EWZ Options History — October 2007

In October 2007, EWZ traded between $660.24 and $770.40. ATM implied volatility averaged 46.3%, placing in the 69.4% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 4.4% (HV 20d: 41.9%). Max pain ranged from $585.00 to $720.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 1.93.

Notable Days

2007-10-29: Highest Volume — 16,507 contracts
2007-10-08: Largest IV spike — 19.2% change
2007-10-16: Highest IV Rank — 94.6%
2007-10-16: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$708.52	$660.24	$770.40	$696.15	$770.40
Max Pain	$692.61	$585.00	$720.00	$585.00	$720.00
ATM IV	46.3%	37.8%	56.5%	45.7%	43.5%
Expected Move	13.4%	10.8%	16.2%	13.1%	12.5%
HV 20d	41.9%	37.7%	45.3%	37.7%	39.9%
HV 60d	48.1%	46.7%	49.3%	47.4%	47.0%
IV Rank	69.4%	48.4%	94.6%	68.0%	62.4%
IV Percentile	86.9%	64.1%	99.5%	90.9%	79.9%
Term Structure	-0.4%	-4.1%	5.0%	-2.2%	1.9%
VWIV	48.6%	41.2%	57.9%	48.9%	43.2%
Skew 25d	9.2%	5.1%	12.1%	10.6%	6.5%
Skew 10d	19.5%	12.5%	26.7%	23.1%	17.0%
Call IV 25d	43.2%	36.5%	50.9%	38.5%	41.1%
Put IV 25d	52.3%	44.6%	62.1%	49.1%	47.6%
Bid-Ask Spread %	22.71	12.72	38.76	13.53	16.25
Gamma HHI	0.19	0.15	0.34	0.22	0.34
Net GEX	754.4K	-8.3M	19.8M	788.6K	19.8M
Net DEX	-928.4M	-1.26B	-622.5M	-954.9M	-1.26B
Net VEX	-3.7M	-5.0M	-3.1M	-3.1M	-5.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.93	0.06	7.58	1.96	1.21
Total Volume	3,041.348	780	16,507	2,581	2,599
Total OI	54,005.826	46,630	74,500	46,630	74,500

