EWZ Options History — December 2023 In December 2023, EWZ traded between $33.39 and $35.59. ATM implied volatility averaged 27.3%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 5.4% (HV 20d: 21.9%). Max pain ranged from $31.00 to $36.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.49.
Notable Days 2023-12-19 : Highest Volume — 799,596 contracts2023-12-22 : Largest IV spike — 45.0% change2023-12-27 : Highest IV Rank — 42.6%2023-12-27 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $34.41 $33.39 $35.59 $34.41 $34.95 Max Pain $34.30 $31.00 $36.00 $31.00 $36.00 ATM IV 27.3% 20.1% 36.0% 28.9% 24.8% Expected Move 7.4% 5.8% 10.5% 6.9% 6.8% HV 20d 21.9% 17.4% 27.6% 17.4% 27.2% HV 60d 23.9% 23.1% 25.3% 23.6% 23.7% IV Rank 13.1% 0.0% 42.6% 11.1% 12.4% IV Percentile 30.3% 0.0% 90.9% 44.0% 3.6% Term Structure -0.7% -10.0% 9.2% -0.3% 0.4% VWIV 25.0% 19.8% 31.9% 24.8% 23.6% Skew 25d 0.0% -16.5% 5.4% 3.8% 2.5% Skew 10d 0.5% -18.3% 7.0% 4.3% 5.3% Call IV 25d 26.4% 22.0% 34.3% 25.4% 24.0% Put IV 25d 26.4% 15.8% 38.2% 29.1% 26.5% Bid-Ask Spread % 45.31 1.69 62.00 1.69 27.95 Gamma HHI 0.15 0.09 0.25 0.17 0.12 Net GEX 63.5M 2.9M 135.0M 94.6M 55.0M Net DEX -832.2M -1.98B 307.6M -1.68B -172.6M Net VEX -5.7M -7.5M -4.5M -5.5M -7.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.49 0.08 4.52 0.65 3.05 Total Volume 186,422.95 55,366 799,596 285,662 75,086 Total OI 2,522,284.5 1,848,845 3,075,051 2,709,700 2,297,949
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 2023-12-01 $34.41 $31.00 28.9% 6.9% 17.4% 11.1% 24.8% 3.8% -0.3% 94.6M -1.68B -5.5M 0.65 1.69 N/A N/A 172,761 112,901 1,443,324 1,266,376 2023-12-04 $33.67 $33.00 30.6% 7.6% 19.4% 15.4% 26.1% 5.4% -1.4% 69.2M -1.20B -5.7M 0.71 55.70 N/A N/A 40,414 28,858 1,459,719 1,344,421 2023-12-05 $33.78 $33.00 29.5% 7.3% 19.4% 12.7% 24.0% -0.8% -1.2% 70.8M -1.25B -5.4M 0.08 58.20 N/A N/A 183,741 14,212 1,419,672 1,355,293 2023-12-06 $33.64 $33.00 30.2% 7.4% 19.4% 14.4% 26.6% 5.0% -1.1% 73.7M -1.17B -5.6M 4.52 60.27 N/A N/A 11,399 51,515 1,499,014 1,358,313 2023-12-07 $33.61 $33.00 29.4% 7.3% 19.0% 12.6% 24.1% 1.5% -0.7% 67.0M -1.15B -5.4M 1.86 62.00 N/A N/A 19,342 36,024 1,494,837 1,415,695 2023-12-08 $33.84 $33.00 28.3% 7.1% 18.8% 9.7% 23.6% 3.8% -0.4% 71.0M -1.27B -5.4M 1.41 59.22 N/A N/A 29,192 41,168 1,510,576 1,440,429 2023-12-11 $33.77 $33.00 26.4% 6.7% 18.0% 4.8% 24.5% 4.1% -0.8% 68.1M -1.18B -4.8M 1.35 57.45 N/A N/A 34,436 46,371 1,485,776 1,437,008 2023-12-12 $33.39 $33.00 25.2% 6.8% 18.6% 1.9% 25.2% 4.5% -1.2% 47.1M -935.1M -4.9M 1.06 58.65 N/A N/A 46,383 49,285 1,492,133 1,446,251 2023-12-13 $34.52 $34.00 27.1% 6.8% 19.1% 6.5% 24.0% -1.5% -1.9% 108.4M -1.67B -4.8M 1.14 59.17 N/A N/A 70,267 80,206 1,507,883 1,466,244 2023-12-14 $35.00 $34.00 25.3% 6.7% 19.6% 2.1% 23.4% 2.2% -1.6% 135.0M -1.98B -4.8M 0.28 53.97 N/A N/A 211,462 59,281 1,516,264 1,508,831 2023-12-15 $34.61 $34.00 20.3% 6.4% 20.1% 0.0% 23.5% 3.9% 9.2% 71.0M -1.68B -4.7M 0.67 61.98 N/A N/A 85,069 57,138 1,555,050 1,520,001 2023-12-18 $35.17 $35.00 21.1% 6.1% 20.6% 2.2% 19.8% 0.0% 2.6% 65.4M -535.1M -4.5M 0.88 45.78 N/A N/A 55,080 48,374 874,779 974,066 2023-12-19 $35.59 $35.00 20.1% 5.8% 19.8% 0.0% 20.9% -0.4% 1.4% 90.0M -689.9M -4.7M 0.16 40.85 N/A N/A 687,834 111,762 888,543 1,004,279 2023-12-20 $33.88 $36.00 24.3% 7.0% 26.6% 11.3% 24.7% 3.0% 0.0% 2.9M 307.6M -6.1M 1.88 38.68 N/A N/A 94,913 178,141 844,038 1,068,624 2023-12-21 $34.28 $36.00 23.9% 6.8% 26.9% 10.0% 25.5% 3.8% 0.7% 17.1M 106.9M -6.4M 1.70 43.52 N/A N/A 76,225 129,547 882,710 1,099,952 2023-12-22 $34.61 $36.00 34.6% 10.0% 27.1% 38.9% 30.0% -10.7% -0.4% 27.2M 59.5M -6.7M 2.21 41.97 N/A N/A 34,033 75,344 938,388 1,133,934 2023-12-26 $35.17 $36.00 35.4% 10.3% 27.6% 41.0% 30.2% -15.3% -10.0% 48.0M -191.8M -6.6M 2.80 24.58 N/A N/A 36,016 101,016 956,958 1,132,005 2023-12-27 $35.22 $36.00 36.0% 10.5% 27.3% 42.6% 31.9% -16.5% -8.5% 40.6M -126.1M -7.0M 2.32 27.22 N/A N/A 117,374 272,743 967,859 1,182,008 2023-12-28 $35.08 $36.00 24.5% 6.8% 27.1% 11.8% 23.0% 2.5% 0.6% 47.9M -233.5M -7.5M 0.97 27.38 N/A N/A 78,038 75,508 1,032,971 1,223,517 2023-12-29 $34.95 $36.00 24.8% 6.8% 27.2% 12.4% 23.6% 2.5% 0.4% 55.0M -172.6M -7.5M 3.05 27.95 N/A N/A 18,557 56,529 1,074,374 1,223,575
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