 26.22 N/A N/A 167,258 79,804 1,416,430 1,245,848 2022-03-21 $35.47 $37.00 31.9% 9.5% 34.8% 21.1% 31.1% 5.3% 0.1% 69.6M -1.17B -11.5M 0.26 53.61 N/A N/A 319,389 82,826 1,206,563 1,035,412 2022-03-22 $35.86 $36.00 30.7% 9.2% 34.6% 15.6% 31.6% 4.9% 0.3% 78.6M -1.31B -11.6M 0.41 20.42 N/A N/A 152,843 62,574 1,234,262 1,056,963 2022-03-23 $36.51 $36.00 31.6% 9.3% 35.0% 19.7% 33.2% 5.2% 0.1% 48.8M -1.44B -11.8M 0.68 37.67 N/A N/A 163,704 112,090 1,173,519 1,074,248 2022-03-24 $37.03 $36.00 31.4% 9.4% 32.7% 18.9% 33.1% 4.9% 0.2% 47.3M -1.64B -11.8M 0.25 20.21 N/A N/A 297,326 72,904 1,187,512 1,078,151 2022-03-25 $37.62 $36.00 31.0% 9.1% 32.8% 16.9% 35.9% 4.6% 0.5% 50.9M -1.84B -11.9M 0.91 13.74 N/A N/A 140,349 128,159 1,220,629 1,102,829 2022-03-28 $37.16 $36.00 31.9% 9.4% 33.5% 21.1% 35.4% 4.6% 1.0% 51.4M -1.58B -11.9M 1.44 18.05 N/A N/A 57,791 83,318 1,236,275 1,116,195 2022-03-29 $37.82 $36.00 29.7% 8.8% 33.3% 11.3% 32.6% 4.5% 1.1% 60.8M -1.92B -11.8M 0.71 16.61 N/A N/A 88,688 63,281 1,250,356 1,128,554 2022-03-30 $37.76 $36.00 29.1% 8.7% 31.6% 8.6% 33.9% 4.3% 1.2% 61.3M -1.85B -11.6M 0.95 15.00 N/A N/A 70,461 66,598 1,247,732 1,142,897 2022-03-31 $37.99 $36.00 29.2% 8.7% 31.4% 9.1% 31.9% 4.2% 1.4% 66.1M -1.90B -11.6M 1.09 38.95 N/A N/A 57,391 62,555 1,246,527 1,152,899
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