Daily Data (23 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
2007-10-01	$696.15	$585.00	45.7%	13.1%	37.7%	68.0%	48.9%	10.6%	-2.2%	788.6K	-954.9M	-3.1M	1.96	13.53	N/A	N/A	873	1,708	20,479	26,151
2007-10-02	$690.12	$585.00	44.6%	12.8%	38.2%	65.2%	43.5%	9.4%	-1.1%	444.9K	-919.2M	-3.2M	0.46	36.38	N/A	N/A	1,513	702	20,573	26,419
2007-10-03	$660.24	$585.00	45.7%	13.1%	41.9%	67.9%	46.0%	6.6%	-2.3%	-1.4M	-725.9M	-3.6M	1.25	21.10	N/A	N/A	778	975	21,396	26,922
2007-10-04	$667.35	$585.00	43.4%	12.4%	41.9%	62.1%	46.3%	7.8%	0.0%	-2.0M	-756.5M	-3.6M	1.02	25.52	N/A	N/A	795	809	21,540	27,548
2007-10-05	$699.12	$675.00	38.6%	11.7%	42.3%	50.3%	45.2%	8.8%	-1.4%	308.6K	-965.4M	-3.3M	0.42	13.28	N/A	N/A	1,497	622	21,635	27,914
2007-10-08	$696.78	$675.00	46.0%	13.0%	41.8%	68.7%	42.5%	9.7%	-1.4%	1.7M	-969.0M	-3.3M	1.39	38.76	N/A	N/A	934	1,295	22,497	28,185
2007-10-09	$713.52	$720.00	40.7%	12.6%	41.5%	55.5%	46.6%	10.9%	-1.9%	2.7M	-1.07B	-3.4M	1.84	31.19	N/A	N/A	621	1,145	23,212	29,266
2007-10-10	$712.62	$720.00	43.3%	13.1%	41.7%	62.1%	49.4%	10.8%	-1.1%	1.5M	-1.04B	-3.5M	0.61	22.07	N/A	N/A	545	331	23,353	29,860
2007-10-11	$699.03	$720.00	46.7%	13.4%	43.0%	70.5%	49.2%	10.5%	-1.6%	902.0K	-950.9M	-3.6M	1.12	21.19	N/A	N/A	656	738	23,525	29,957
2007-10-12	$717.66	$720.00	46.6%	13.4%	43.2%	70.2%	50.1%	9.6%	-0.4%	2.1M	-1.07B	-3.5M	1.18	19.26	N/A	N/A	357	423	23,595	30,294
2007-10-15	$709.20	$720.00	51.7%	14.8%	42.7%	82.7%	56.7%	8.3%	-4.1%	1.3M	-1.03B	-3.5M	7.58	30.11	N/A	N/A	598	4,533	23,714	30,379
2007-10-16	$690.75	$720.00	56.5%	16.2%	38.1%	94.6%	57.9%	11.2%	-2.8%	-4.1M	-846.1M	-3.9M	2.13	19.74	N/A	N/A	523	1,115	23,883	34,071
2007-10-17	$709.20	$720.00	51.9%	14.9%	38.7%	83.4%	55.9%	11.6%	-0.6%	-563.0K	-948.8M	-3.8M	0.66	15.31	N/A	N/A	1,356	900	23,951	34,120
2007-10-18	$718.92	$720.00	52.3%	15.0%	38.4%	84.2%	51.4%	11.2%	-2.0%	1.6M	-1.08B	-3.8M	0.70	12.72	N/A	N/A	1,085	763	24,808	33,584
2007-10-19	$681.03	$720.00	56.2%	16.1%	43.9%	93.9%	55.0%	8.4%	-2.7%	-3.8M	-818.3M	-4.1M	0.49	25.97	N/A	N/A	1,421	697	25,430	34,179
2007-10-22	$680.40	$720.00	53.7%	15.4%	43.4%	87.8%	56.5%	12.1%	-0.6%	-180.4K	-622.5M	-4.0M	4.05	18.22	N/A	N/A	624	2,524	22,078	27,094
2007-10-23	$707.76	$720.00	45.8%	13.1%	45.3%	68.1%	47.7%	9.0%	2.5%	-1.1M	-766.6M	-3.9M	1.38	26.88	N/A	N/A	631	869	22,250	28,944
2007-10-24	$706.50	$720.00	45.7%	13.1%	45.0%	68.0%	50.1%	9.3%	1.9%	452.1K	-772.0M	-3.9M	2.08	20.34	N/A	N/A	760	1,579	22,432	28,171
2007-10-25	$717.66	$720.00	42.7%	12.2%	44.5%	60.5%	47.7%	8.1%	3.1%	53.7K	-826.7M	-3.9M	4.78	20.35	N/A	N/A	217	1,038	22,652	29,368
2007-10-26	$743.13	$720.00	37.8%	10.8%	45.3%	48.4%	41.2%	8.1%	5.0%	1.7M	-1.00B	-3.6M	1.44	23.70	N/A	N/A	945	1,356	22,774	30,382
2007-10-29	$759.96	$720.00	40.9%	11.7%	42.7%	56.1%	41.6%	7.1%	2.7%	3.5M	-1.13B	-3.3M	6.56	31.31	N/A	N/A	2,182	14,325	22,774	30,382
2007-10-30	$748.35	$720.00	45.0%	12.9%	43.0%	66.3%	44.3%	5.1%	0.3%	-8.3M	-829.5M	-4.7M	0.06	19.22	N/A	N/A	9,464	530	24,046	41,847
2007-10-31	$770.40	$720.00	43.5%	12.5%	39.9%	62.4%	43.2%	6.5%	1.9%	19.8M	-1.26B	-5.0M	1.21	16.25	N/A	N/A	1,174	1,425	32,546	41,954