EWZ Options History — September 2022

In September 2022, EWZ traded between $28.99 and $32.31. ATM implied volatility averaged 46.4%, placing in the 60.1% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 11.4% (HV 20d: 35.0%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.81.

Notable Days

2022-09-28: Highest Volume — 352,919 contracts
2022-09-06: Largest IV spike — 15.4% change
2022-09-30: Highest IV Rank — 88.8%
2022-09-29: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.56	$28.99	$32.31	$30.40	$29.67
Max Pain	$30.10	$30.00	$31.00	$31.00	$30.00
ATM IV	46.4%	41.7%	55.1%	41.7%	55.1%
Expected Move	13.1%	10.8%	16.1%	11.0%	16.1%
HV 20d	35.0%	28.4%	43.2%	31.1%	42.2%
HV 60d	33.1%	30.7%	35.9%	35.9%	34.7%
IV Rank	60.1%	44.9%	88.8%	44.9%	88.8%
IV Percentile	93.2%	86.9%	99.2%	88.5%	99.2%
Term Structure	1.0%	-2.3%	8.3%	7.9%	7.0%
VWIV	45.6%	37.6%	55.5%	37.9%	55.5%
Skew 25d	3.4%	2.7%	6.6%	2.9%	6.6%
Skew 10d	5.8%	3.8%	13.7%	5.4%	13.7%
Call IV 25d	44.4%	38.0%	50.9%	38.8%	49.7%
Put IV 25d	47.8%	40.9%	56.3%	41.6%	56.3%
Bid-Ask Spread %	33.12	7.52	52.42	33.08	44.96
Gamma HHI	0.06	0.05	0.08	0.05	0.06
Net GEX	8.4M	-4.9M	38.0M	-4.5M	14.1M
Net DEX	357.5M	-479.0M	867.7M	463.8M	595.4M
Net VEX	-10.7M	-11.8M	-9.6M	-11.4M	-11.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.37	1.67	0.37	1.07
Total Volume	160,738.19	56,375	352,919	156,714	309,236
Total OI	2,893,301.714	2,581,071	3,220,955	2,809,529	3,220,955

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
2022-09-01	$30.40	$31.00	41.7%	11.0%	31.1%	44.9%	37.9%	2.9%	7.9%	-4.5M	463.8M	-11.4M	0.37	33.08	N/A	N/A	114,041	42,673	1,424,347	1,385,182
2022-09-02	$30.80	$31.00	42.1%	10.8%	31.1%	46.2%	37.6%	2.9%	7.9%	14.1M	266.5M	-11.6M	0.95	7.52	N/A	N/A	28,893	27,482	1,494,488	1,396,804
2022-09-06	$30.29	$30.00	48.6%	13.5%	29.5%	67.4%	46.5%	3.4%	-1.3%	1.9M	479.4M	-10.9M	0.54	47.55	N/A	N/A	155,847	84,070	1,485,861	1,376,682
2022-09-07	$30.65	$30.00	49.2%	13.2%	29.8%	69.3%	46.4%	3.0%	-1.6%	5.2M	344.4M	-11.1M	0.75	39.89	N/A	N/A	87,825	66,126	1,473,991	1,394,628
2022-09-08	$30.44	$30.00	47.6%	13.3%	28.7%	64.1%	45.9%	3.0%	-1.7%	5.2M	409.4M	-10.8M	0.65	40.47	N/A	N/A	74,258	47,909	1,498,795	1,400,640
2022-09-09	$31.45	$30.00	45.4%	12.6%	30.4%	56.8%	43.8%	2.9%	-2.1%	27.7M	-102.8M	-11.3M	0.45	24.76	N/A	N/A	108,975	49,401	1,526,390	1,434,248
2022-09-12	$32.16	$30.00	46.4%	12.7%	28.4%	60.3%	44.0%	2.7%	-1.5%	38.0M	-479.0M	-11.8M	0.55	39.42	N/A	N/A	38,436	21,048	1,573,619	1,432,707
2022-09-13	$30.75	$30.00	47.5%	12.9%	32.6%	63.9%	45.0%	3.1%	-2.3%	13.4M	259.8M	-11.2M	1.23	20.24	N/A	N/A	85,758	105,307	1,571,663	1,438,710
2022-09-14	$30.84	$30.00	45.8%	12.7%	32.7%	58.4%	45.4%	3.5%	-1.5%	13.4M	275.0M	-11.0M	0.76	52.42	N/A	N/A	42,942	32,598	1,571,072	1,445,087
2022-09-15	$30.33	$30.00	44.3%	12.5%	33.1%	53.3%	43.4%	3.2%	-1.0%	-4.9M	535.7M	-10.3M	0.70	49.53	N/A	N/A	66,763	46,539	1,580,339	1,445,859
2022-09-16	$29.95	$30.00	43.4%	12.1%	33.3%	50.4%	41.6%	3.3%	-1.5%	-8.9K	801.2M	-10.1M	1.16	47.01	N/A	N/A	93,616	108,242	1,608,117	1,457,098
2022-09-19	$31.31	$30.00	42.7%	12.1%	36.4%	48.2%	42.7%	2.8%	-1.2%	11.8M	98.9M	-10.5M	1.67	28.75	N/A	N/A	52,018	86,778	1,343,395	1,237,676
2022-09-20	$31.52	$30.00	42.7%	12.2%	36.4%	48.2%	43.2%	3.1%	-1.3%	11.3M	41.6M	-10.5M	1.16	18.32	N/A	N/A	44,734	51,873	1,366,546	1,267,555
2022-09-21	$31.24	$30.00	43.0%	12.3%	33.8%	49.0%	41.9%	2.8%	-1.8%	7.3M	147.6M	-10.6M	0.49	19.53	N/A	N/A	53,964	26,515	1,400,665	1,292,172
2022-09-22	$32.31	$30.00	42.9%	12.4%	36.0%	48.7%	42.3%	3.4%	-1.5%	21.5M	-341.0M	-10.9M	0.79	34.96	N/A	N/A	93,813	74,106	1,422,203	1,303,565
2022-09-23	$30.70	$30.00	45.4%	13.2%	40.4%	56.8%	46.6%	3.6%	-1.7%	4.3M	388.2M	-10.6M	0.84	17.77	N/A	N/A	42,800	35,811	1,504,570	1,347,732
2022-09-26	$29.34	$30.00	48.3%	14.4%	43.2%	66.4%	50.4%	3.9%	4.4%	-843.1K	828.9M	-9.6M	0.64	42.34	N/A	N/A	116,662	74,577	1,503,538	1,301,969
2022-09-27	$29.19	$30.00	49.5%	14.8%	42.8%	70.4%	52.4%	4.5%	3.2%	-2.4M	867.7M	-9.7M	0.85	42.68	N/A	N/A	70,198	59,444	1,528,025	1,315,371
2022-09-28	$29.46	$30.00	49.5%	14.9%	41.4%	70.4%	50.4%	3.9%	3.7%	-38.6K	766.7M	-9.8M	0.54	27.36	N/A	N/A	228,810	124,109	1,542,335	1,325,176
2022-09-29	$28.99	$30.00	52.5%	16.1%	41.3%	80.3%	55.2%	3.6%	8.3%	-853.6K	859.3M	-10.3M	0.77	16.90	N/A	N/A	170,610	130,695	1,727,563	1,391,998
2022-09-30	$29.67	$30.00	55.1%	16.1%	42.2%	88.8%	55.5%	6.6%	7.0%	14.1M	595.4M	-11.0M	1.07	44.96	N/A	N/A	149,179	160,057	1,779,454	1,441,501