EWZ Options History — January 2010

In January 2010, EWZ traded between $64.69 and $231.57. ATM implied volatility averaged 31.1%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 339.3% (HV 20d: 370.4%). Max pain ranged from $73.00 to $219.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.49.

Notable Days

2010-01-20: Highest Volume — 337,419 contracts
2010-01-11: Largest IV spike — 14.6% change
2010-01-29: Highest IV Rank — 17.6%
2010-01-29: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$80.78	$64.69	$231.57	$231.57	$64.69
Max Pain	$81.63	$73.00	$219.00	$219.00	$73.00
ATM IV	31.1%	26.1%	36.2%	28.9%	36.2%
Expected Move	9.3%	7.8%	10.4%	9.4%	10.4%
HV 20d	370.4%	25.9%	390.5%	25.9%	387.8%
HV 60d	217.4%	36.3%	228.0%	36.3%	226.4%
IV Rank	7.9%	0.0%	17.6%	0.3%	17.6%
IV Percentile	10.7%	0.0%	31.0%	0.4%	31.0%
Term Structure	1.5%	0.4%	2.6%	1.9%	2.2%
VWIV	32.5%	27.7%	37.0%	33.4%	37.0%
Skew 25d	6.1%	5.3%	7.6%	6.4%	5.8%
Skew 10d	12.7%	10.9%	15.1%	13.1%	11.7%
Call IV 25d	29.7%	25.0%	33.8%	30.0%	33.8%
Put IV 25d	35.8%	30.3%	39.7%	36.4%	39.7%
Bid-Ask Spread %	4.28	3.19	5.70	4.41	5.70
Gamma HHI	0.08	0.06	0.17	0.06	0.09
Net GEX	-19.9M	-61.8M	20.4M	12.5M	-61.8M
Net DEX	61.0M	-1.43B	2.07B	-1.20B	2.07B
Net VEX	-12.6M	-14.2M	-11.1M	-11.1M	-13.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.49	0.63	3.27	1.62	0.74
Total Volume	101,026.947	30,171	337,419	30,171	66,804
Total OI	1,427,786.263	493,693	1,856,954	493,693	1,477,643

Daily Data (19 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
2010-01-04	$231.57	$219.00	28.9%	9.4%	25.9%	0.3%	33.4%	6.4%	1.9%	12.5M	-1.20B	-11.1M	1.62	4.41	N/A	N/A	11,522	18,649	190,880	302,813
2010-01-05	$77.28	$73.00	29.2%	9.5%	390.2%	0.8%	34.4%	6.4%	1.8%	15.3M	-1.24B	-11.2M	2.67	4.36	N/A	N/A	19,346	51,561	585,905	919,932
2010-01-06	$77.79	$74.00	27.8%	9.2%	390.4%	0.0%	30.9%	5.9%	1.6%	14.3M	-1.39B	-11.2M	0.91	4.74	N/A	N/A	25,517	23,097	595,043	951,016
2010-01-07	$76.93	$74.00	28.9%	9.1%	390.5%	1.9%	32.8%	6.0%	1.4%	7.3M	-1.10B	-11.4M	0.70	3.88	N/A	N/A	41,031	28,797	605,508	959,000
2010-01-08	$77.47	$74.00	26.1%	8.8%	390.5%	0.0%	29.3%	5.9%	1.6%	17.6M	-1.43B	-11.5M	0.63	4.04	N/A	N/A	41,472	26,231	630,575	960,905
2010-01-11	$77.28	$75.00	29.9%	8.7%	390.4%	6.3%	30.0%	5.5%	1.9%	20.4M	-1.40B	-11.3M	2.72	4.42	N/A	N/A	17,150	46,633	658,217	976,842
2010-01-12	$76.11	$75.00	30.6%	8.9%	390.0%	7.5%	33.1%	5.6%	1.5%	4.6M	-961.6M	-11.9M	3.27	4.64	N/A	N/A	23,517	76,883	660,873	999,137
2010-01-13	$75.89	$75.00	27.5%	8.8%	389.8%	2.3%	31.0%	5.9%	1.3%	-9.8M	-826.2M	-11.7M	1.53	4.76	N/A	N/A	29,847	45,617	670,076	1,039,321
2010-01-14	$74.48	$75.00	31.1%	8.9%	389.6%	8.2%	31.0%	5.9%	1.6%	-21.5M	-254.0M	-11.9M	0.96	4.16	N/A	N/A	99,495	95,447	684,722	1,033,063
2010-01-15	$73.54	$75.00	29.1%	8.4%	389.5%	5.1%	29.7%	5.5%	2.5%	-56.5M	154.8M	-12.9M	1.55	3.65	N/A	N/A	48,924	76,062	758,067	1,098,887
2010-01-19	$74.62	$75.00	27.1%	7.8%	390.3%	1.6%	27.7%	5.3%	2.6%	6.7M	-294.8M	-12.8M	1.55	3.19	N/A	N/A	38,385	59,360	469,756	562,469
2010-01-20	$72.46	$74.00	29.4%	8.4%	389.9%	5.6%	28.6%	5.5%	1.4%	-10.8M	225.3M	-12.7M	1.74	3.55	N/A	N/A	122,981	214,438	487,953	583,382
2010-01-21	$69.13	$74.00	33.4%	9.6%	389.4%	12.7%	32.8%	5.6%	0.7%	-36.9M	1.04B	-13.6M	1.62	4.69	N/A	N/A	55,508	89,955	564,564	733,067
2010-01-22	$67.97	$74.00	35.8%	10.2%	389.4%	16.9%	35.4%	7.1%	0.4%	-49.3M	1.34B	-13.7M	0.97	4.77	N/A	N/A	68,067	66,368	526,333	769,413
2010-01-25	$67.90	$73.00	35.2%	10.1%	389.2%	15.9%	34.0%	7.6%	0.9%	-51.2M	1.34B	-13.9M	1.43	3.76	N/A	N/A	30,742	43,829	564,445	800,794
2010-01-26	$66.83	$73.00	35.2%	10.1%	388.6%	15.9%	35.0%	6.4%	0.9%	-58.7M	1.64B	-14.0M	1.12	4.16	N/A	N/A	47,087	52,659	572,268	828,604
2010-01-27	$66.54	$73.00	35.3%	10.1%	388.4%	16.0%	35.7%	6.6%	1.1%	-59.7M	1.69B	-14.1M	1.82	4.04	N/A	N/A	25,419	46,157	596,858	844,346
2010-01-28	$66.36	$73.00	35.0%	10.0%	388.3%	15.6%	35.1%	6.5%	1.5%	-61.3M	1.77B	-14.2M	0.81	4.50	N/A	N/A	24,883	20,072	603,466	861,796
2010-01-29	$64.69	$73.00	36.2%	10.4%	387.8%	17.6%	37.0%	5.8%	2.2%	-61.8M	2.07B	-13.6M	0.74	5.70	N/A	N/A	38,502	28,302	608,889	868,754