EWZ Options History — March 2009

In March 2009, EWZ traded between $95.25 and $122.67. ATM implied volatility averaged 66.7%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 3.5% (HV 20d: 63.3%). Max pain ranged from $99.00 to $111.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.94.

Notable Days

2009-03-10: Highest Volume — 96,103 contracts
2009-03-30: Largest IV spike — 11.4% change
2009-03-02: Highest IV Rank — 39.0%
2009-03-02: Largest Expected Move — 23.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$109.93	$95.25	$122.67	$95.25	$113.10
Max Pain	$107.32	$99.00	$111.00	$111.00	$111.00
ATM IV	66.7%	57.3%	83.1%	83.1%	61.7%
Expected Move	18.9%	16.4%	23.8%	23.8%	17.7%
HV 20d	63.3%	57.1%	68.8%	63.3%	57.1%
HV 60d	63.1%	60.9%	65.2%	64.4%	62.0%
IV Rank	27.4%	20.7%	39.0%	39.0%	23.8%
IV Percentile	58.1%	47.2%	77.8%	77.8%	50.0%
Term Structure	-1.9%	-8.3%	1.3%	-8.3%	0.1%
VWIV	67.1%	57.8%	84.2%	76.3%	57.8%
Skew 25d	14.7%	10.4%	19.2%	19.2%	10.4%
Skew 10d	28.1%	18.1%	37.9%	37.9%	18.1%
Call IV 25d	58.6%	51.9%	74.1%	74.1%	56.6%
Put IV 25d	73.4%	64.0%	93.3%	93.3%	66.9%
Bid-Ask Spread %	10.36	6.49	14.24	6.94	13.99
Gamma HHI	0.07	0.06	0.11	0.07	0.06
Net GEX	-1.2M	-21.2M	35.3M	-19.4M	-6.6M
Net DEX	182.6M	-544.3M	1.11B	1.11B	148.9M
Net VEX	-9.1M	-10.3M	-7.7M	-7.7M	-10.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.94	0.31	7.13	0.50	0.41
Total Volume	40,669.5	14,779	96,103	36,042	27,026
Total OI	752,548.818	543,191	947,513	729,328	640,403

