EWZ Options History — March 2024 In March 2024, EWZ traded between $31.96 and $33.17. ATM implied volatility averaged 21.7%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.5% (HV 20d: 20.2%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.15.
Notable Days 2024-03-08 : Highest Volume — 168,655 contracts2024-03-14 : Largest IV drop — 4.3% change2024-03-11 : Highest IV Rank — 20.4%2024-03-11 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $32.50 $31.96 $33.17 $33.17 $32.41 Max Pain $33.00 $33.00 $33.00 $33.00 $33.00 ATM IV 21.7% 19.7% 23.5% 22.1% 19.7% Expected Move 6.2% 5.6% 6.8% 6.2% 5.6% HV 20d 20.2% 16.6% 24.0% 24.0% 16.6% HV 60d 21.4% 19.4% 23.4% 22.8% 19.4% IV Rank 9.5% 0.0% 20.4% 11.8% 0.0% IV Percentile 3.0% 0.0% 11.9% 2.4% 0.0% Term Structure 1.5% -0.6% 10.7% -0.6% 0.9% VWIV 21.8% 19.5% 23.4% 21.8% 19.5% Skew 25d 1.5% 0.1% 3.5% 1.4% 1.4% Skew 10d 2.2% -10.2% 4.3% 2.1% 3.1% Call IV 25d 21.2% 19.5% 23.7% 21.6% 19.5% Put IV 25d 22.7% 20.9% 24.5% 23.0% 20.9% Bid-Ask Spread % 52.35 33.73 73.22 33.73 64.74 Gamma HHI 0.08 0.07 0.18 0.08 0.08 Net GEX -4.7M -38.7M 11.5M 11.5M 3.0M Net DEX 348.3M 101.4M 573.4M 101.4M 291.0M Net VEX -8.3M -8.8M -7.9M -8.0M -8.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.15 0.24 5.82 1.11 0.71 Total Volume 84,294.3 34,315 168,655 91,945 73,936 Total OI 2,048,668.95 1,740,153 2,322,224 2,101,364 1,984,443
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 2024-03-01 $33.17 $33.00 22.1% 6.2% 24.0% 11.8% 21.8% 1.4% -0.6% 11.5M 101.4M -8.0M 1.11 33.73 N/A N/A 43,481 48,464 1,015,864 1,085,500 2024-03-04 $32.97 $33.00 21.9% 6.4% 23.2% 10.6% 23.1% 1.7% 0.6% 4.4M 211.8M -8.0M 1.29 36.36 N/A N/A 18,764 24,192 1,011,213 1,040,828 2024-03-05 $32.83 $33.00 22.2% 6.4% 23.3% 12.3% 22.8% 1.4% -0.0% 122.9K 266.8M -7.9M 0.99 45.63 N/A N/A 45,649 45,016 1,013,203 1,044,348 2024-03-06 $33.14 $33.00 22.1% 6.4% 21.8% 11.8% 22.3% 1.3% 0.3% 10.2M 129.2M -8.3M 2.06 62.91 N/A N/A 38,199 78,640 1,036,211 1,062,703 2024-03-07 $33.08 $33.00 21.9% 6.3% 21.8% 10.8% 22.0% 1.6% -0.1% 8.1M 131.7M -8.2M 0.46 47.09 N/A N/A 49,473 22,875 1,063,920 1,083,060 2024-03-08 $32.22 $33.00 22.6% 6.6% 22.7% 15.0% 23.0% 1.4% 0.2% -12.3M 553.0M -8.0M 0.79 59.83 N/A N/A 94,350 74,305 1,101,708 1,096,300 2024-03-11 $32.09 $33.00 23.5% 6.8% 22.6% 20.4% 23.4% 0.1% 1.6% -14.2M 573.4M -8.1M 1.02 44.90 N/A N/A 39,259 40,137 1,089,975 1,105,947 2024-03-12 $32.55 $33.00 22.7% 6.5% 22.8% 15.2% 22.5% 1.0% -0.0% -6.9M 429.7M -8.4M 0.76 49.07 N/A N/A 44,604 34,095 1,095,977 1,205,218 2024-03-13 $32.63 $33.00 22.6% 6.3% 19.1% 14.7% 22.0% 1.5% 0.1% -3.0M 404.9M -8.4M 5.82 63.30 N/A N/A 17,000 98,990 1,109,404 1,197,339 2024-03-14 $32.34 $33.00 21.6% 6.1% 18.9% 8.9% 21.8% 3.5% -0.2% -18.4M 533.8M -8.1M 1.96 55.33 N/A N/A 21,539 42,137 1,112,614 1,192,336 2024-03-15 $32.11 $33.00 21.9% 6.1% 18.7% 10.9% 21.7% 1.3% -0.3% -38.7M 566.3M -8.1M 0.97 54.39 N/A N/A 55,863 54,289 1,125,478 1,196,746 2024-03-18 $31.96 $33.00 21.4% 6.1% 18.3% 7.7% 21.9% 1.9% 0.6% -15.7M 521.3M -7.9M 0.27 37.18 N/A N/A 48,075 12,857 734,603 1,005,550 2024-03-19 $32.06 $33.00 21.6% 6.2% 17.4% 9.0% 21.6% 1.8% 10.7% -12.0M 468.1M -8.1M 0.69 39.04 N/A N/A 54,230 37,642 772,807 1,015,635 2024-03-20 $32.80 $33.00 21.6% 6.2% 19.6% 8.7% 21.9% 1.0% 5.9% 4.7M 168.8M -8.5M 0.25 47.72 N/A N/A 112,575 27,723 810,030 1,045,670 2024-03-21 $32.55 $33.00 21.3% 6.1% 19.7% 7.0% 21.7% 1.8% 0.6% 8.9M 201.7M -8.6M 1.15 72.67 N/A N/A 40,599 46,619 870,175 970,177 2024-03-22 $32.14 $33.00 21.1% 6.0% 19.8% 5.6% 21.0% 1.7% 0.2% -17.4M 429.6M -8.4M 0.38 73.22 N/A N/A 66,715 25,635 864,764 1,003,546 2024-03-25 $32.25 $33.00 21.3% 6.1% 19.7% 7.3% 21.1% 1.5% 0.3% -4.1M 351.2M -8.7M 1.82 48.72 N/A N/A 12,843 23,378 901,617 1,007,693 2024-03-26 $32.22 $33.00 20.7% 5.9% 17.7% 3.3% 20.6% 1.6% 0.9% -6.1M 385.0M -8.5M 0.24 55.21 N/A N/A 30,188 7,235 909,371 1,026,280 2024-03-27 $32.50 $33.00 19.9% 5.7% 16.9% 0.0% 19.6% 1.3% 8.0% 3.7M 248.1M -8.8M 0.26 56.06 N/A N/A 27,229 7,086 934,793 1,030,333 2024-03-28 $32.41 $33.00 19.7% 5.6% 16.6% 0.0% 19.5% 1.4% 0.9% 3.0M 291.0M -8.7M 0.71 64.74 N/A N/A 43,245 30,691 950,676 1,033,767
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