EWZ Options History — July 2008

In July 2008, EWZ traded between $694.26 and $790.02. ATM implied volatility averaged 40.6%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 8.0% (HV 20d: 32.6%). Max pain ranged from $720.00 to $810.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 2.05.

Notable Days

2008-07-08: Highest Volume — 9,346 contracts
2008-07-07: Largest IV spike — 11.6% change
2008-07-07: Highest IV Rank — 37.6%
2008-07-11: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$732.31	$694.26	$790.02	$790.02	$731.16
Max Pain	$765.00	$720.00	$810.00	$810.00	$720.00
ATM IV	40.6%	36.7%	44.6%	36.7%	37.1%
Expected Move	11.6%	10.5%	12.7%	10.5%	10.6%
HV 20d	32.6%	30.0%	36.8%	34.1%	33.8%
HV 60d	34.5%	31.6%	35.9%	33.5%	33.4%
IV Rank	27.3%	18.2%	37.6%	22.2%	18.2%
IV Percentile	35.8%	16.7%	57.9%	19.8%	16.7%
Term Structure	-0.5%	-1.9%	1.0%	1.0%	0.1%
VWIV	40.5%	36.1%	44.6%	39.4%	37.0%
Skew 25d	6.5%	4.8%	8.1%	5.8%	5.5%
Skew 10d	11.2%	7.9%	14.0%	9.8%	10.7%
Call IV 25d	37.1%	34.2%	39.4%	35.4%	34.2%
Put IV 25d	43.6%	39.2%	45.9%	41.3%	39.6%
Bid-Ask Spread %	7.96	4.32	12.70	8.35	9.87
Gamma HHI	0.25	0.18	0.49	0.18	0.22
Net GEX	-30.2M	-54.5M	-14.7M	-15.8M	-25.9M
Net DEX	898.6M	420.5M	1.41B	420.5M	682.7M
Net VEX	-9.5M	-10.3M	-6.6M	-10.0M	-9.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.05	0.35	5.71	3.27	1.35
Total Volume	3,971.136	954	9,346	5,929	954
Total OI	83,619.409	69,957	95,030	76,395	85,628