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
2009-03-02	$95.25	$111.00	83.1%	23.8%	63.3%	39.0%	76.3%	19.2%	-8.3%	-19.4M	1.11B	-7.7M	0.50	6.94	N/A	N/A	24,096	11,946	349,058	380,270
2009-03-03	$96.54	$111.00	79.6%	22.8%	63.6%	36.5%	84.2%	16.9%	-5.9%	-19.2M	1.04B	-7.7M	3.53	9.62	N/A	N/A	6,112	21,590	360,281	380,258
2009-03-04	$103.35	$111.00	72.8%	20.9%	67.6%	31.7%	71.7%	17.2%	-3.5%	-10.6M	594.4M	-8.5M	1.61	6.49	N/A	N/A	15,764	25,328	353,662	385,635
2009-03-05	$100.62	$111.00	76.4%	21.9%	67.9%	34.3%	77.4%	18.0%	-5.4%	-15.3M	801.8M	-8.4M	1.24	8.40	N/A	N/A	17,904	22,175	362,659	394,419
2009-03-06	$100.41	$99.00	76.4%	20.6%	66.1%	34.3%	76.6%	17.6%	-3.8%	-17.1M	803.0M	-8.3M	2.11	7.77	N/A	N/A	8,841	18,657	365,401	394,382
2009-03-09	$99.06	$99.00	79.1%	21.1%	61.8%	36.2%	74.3%	17.4%	-4.7%	-21.2M	921.9M	-7.9M	1.17	9.67	N/A	N/A	12,695	14,870	366,296	396,501
2009-03-10	$106.80	$99.00	70.3%	18.9%	68.8%	29.9%	72.9%	16.7%	-2.5%	-4.0M	293.2M	-8.6M	2.75	9.00	N/A	N/A	25,644	70,459	374,940	399,931
2009-03-11	$106.56	$105.00	69.1%	19.0%	66.7%	29.1%	61.1%	16.5%	-1.6%	-11.6M	455.3M	-9.2M	1.33	8.06	N/A	N/A	13,151	17,544	388,589	457,843
2009-03-12	$109.98	$105.00	64.1%	18.4%	67.7%	25.5%	68.2%	15.1%	-1.0%	-4.0M	143.4M	-9.4M	0.33	10.54	N/A	N/A	34,234	11,342	388,434	467,384
2009-03-13	$109.29	$105.00	65.8%	18.9%	67.6%	26.8%	64.2%	14.7%	-1.5%	-3.1M	178.1M	-9.3M	1.06	10.47	N/A	N/A	12,982	13,700	398,631	466,525
2009-03-16	$108.42	$105.00	64.8%	18.6%	67.4%	26.0%	63.5%	15.1%	-0.5%	-8.9M	255.3M	-9.0M	2.77	8.99	N/A	N/A	18,273	50,556	397,351	472,598
2009-03-17	$111.87	$105.00	61.0%	17.5%	63.9%	23.3%	60.7%	14.6%	0.4%	8.2M	10.1M	-9.4M	0.96	10.15	N/A	N/A	17,882	17,163	406,135	509,230
2009-03-18	$114.66	$105.00	60.1%	17.2%	64.0%	22.7%	60.4%	13.5%	1.3%	32.5M	-414.1M	-9.3M	3.07	11.83	N/A	N/A	8,045	24,713	405,408	499,623
2009-03-19	$115.83	$105.00	62.4%	17.9%	64.0%	24.3%	68.4%	14.1%	-1.1%	35.3M	-446.8M	-9.6M	1.75	10.20	N/A	N/A	27,868	48,805	402,912	519,099
2009-03-20	$114.15	$108.00	62.3%	17.9%	62.4%	24.3%	59.2%	14.4%	-1.4%	27.0M	-242.3M	-9.4M	0.31	11.22	N/A	N/A	36,472	11,145	415,728	531,785
2009-03-23	$122.67	$111.00	57.9%	16.6%	59.1%	21.1%	61.7%	13.2%	0.7%	6.9M	-544.3M	-9.4M	0.62	12.89	N/A	N/A	21,440	13,241	229,546	313,645
2009-03-24	$118.41	$111.00	60.8%	17.4%	58.4%	23.2%	61.8%	12.9%	-1.1%	4.6M	-352.5M	-9.4M	3.34	11.14	N/A	N/A	4,564	15,250	238,427	315,389
2009-03-25	$119.73	$111.00	59.0%	16.9%	58.4%	21.9%	61.4%	12.3%	0.4%	4.6M	-379.3M	-9.4M	5.61	12.41	N/A	N/A	7,097	39,842	237,496	324,881
2009-03-26	$122.55	$111.00	57.3%	16.4%	58.6%	20.7%	70.0%	12.2%	-0.3%	5.3M	-493.2M	-9.9M	7.13	12.82	N/A	N/A	9,048	64,505	242,059	357,585
2009-03-27	$117.60	$111.00	58.7%	16.8%	60.7%	21.7%	59.2%	11.3%	0.8%	-1.9M	-116.2M	-10.3M	0.49	11.11	N/A	N/A	12,055	5,926	248,763	382,236
2009-03-30	$111.66	$111.00	65.4%	18.8%	57.1%	26.5%	64.9%	10.8%	-2.0%	-8.5M	243.4M	-10.2M	0.65	14.24	N/A	N/A	8,983	5,796	251,579	383,097
2009-03-31	$113.10	$111.00	61.7%	17.7%	57.1%	23.8%	57.8%	10.4%	0.1%	-6.6M	148.9M	-10.1M	0.41	13.99	N/A	N/A	19,231	7,795	256,327	384,076