EWZ Options History — March 2023 In March 2023, EWZ traded between $25.27 and $28.16. ATM implied volatility averaged 34.0%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 8.7% (HV 20d: 25.3%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 2.89.
Notable Days 2023-03-23 : Highest Volume — 625,971 contracts2023-03-16 : Largest IV drop — 10.5% change2023-03-15 : Highest IV Rank — 23.9%2023-03-15 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $26.82 $25.27 $28.16 $27.45 $27.37 Max Pain $27.61 $27.00 $29.00 $29.00 $27.00 ATM IV 34.0% 31.1% 36.7% 33.7% 34.0% Expected Move 9.8% 9.0% 10.6% 9.6% 9.7% HV 20d 25.3% 22.8% 29.7% 23.8% 29.7% HV 60d 32.7% 27.2% 36.8% 36.7% 27.2% IV Rank 16.5% 8.4% 23.9% 15.5% 16.4% IV Percentile 23.4% 7.5% 40.9% 18.7% 21.0% Term Structure 0.1% -1.2% 1.3% -0.3% 0.8% VWIV 34.2% 31.4% 37.1% 32.9% 35.0% Skew 25d 4.3% 3.1% 5.8% 3.9% 3.5% Skew 10d 8.3% 5.7% 10.7% 7.5% 7.3% Call IV 25d 32.2% 30.0% 34.2% 31.9% 32.5% Put IV 25d 36.5% 33.1% 39.8% 35.8% 36.0% Bid-Ask Spread % 20.69 2.14 46.55 13.37 33.62 Gamma HHI 0.12 0.08 0.18 0.12 0.15 Net GEX -29.5M -55.5M 36.8M -47.1M 36.8M Net DEX 1.05B -68.7M 1.49B 1.08B 292.8M Net VEX -7.8M -9.8M -6.8M -6.8M -9.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.89 0.48 10.55 5.21 1.21 Total Volume 248,805.696 101,425 625,971 299,540 244,380 Total OI 2,807,057.478 2,278,168 3,165,584 2,608,939 3,165,584
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 2023-03-01 $27.45 $29.00 33.7% 9.6% 23.8% 15.5% 32.9% 3.9% -0.3% -47.1M 1.08B -6.8M 5.21 13.37 N/A N/A 48,218 251,322 1,126,258 1,482,681 2023-03-02 $27.13 $28.50 33.5% 9.4% 24.0% 15.0% 32.2% 3.9% 0.2% -55.5M 1.20B -6.8M 3.89 38.25 N/A N/A 25,799 100,355 1,148,470 1,500,845 2023-03-03 $27.21 $28.50 32.0% 9.0% 23.3% 10.8% 33.0% 3.7% -0.1% -40.4M 1.28B -6.9M 7.30 3.36 N/A N/A 18,476 134,823 1,157,976 1,600,457 2023-03-06 $27.69 $28.00 32.1% 9.2% 22.8% 11.1% 32.1% 3.7% 0.5% -30.6M 999.5M -6.8M 1.03 7.48 N/A N/A 65,345 67,571 1,151,687 1,526,743 2023-03-07 $27.34 $28.00 31.1% 9.3% 23.1% 8.4% 31.4% 3.1% 0.6% -37.3M 1.10B -7.3M 10.55 2.14 N/A N/A 10,727 113,155 1,214,147 1,550,254 2023-03-08 $28.16 $28.00 32.7% 9.3% 25.0% 12.7% 33.2% 3.8% 0.1% -18.3M 755.9M -7.5M 4.61 2.29 N/A N/A 79,860 368,439 1,213,923 1,586,545 2023-03-09 $27.68 $28.00 33.6% 9.4% 24.8% 15.3% 33.6% 