EWZ Options History — September 2024 In September 2024, EWZ traded between $29.02 and $30.12. ATM implied volatility averaged 24.0%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.2% (HV 20d: 21.8%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.96.
Notable Days 2024-09-19 : Highest Volume — 373,704 contracts2024-09-12 : Largest IV drop — 6.1% change2024-09-03 : Highest IV Rank — 24.4%2024-09-03 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $29.57 $29.02 $30.12 $29.34 $29.45 Max Pain $29.10 $29.00 $30.00 $30.00 $29.00 ATM IV 24.0% 22.9% 25.3% 25.3% 23.9% Expected Move 6.9% 6.5% 7.4% 7.4% 7.1% HV 20d 21.8% 18.9% 25.1% 25.1% 19.5% HV 60d 21.4% 20.7% 22.8% 22.8% 20.9% IV Rank 18.9% 14.1% 24.4% 24.4% 18.4% IV Percentile 44.3% 23.0% 58.3% 58.3% 47.2% Term Structure 0.2% -0.7% 2.2% -0.0% 1.0% VWIV 24.3% 22.3% 26.3% 25.5% 24.9% Skew 25d 2.5% 1.5% 3.4% 2.6% 2.3% Skew 10d 5.2% 1.4% 8.4% 3.9% 5.9% Call IV 25d 23.2% 22.0% 24.6% 24.6% 23.6% Put IV 25d 25.7% 24.7% 27.2% 27.2% 25.9% Bid-Ask Spread % 45.79 36.58 60.18 50.62 41.38 Gamma HHI 0.08 0.07 0.12 0.08 0.08 Net GEX -14.5M -45.8M 12.1M -24.2M -13.6M Net DEX 199.8M -239.6M 667.4M 420.9M 242.0M Net VEX -10.6M -11.3M -10.0M -11.3M -10.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.12 4.78 0.25 0.78 Total Volume 103,244 43,380 373,704 108,445 55,306 Total OI 3,291,634.05 3,072,955 3,650,425 3,192,088 3,265,741
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 2024-09-03 $29.34 $30.00 25.3% 7.4% 25.1% 24.4% 25.5% 2.6% -0.0% -24.2M 420.9M -11.3M 0.25 50.62 N/A N/A 86,519 21,926 1,384,930 1,807,158 2024-09-04 $29.63 $30.00 24.2% 7.1% 23.7% 19.9% 24.8% 2.3% 0.4% -5.1M 167.2M -11.3M 1.71 49.70 N/A N/A 26,405 45,038 1,444,982 1,798,918 2024-09-05 $29.91 $29.00 23.7% 6.7% 23.6% 17.6% 26.3% 2.4% -0.0% 9.8M -27.5M -11.3M 0.91 60.18 N/A N/A 34,535 31,345 1,440,984 1,803,246 2024-09-06 $29.34 $29.00 24.2% 7.1% 24.3% 19.8% 24.2% 3.2% -0.0% -25.4M 455.5M -11.1M 0.67 59.74 N/A N/A 44,844 30,160 1,452,994 1,817,997 2024-09-09 $29.45 $29.00 24.5% 7.1% 22.7% 21.2% 24.6% 3.0% 0.1% -15.1M 326.0M -10.8M 0.57 49.66 N/A N/A 29,269 16,738 1,417,997 1,809,176 2024-09-10 $29.05 $29.00 24.6% 7.0% 22.9% 21.5% 25.1% 3.3% -0.2% -36.0M 667.4M -10.8M 0.94 40.75 N/A N/A 65,418 61,612 1,444,583 1,821,911 2024-09-11 $29.19 $29.00 24.4% 6.8% 22.1% 20.7% 23.0% 2.9% -0.4% -34.8M 546.8M -10.9M 0.28 40.49 N/A N/A 51,411 14,560 1,468,676 1,854,277 2024-09-12 $29.27 $29.00 22.9% 6.6% 22.0% 14.1% 23.4% 3.4% 0.4% -36.0M 481.1M -10.6M 0.40 36.59 N/A N/A 34,822 13,986 1,494,756 1,861,552 2024-09-13 $29.69 $29.00 23.1% 6.5% 22.7% 15.1% 22.3% 2.2% -0.7% -16.4M 167.1M -10.7M 0.14 36.58 N/A N/A 106,270 15,091 1,508,309 1,864,371 2024-09-16 $29.99 $29.00 23.8% 6.8% 23.0% 17.9% 23.6% 2.4% 1.1% 3.0M -122.7M -10.4M 0.71 42.20 N/A N/A 28,461 20,315 1,482,583 1,825,405 2024-09-17 $30.12 $29.00 23.7% 6.8% 21.3% 17.6% 24.5% 2.3% -0.0% 12.1M -239.6M -10.3M 0.48 44.35 N/A N/A 69,606 33,178 1,490,536 1,829,722 2024-09-18 $30.02 $29.00 23.6% 6.8% 21.1% 17.1% 23.9% 2.4% 0.6% 5.1M -151.1M -10.1M 0.50 51.54 N/A N/A 102,993 51,761 1,513,412 1,833,247 2024-09-19 $30.09 $29.00 23.5% 6.7% 21.1% 16.8% 23.0% 2.0% 2.2% 5.3M -236.0M -10.0M 0.12 59.03 N/A N/A 335,126 38,578 1,527,337 1,851,414 2024-09-20 $29.20 $29.00 23.9% 6.9% 21.0% 18.5% 24.1% 2.8% -0.3% -45.8M 447.9M -10.5M 2.40 54.26 N/A N/A 38,806 93,267 1,807,655 1,842,770 2024-09-23 $29.02 $29.00 24.7% 7.1% 18.9% 21.8% 25.4% 2.8% -0.1% -31.7M 506.7M -10.5M 4.78 40.46 N/A N/A 38,281 182,884 1,436,558 1,636,397 2024-09-24 $29.66 $29.00 23.9% 6.8% 20.3% 18.5% 24.2% 1.9% -0.3% -15.4M 104.3M -10.3M 0.56 38.28 N/A N/A 35,672 19,918 1,445,811 1,746,064 2024-09-25 $29.48 $29.00 24.5% 7.1% 20.4% 21.0% 25.5% 2.1% 0.3% -18.2M 198.4M -10.6M 0.94 36.68 N/A N/A 40,646 38,012 1,485,318 1,756,655 2024-09-26 $29.71 $29.00 24.5% 7.1% 20.6% 21.1% 24.6% 1.5% -0.1% -5.0M 33.2M -10.5M 1.28 36.64 N/A N/A 30,156 38,585 1,498,830 1,762,910 2024-09-27 $29.77 $29.00 23.3% 6.8% 19.2% 15.6% 23.8% 1.8% -0.1% -3.4M 9.1M -10.5M 0.87 46.73 N/A N/A 23,149 20,231 1,516,102 1,781,397 2024-09-30 $29.45 $29.00 23.9% 7.1% 19.5% 18.4% 24.9% 2.3% 1.0% -13.6M 242.0M -10.4M 0.78 41.38 N/A N/A 30,997 24,309 1,516,021 1,749,720
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