Daily Data (22 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
2008-07-01	$790.02	$810.00	36.7%	10.5%	34.1%	22.2%	39.4%	5.8%	1.0%	-15.8M	420.5M	-10.0M	3.27	8.35	N/A	N/A	1,390	4,539	31,980	44,415
2008-07-02	$755.64	$810.00	40.6%	11.6%	36.2%	29.9%	41.4%	5.4%	0.2%	-27.0M	864.6M	-9.6M	2.01	7.65	N/A	N/A	2,089	4,203	32,332	46,295
2008-07-03	$747.54	$810.00	40.0%	11.5%	31.1%	28.6%	41.0%	5.9%	0.7%	-31.9M	998.5M	-9.7M	2.25	12.70	N/A	N/A	1,499	3,374	33,497	48,769
2008-07-07	$736.65	$810.00	44.6%	12.0%	30.5%	37.6%	41.4%	6.4%	-0.4%	-37.7M	1.16B	-9.1M	2.61	7.62	N/A	N/A	2,101	5,481	33,456	49,389
2008-07-08	$735.84	$765.00	41.7%	11.9%	30.5%	32.0%	41.2%	7.3%	-0.7%	-39.4M	1.24B	-9.0M	5.71	8.87	N/A	N/A	1,393	7,953	35,306	49,926
2008-07-09	$713.79	$765.00	41.0%	11.9%	30.0%	30.6%	41.0%	7.2%	-1.1%	-41.2M	1.41B	-8.7M	0.85	7.18	N/A	N/A	1,887	1,610	35,022	51,584
2008-07-10	$739.35	$765.00	41.8%	12.0%	33.3%	32.2%	41.0%	7.2%	-0.4%	-29.9M	982.3M	-9.4M	0.77	8.61	N/A	N/A	3,390	2,616	36,012	49,919
2008-07-11	$734.76	$765.00	44.3%	12.7%	32.9%	37.0%	44.6%	6.6%	-1.4%	-27.4M	887.0M	-10.1M	2.34	8.22	N/A	N/A	925	2,169	38,714	49,988
2008-07-14	$743.22	$765.00	40.7%	11.7%	33.4%	29.1%	40.9%	7.4%	-0.3%	-31.1M	823.2M	-6.6M	0.35	7.34	N/A	N/A	2,297	794	29,694	40,263
2008-07-15	$742.14	$765.00	43.7%	12.5%	33.0%	31.9%	41.3%	6.8%	-1.1%	-29.7M	830.6M	-10.1M	1.56	6.98	N/A	N/A	2,245	3,514	40,240	51,930
2008-07-16	$750.15	$765.00	40.1%	11.5%	31.7%	24.4%	43.5%	7.3%	-0.1%	-30.6M	732.8M	-10.3M	2.92	7.52	N/A	N/A	405	1,181	40,093	53,961
2008-07-17	$727.20	$765.00	42.0%	12.0%	32.9%	28.4%	40.7%	8.1%	-1.2%	-54.5M	1.12B	-9.8M	1.58	11.41	N/A	N/A	940	1,488	40,220	54,567
2008-07-18	$728.28	$765.00	41.3%	11.8%	33.0%	27.0%	40.3%	6.6%	-0.7%	-50.1M	983.5M	-9.8M	2.28	7.05	N/A	N/A	1,151	2,627	40,297	54,733
2008-07-21	$743.31	$765.00	37.4%	10.7%	32.9%	18.9%	39.1%	6.4%	0.0%	-14.7M	521.4M	-9.8M	0.84	6.46	N/A	N/A	1,305	1,100	32,043	43,338
2008-07-22	$732.87	$765.00	40.7%	11.7%	33.0%	25.6%	41.3%	6.8%	-1.2%	-18.6M	668.6M	-9.6M	2.08	9.03	N/A	N/A	800	1,667	32,289	43,760
2008-07-23	$721.80	$765.00	39.1%	11.2%	33.2%	22.3%	38.8%	7.5%	-0.2%	-21.8M	766.4M	-9.4M	1.89	10.11	N/A	N/A	1,297	2,456	32,734	44,547
2008-07-24	$697.50	$765.00	42.8%	12.3%	32.3%	30.1%	39.6%	6.2%	-1.4%	-25.6M	1.01B	-9.2M	1.43	5.25	N/A	N/A	1,422	2,029	33,243	46,359
2008-07-25	$696.60	$765.00	40.9%	11.7%	30.9%	26.2%	39.7%	5.8%	-0.6%	-28.3M	1.06B	-9.2M	1.77	4.32	N/A	N/A	1,434	2,539	33,790	47,819
2008-07-28	$694.26	$720.00	42.6%	12.2%	30.8%	29.6%	41.9%	6.3%	-1.9%	-29.3M	1.09B	-9.2M	3.72	6.49	N/A	N/A	308	1,146	34,567	48,781
2008-07-29	$706.95	$720.00	38.0%	10.9%	31.7%	20.1%	39.8%	6.2%	-0.2%	-30.2M	969.8M	-9.4M	2.65	6.80	N/A	N/A	581	1,542	34,509	49,333
2008-07-30	$741.87	$720.00	37.3%	10.7%	36.8%	18.7%	36.1%	4.8%	-0.1%	-23.2M	562.5M	-9.9M	0.87	7.30	N/A	N/A	1,882	1,642	34,570	49,715
2008-07-31	$731.16	$720.00	37.1%	10.6%	33.8%	18.2%	37.0%	5.5%	0.1%	-25.9M	682.7M	-9.9M	1.35	9.87	N/A	N/A	406	548	35,439	50,189