EWZ Options History — January 2024

In January 2024, EWZ traded between $32.34 and $34.53. ATM implied volatility averaged 24.3%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.0% (HV 20d: 23.3%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.86.

Notable Days

  • 2024-01-10: Highest Volume — 315,601 contracts
  • 2024-01-16: Largest IV spike — 9.2% change
  • 2024-01-17: Highest IV Rank — 29.0%
  • 2024-01-02: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.54$32.34$34.53$34.27$32.87
Max Pain$34.33$34.00$36.00$36.00$34.00
ATM IV24.3%22.6%25.9%25.9%23.9%
Expected Move7.0%6.5%7.4%7.4%7.1%
HV 20d23.3%17.1%27.8%27.8%17.1%
HV 60d23.2%21.5%24.2%24.1%21.5%
IV Rank22.1%14.6%29.0%27.9%22.5%
IV Percentile5.1%1.2%14.3%14.3%4.8%
Term Structure0.1%-1.0%0.6%0.1%0.6%
VWIV24.7%23.1%26.8%26.8%26.7%
Skew 25d2.5%1.8%3.0%2.9%2.7%
Skew 10d5.2%3.8%6.3%5.8%4.8%
Call IV 25d23.4%21.9%25.4%25.4%23.1%
Put IV 25d25.9%23.7%28.3%28.3%25.8%
Bid-Ask Spread %46.5230.0065.3630.3734.09
Gamma HHI0.120.080.400.110.08
Net GEX8.8M-92.1M60.4M4.1M-6.6M
Net DEX230.9M-83.5M521.3M247.4M287.5M
Net VEX-7.3M-8.1M-6.6M-6.9M-7.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.487.961.551.83
Total Volume135,026.42936,744315,601103,726206,193
Total OI2,133,522.7621,672,0962,515,5762,188,6281,878,423

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$34.27$36.0025.9%7.4%27.8%27.9%26.8%2.9%0.1%4.1M247.4M-6.9M1.5530.37N/AN/A40,60563,1211,015,5361,173,092
2024-01-03$34.47$35.0025.6%7.2%26.7%26.3%25.0%2.5%0.4%3.3M71.6M-7.0M7.9630.51N/AN/A27,999222,8021,029,7371,168,507
2024-01-04$34.09$35.0025.7%7.2%27.0%26.6%24.7%2.8%0.0%23.1M154.6M-7.1M1.4853.98N/AN/A26,23938,7111,046,7951,123,917
2024-01-05$34.41$35.0024.8%7.1%27.1%22.4%23.9%2.6%0.0%34.5M22.1M-7.0M0.9454.58N/AN/A86,07581,1301,058,1001,137,642
2024-01-08$34.53$35.0024.9%7.0%27.1%23.0%25.1%2.2%-0.3%52.7M-83.5M-7.4M0.7358.18N/AN/A51,59037,6051,088,4701,145,434
2024-01-09$34.03$35.0024.6%7.0%27.6%21.7%24.1%2.7%-0.1%29.6M167.7M-7.2M0.4858.05N/AN/A160,09277,0291,113,6731,162,714
2024-01-10$33.98$34.0024.6%7.0%27.6%21.3%24.7%2.5%0.1%23.6M204.7M-7.2M1.8557.59N/AN/A110,773204,8281,133,4601,181,502
2024-01-11$34.09$34.0023.8%6.8%27.3%18.7%23.3%2.7%-0.0%35.2M99.4M-7.9M4.1560.98N/AN/A17,55272,7901,246,2971,225,546
2024-01-12$34.38$34.0023.3%6.7%24.7%16.6%23.7%3.0%0.6%60.4M-11.6M-8.1M1.5856.70N/AN/A23,03936,4121,250,2581,243,867
2024-01-16$33.44$34.0025.5%7.3%25.9%29.0%25.4%2.6%-1.0%-10.2M430.5M-7.4M2.6158.66N/AN/A32,71485,4901,227,5361,243,205
2024-01-17$33.22$34.0025.4%7.3%25.8%29.0%25.6%2.4%-0.2%-22.6M521.3M-7.2M3.3561.84N/AN/A58,697196,3791,229,0241,247,882
2024-01-18$32.97$34.0024.1%6.9%24.9%21.9%24.5%2.5%-0.1%-31.0M509.5M-7.0M1.9862.12N/AN/A48,51196,1831,270,0701,234,538
2024-01-19$32.98$34.0023.2%6.7%24.3%17.0%23.4%1.9%-0.0%-92.1M484.4M-7.0M0.7665.36N/AN/A67,77951,2471,276,0321,239,544
2024-01-22$32.34$34.0023.8%6.9%18.6%21.7%25.6%2.4%0.4%-3.3M407.7M-6.6M0.9035.17N/AN/A134,198121,302859,894812,202
2024-01-23$32.86$34.0022.9%6.7%19.1%16.6%23.6%2.5%0.1%3.3M294.6M-7.4M1.0932.64N/AN/A25,67827,892876,610882,106
2024-01-24$32.95$34.0023.8%7.0%18.7%22.0%24.4%2.6%-0.0%8.1M248.1M-7.5M0.6430.00N/AN/A41,79226,817892,994884,835
2024-01-25$33.09$34.0023.2%6.8%17.5%18.5%24.3%2.3%0.5%16.0M196.2M-7.3M1.5332.96N/AN/A15,96524,429921,772898,301
2024-01-26$33.39$34.0022.6%6.5%18.0%14.6%23.1%1.8%0.3%57.6M81.5M-7.3M1.5333.55N/AN/A14,54322,201926,206904,837
2024-01-29$33.08$34.0024.2%7.1%18.1%24.3%24.8%2.8%0.0%1.5M221.6M-7.5M0.5133.38N/AN/A37,11318,825879,416879,474
2024-01-30$32.86$34.0023.9%7.1%18.2%22.9%26.1%2.7%-0.0%-2.4M294.4M-7.2M1.5236.27N/AN/A40,91862,297902,192892,338
2024-01-31$32.87$34.0023.9%7.1%17.1%22.5%26.7%2.7%0.6%-6.6M287.5M-7.4M1.8334.09N/AN/A72,781133,412934,968943,455