EWZ Options History — July 2023 In July 2023, EWZ traded between $31.27 and $34.09. ATM implied volatility averaged 27.3%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.0% (HV 20d: 24.3%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.44.
Notable Days 2023-07-07 : Highest Volume — 274,677 contracts2023-07-27 : Largest IV spike — 7.0% change2023-07-10 : Highest IV Rank — 8.8%2023-07-06 : Largest Expected Move — 8.4%Monthly Statistics Metric Avg Min Max Open Close Price $32.65 $31.27 $34.09 $32.81 $33.86 Max Pain $31.90 $30.00 $33.00 $30.00 $33.00 ATM IV 27.3% 26.2% 28.3% 27.5% 27.3% Expected Move 7.8% 7.4% 8.4% 7.8% 7.8% HV 20d 24.3% 20.9% 26.0% 20.9% 26.0% HV 60d 24.4% 23.4% 26.6% 25.3% 23.7% IV Rank 6.3% 3.4% 8.8% 6.8% 6.3% IV Percentile 8.4% 5.2% 13.9% 7.5% 10.3% Term Structure -0.1% -1.1% 0.4% 0.2% -0.2% VWIV 27.5% 25.6% 30.1% 27.6% 28.0% Skew 25d 2.5% -10.5% 3.8% 3.7% 2.9% Skew 10d 6.8% 4.4% 13.8% 7.0% 6.2% Call IV 25d 26.9% 25.0% 44.2% 26.3% 26.5% Put IV 25d 29.4% 28.0% 33.7% 30.0% 29.4% Bid-Ask Spread % 9.82 1.70 49.28 49.28 2.28 Gamma HHI 0.14 0.09 0.54 0.12 0.13 Net GEX 103.8M 62.0M 297.4M 99.8M 99.3M Net DEX -1.30B -1.90B -643.5M -1.56B -1.62B Net VEX -10.4M -11.0M -9.7M -11.0M -10.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.44 0.21 1.07 0.41 0.43 Total Volume 132,953.85 35,888 274,677 40,708 75,146 Total OI 2,771,672.6 2,452,458 2,964,922 2,644,786 2,545,738
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 2023-07-03 $32.81 $30.00 27.5% 7.8% 20.9% 6.8% 27.6% 3.7% 0.2% 99.8M -1.56B -11.0M 0.41 49.28 N/A N/A 28,897 11,811 1,532,097 1,112,689 2023-07-05 $32.36 $30.00 27.4% 7.8% 21.8% 6.6% 30.1% 3.7% 0.2% 98.5M -1.36B -10.8M 0.84 39.10 N/A N/A 111,087 92,828 1,602,551 1,140,552 2023-07-06 $31.27 $32.00 27.7% 8.4% 24.4% 7.4% 28.6% -10.5% -1.1% 62.0M -643.5M -10.9M 0.39 43.42 N/A N/A 172,412 67,585 1,677,561 1,164,911 2023-07-07 $32.11 $32.00 28.1% 8.0% 24.8% 8.2% 27.9% 3.4% 0.4% 86.4M -1.16B -10.9M 0.34 7.41 N/A N/A 204,651 70,026 1,657,424 1,189,997 2023-07-10 $31.63 $32.00 28.3% 7.9% 25.2% 8.8% 27.7% 3.8% -0.9% 69.7M -816.6M -10.6M 0.48 23.81 N/A N/A 87,309 41,814 1,651,045 1,207,780 2023-07-11 $31.68 $32.00 28.2% 7.9% 24.7% 8.7% 27.8% 3.3% -0.6% 70.8M -827.2M -10.5M 0.29 2.02 N/A N/A 149,723 42,928 1,640,990 1,210,159 2023-07-12 $32.09 $32.00 27.4% 7.9% 25.0% 6.5% 27.4% 3.5% 0.2% 96.7M -1.11B -10.8M 0.51 2.03 N/A N/A 56,507 29,072 1,725,209 1,216,520 2023-07-13 $32.70 $32.00 26.9% 7.6% 25.7% 5.2% 26.4% 3.2% -0.4% 114.1M -1.56B -11.0M 0.57 2.00 N/A N/A 42,181 23,977 1,716,155 1,226,238 2023-07-14 $32.25 $32.00 27.6% 7.9% 24.2% 6.9% 27.8% 3.5% -0.1% 93.9M -1.24B -10.5M 0.81 2.47 N/A N/A 81,667 66,214 1,727,654 1,237,268 2023-07-17 $32.28 $32.00 27.7% 8.0% 24.1% 7.4% 27.7% 3.5% -0.3% 96.1M -1.15B -10.3M 0.35 2.55 N/A N/A 29,390 10,357 1,682,496 1,221,095 2023-07-18 $32.20 $32.00 27.7% 7.9% 23.9% 7.2% 27.4% 3.1% 0.4% 95.9M -1.11B -10.0M 0.25 2.19 N/A N/A 28,623 7,265 1,688,078 1,225,140 2023-07-19 $32.23 $32.00 27.3% 7.8% 23.5% 6.3% 26.7% 2.8% 0.3% 102.8M -1.17B -9.9M 0.34 1.70 N/A N/A 68,526 23,000 1,698,365 1,227,205 2023-07-20 $32.38 $32.00 26.7% 7.7% 23.1% 4.8% 27.3% 3.0% -0.1% 108.4M -1.24B -9.7M 0.24 1.85 N/A N/A 41,436 9,970 1,688,975 1,236,257 2023-07-21 $33.09 $32.00 26.6% 7.6% 24.1% 4.4% 26.3% 2.6% 0.1% 297.4M -1.86B -9.9M 0.32 1.96 N/A N/A 184,694 58,911 1,699,340 1,244,198 2023-07-24 $33.64 $32.00 26.5% 7.6% 24.6% 4.3% 27.1% 2.8% 0.0% 96.4M -1.56B -10.0M 0.33 2.70 N/A N/A 92,860 30,984 1,430,794 1,021,664 2023-07-25 $33.80 $32.00 26.3% 7.5% 24.7% 3.6% 27.6% 2.9% 0.3% 105.7M -1.68B -10.3M 1.07 2.09 N/A N/A 61,208 65,651 1,485,834 1,028,835 2023-07-26 $34.09 $32.00 26.2% 7.4% 24.3% 3.4% 25.6% 3.0% 0.2% 109.0M -1.90B -10.3M 0.47 2.32 N/A N/A 78,006 36,878 1,489,502 1,081,941 2023-07-27 $33.09 $32.00 28.0% 8.1% 25.9% 8.1% 28.4% 2.6% -0.1% 89.6M -1.24B -10.1M 0.24 3.13 N/A N/A 204,894 49,839 1,486,981 1,085,649 2023-07-28 $33.34 $33.00 26.9% 7.7% 25.7% 5.2% 27.0% 2.5% 0.2% 83.0M -1.28B -9.8M 0.21 2.04 N/A N/A 99,996 20,754 1,424,036 1,104,529 2023-07-31 $33.86 $33.00 27.3% 7.8% 26.0% 6.3% 28.0% 2.9% -0.2% 99.3M -1.62B -10.0M 0.43 2.28 N/A N/A 52,691 22,455 1,467,911 1,077,827
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