3.6% -0.3% -26.5M 934.3M -7.8M 5.28 2.89 N/A N/A 18,711 98,841 1,287,719 1,620,168 2023-03-10 $26.98 $28.00 34.9% 10.0% 24.5% 18.8% 37.1% 4.6% -0.5% -54.0M 1.28B -7.7M 2.11 2.76 N/A N/A 93,367 196,728 1,288,844 1,642,647 2023-03-13 $26.66 $28.00 36.6% 10.1% 24.2% 23.5% 35.1% 5.1% -1.2% -48.0M 1.37B -7.7M 1.89 43.31 N/A N/A 61,477 115,904 1,316,257 1,666,435 2023-03-14 $26.59 $28.00 34.1% 9.6% 23.3% 16.8% 33.9% 4.5% -0.7% -49.1M 1.40B -7.4M 0.98 46.55 N/A N/A 51,151 50,274 1,337,096 1,624,830 2023-03-15 $26.24 $28.00 36.7% 10.6% 23.6% 23.9% 36.2% 5.8% 0.1% -51.3M 1.49B -7.3M 2.25 45.87 N/A N/A 104,832 235,443 1,363,750 1,607,347 2023-03-16 $26.84 $28.00 32.9% 9.7% 25.2% 13.2% 33.3% 5.1% 1.3% -49.6M 1.22B -7.3M 4.20 35.99 N/A N/A 35,120 147,653 1,334,764 1,607,812 2023-03-17 $26.34 $27.00 34.8% 10.1% 25.6% 18.6% 35.4% 5.4% 1.0% -45.0M 1.35B -7.3M 1.07 2.40 N/A N/A 126,970 135,806 1,377,457 1,590,289 2023-03-20 $26.23 $27.00 35.5% 10.2% 25.4% 20.5% 34.8% 4.2% -1.0% -29.9M 1.09B -7.5M 0.48 2.92 N/A N/A 72,475 34,917 947,268 1,330,900 2023-03-21 $26.27 $27.00 33.3% 9.6% 25.2% 14.6% 34.0% 4.2% -0.1% -29.5M 1.05B -7.5M 0.74 41.74 N/A N/A 92,770 68,992 993,274 1,345,445 2023-03-22 $26.16 $27.00 33.3% 9.5% 25.2% 14.3% 33.7% 4.2% -0.3% -28.9M 1.07B -7.8M 3.71 35.60 N/A N/A 93,002 344,647 1,073,667 1,391,546 2023-03-23 $25.27 $27.00 35.6% 10.2% 26.4% 20.8% 36.7% 5.0% -0.1% -35.4M 1.43B -7.6M 3.20 24.63 N/A N/A 148,966 477,005 1,137,974 1,421,940 2023-03-24 $25.64 $27.00 34.5% 9.9% 25.3% 17.7% 33.0% 5.3% 0.2% -36.0M 1.39B -8.4M 0.61 3.46 N/A N/A 125,819 76,818 1,225,032 1,580,385 2023-03-27 $26.09 $27.00 34.5% 10.0% 26.4% 17.8% 34.2% 4.8% 0.7% -24.9M 1.08B -8.7M 0.94 35.18 N/A N/A 62,505 58,854 1,274,302 1,572,282 2023-03-28 $26.68 $27.00 35.2% 10.2% 27.8% 19.6% 34.7% 4.6% 0.6% -14.2M 785.5M -9.1M 1.39 10.19 N/A N/A 116,604 161,611 1,314,796 1,595,887 2023-03-29 $27.04 $27.00 35.3% 10.1% 28.3% 19.9% 35.9% 3.9% 0.2% 2.9M 507.5M -9.6M 3.08 10.24 N/A N/A 128,131 395,148 1,415,620 1,695,084 2023-03-30 $27.70 $27.00 33.2% 9.6% 29.3% 14.3% 34.9% 4.1% 0.8% 32.8M -68.7M -9.7M 0.65 31.55 N/A N/A 160,035 103,485 1,489,544 1,666,391 2023-03-31 $27.37 $27.00 34.0% 9.7% 29.7% 16.4% 35.0% 3.5% 0.8% 36.8M 292.8M -9.8M 1.21 33.62 N/A N/A 110,722 133,658 1,472,333 1,693,251
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