EWZ Options History — September 2023 In September 2023, EWZ traded between $29.93 and $32.42. ATM implied volatility averaged 26.6%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 0.5% (HV 20d: 26.1%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.75.
Notable Days 2023-09-13 : Highest Volume — 471,176 contracts2023-09-21 : Largest IV spike — 10.4% change2023-09-27 : Highest IV Rank — 10.1%2023-09-27 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $31.24 $29.93 $32.42 $31.49 $30.69 Max Pain $31.60 $31.00 $32.00 $32.00 $32.00 ATM IV 26.6% 24.6% 28.6% 26.1% 27.1% Expected Move 7.6% 7.1% 8.0% 7.3% 7.7% HV 20d 26.1% 24.3% 27.6% 24.3% 24.7% HV 60d 24.1% 23.6% 24.8% 23.6% 23.8% IV Rank 4.6% 0.0% 10.1% 3.2% 6.3% IV Percentile 12.5% 0.0% 32.1% 5.6% 19.0% Term Structure 0.4% -0.1% 0.9% 0.6% 0.2% VWIV 26.8% 25.2% 29.1% 25.2% 28.9% Skew 25d 2.9% 2.4% 3.5% 3.3% 3.3% Skew 10d 5.9% 4.8% 7.6% 6.4% 7.6% Call IV 25d 25.5% 24.0% 27.6% 24.4% 25.9% Put IV 25d 28.4% 26.5% 30.9% 27.7% 29.2% Bid-Ask Spread % 4.46 1.71 22.59 2.05 2.20 Gamma HHI 0.10 0.06 0.13 0.10 0.07 Net GEX 51.2M -4.8M 136.0M 86.1M 7.3M Net DEX -311.5M -1.30B 584.6M -636.4M 150.8M Net VEX -8.2M -10.0M -7.1M -10.0M -7.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.17 1.83 0.42 1.34 Total Volume 145,100.6 37,547 471,176 90,083 104,761 Total OI 2,931,864.45 2,353,441 3,458,407 3,255,417 2,643,837
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 2023-09-01 $31.49 $32.00 26.1% 7.3% 24.3% 3.2% 25.2% 3.3% 0.6% 86.1M -636.4M -10.0M 0.42 2.05 N/A N/A 63,454 26,629 2,006,342 1,249,075 2023-09-05 $31.16 $31.00 27.1% 7.8% 24.6% 5.8% 26.0% 3.3% 0.2% 59.8M -371.0M -9.2M 0.17 1.76 N/A N/A 115,007 19,077 2,017,067 1,246,089 2023-09-06 $30.76 $31.00 26.5% 7.6% 24.9% 4.2% 26.6% 3.1% 0.1% 44.3M -128.7M -8.8M 1.70 2.04 N/A N/A 31,185 53,131 2,029,320 1,258,048 2023-09-07 $30.18 $31.00 27.2% 7.9% 25.5% 6.1% 27.1% 3.1% 0.3% 16.2M 314.1M -8.3M 0.64 2.42 N/A N/A 22,901 14,646 2,030,991 1,287,526 2023-09-08 $30.52 $31.00 26.0% 7.5% 25.9% 3.0% 26.6% 2.8% 0.1% 49.4M 1.4M -8.4M 1.19 1.73 N/A N/A 50,299 60,030 2,049,314 1,282,635 2023-09-11 $31.32 $31.00 27.0% 7.9% 27.6% 5.5% 27.7% 2.9% 0.7% 70.0M -562.4M -8.7M 0.20 1.93 N/A N/A 156,297 31,263 2,015,269 1,293,576 2023-09-12 $31.43 $31.00 26.6% 7.8% 26.6% 4.4% 27.1% 2.8% 0.5% 104.4M -699.8M -8.7M 0.43 2.14 N/A N/A 54,177 23,128 2,135,443 1,311,632 2023-09-13 $31.76 $31.00 25.4% 7.5% 26.5% 1.5% 26.5% 2.7% 0.8% 136.0M -963.9M -8.7M 0.22 1.73 N/A N/A 387,597 83,579 2,138,859 1,319,548 2023-09-14 $32.42 $31.00 25.7% 7.6% 27.3% 2.2% 26.5% 2.6% 0.9% 118.2M -1.30B -8.7M 0.58 2.24 N/A N/A 94,917 54,804 1,978,581 1,347,930 2023-09-15 $32.23 $32.00 25.8% 7.4% 27.2% 2.5% 25.6% 2.4% 0.2% 65.4M -1.14B -8.5M 0.78 1.71 N/A N/A 55,574 43,256 1,997,098 1,386,951 2023-09-18 $32.28 $32.00 25.4% 7.3% 27.2% 1.3% 25.7% 2.6% 0.5% 64.7M -763.2M -8.1M 1.01 2.07 N/A N/A 30,177 30,601 1,355,778 997,663 2023-09-19 $32.05 $32.00 25.3% 7.2% 27.0% 1.1% 25.4% 2.4% 0.1% 60.1M -637.8M -8.1M 1.42 2.04 N/A N/A 43,727 61,958 1,370,983 1,008,464 2023-09-20 $32.30 $32.00 24.6% 7.1% 26.0% 0.0% 25.2% 2.4% 0.7% 65.4M -740.2M -8.2M 0.42 18.22 N/A N/A 232,795 96,942 1,393,026 1,046,219 2023-09-21 $31.24 $32.00 27.2% 7.8% 26.2% 6.5% 26.9% 2.8% 0.4% 28.9M -51.6M -8.2M 1.83 6.22 N/A N/A 36,192 66,190 1,505,092 1,111,383 2023-09-22 $31.23 $32.00 27.0% 7.7% 25.8% 5.8% 26.2% 2.9% 0.5% 28.2M -22.6M -8.1M 0.48 9.11 N/A N/A 85,562 40,916 1,504,338 1,151,677 2023-09-25 $30.96 $32.00 27.5% 7.8% 25.9% 7.1% 27.1% 3.3% 0.2% 20.6M 46.5M -7.6M 0.52 2.44 N/A N/A 34,012 17,650 1,396,280 1,096,691 2023-09-26 $30.37 $32.00 28.3% 8.0% 26.3% 9.1% 29.1% 3.5% 0.1% 5.1M 355.1M -7.3M 0.58 2.31 N/A N/A 81,978 47,921 1,412,138 1,102,844 2023-09-27 $29.93 $32.00 28.6% 8.0% 25.7% 10.1% 29.1% 3.3% -0.1% -4.8M 584.6M -7.1M 0.69 2.30 N/A N/A 154,160 106,303 1,432,306 1,118,792 2023-09-28 $30.45 $32.00 27.3% 7.7% 26.6% 6.6% 26.9% 3.3% 0.4% -1.3M 334.4M -7.2M 0.31 22.59 N/A N/A 144,140 45,076 1,444,486 1,163,998 2023-09-29 $30.69 $32.00 27.1% 7.7% 24.7% 6.3% 28.9% 3.3% 0.2% 7.3M 150.8M -7.1M 1.34 2.20 N/A N/A 44,853 59,908 1,464,718 1,179,119
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