EWZ Options History — May 2010

In May 2010, EWZ traded between $58.61 and $71.80. ATM implied volatility averaged 43.0%, placing in the 68.2% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 1.4% (HV 20d: 44.4%). Max pain ranged from $70.00 to $73.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 2.04.

Notable Days

2010-05-20: Highest Volume — 257,317 contracts
2010-05-04: Largest IV spike — 25.7% change
2010-05-06: Highest IV Rank — 100.0%
2010-05-20: Largest Expected Move — 15.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.52	$58.61	$71.80	$71.80	$63.52
Max Pain	$71.65	$70.00	$73.00	$73.00	$70.00
ATM IV	43.0%	31.2%	53.7%	31.2%	39.8%
Expected Move	12.2%	9.0%	15.4%	9.0%	11.4%
HV 20d	44.4%	25.4%	54.0%	25.4%	53.9%
HV 60d	31.3%	23.9%	36.5%	23.9%	36.5%
IV Rank	68.2%	30.2%	100.0%	30.2%	55.8%
IV Percentile	80.6%	24.2%	100.0%	24.2%	77.0%
Term Structure	-2.1%	-7.2%	1.6%	1.6%	0.0%
VWIV	43.6%	31.3%	52.6%	31.3%	41.1%
Skew 25d	12.5%	7.2%	18.9%	7.2%	11.6%
Skew 10d	27.7%	14.0%	41.9%	14.0%	23.5%
Call IV 25d	37.4%	28.5%	47.9%	28.5%	35.5%
Put IV 25d	50.0%	35.7%	65.2%	35.7%	47.1%
Bid-Ask Spread %	5.20	3.74	7.30	5.20	4.49
Gamma HHI	0.09	0.06	0.37	0.06	0.08
Net GEX	-64.0M	-94.0M	48.1M	-44.8M	-67.2M
Net DEX	2.21B	563.2M	3.68B	563.2M	1.91B
Net VEX	-15.7M	-17.2M	-13.2M	-16.9M	-17.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.04	0.65	4.18	1.59	0.66
Total Volume	115,645.9	42,141	257,317	53,274	45,003
Total OI	1,689,362.6	1,467,877	1,939,841	1,467,877	1,834,709

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
2010-05-03	$71.80	$73.00	31.2%	9.0%	25.4%	30.2%	31.3%	7.2%	1.6%	-44.8M	563.2M	-16.9M	1.59	5.20	N/A	N/A	20,576	32,698	564,343	903,534
2010-05-04	$67.97	$73.00	39.3%	11.3%	31.4%	57.0%	39.9%	8.0%	-0.4%	-57.6M	1.54B	-16.1M	2.08	5.01	N/A	N/A	41,099	85,674	563,868	907,980
2010-05-05	$67.20	$73.00	42.1%	12.1%	31.2%	66.5%	42.4%	9.6%	-1.5%	-59.5M	1.73B	-16.2M	3.64	4.72	N/A	N/A	33,036	120,271	573,649	932,115
2010-05-06	$64.33	$72.00	52.1%	14.9%	33.3%	100.0%	51.4%	11.2%	-5.5%	-66.0M	2.31B	-15.7M	2.08	7.30	N/A	N/A	53,743	111,740	584,637	972,081
2010-05-07	$63.90	$73.00	49.8%	13.0%	33.1%	92.3%	44.2%	13.5%	-2.3%	-66.4M	2.43B	-15.8M	1.60	6.16	N/A	N/A	48,235	77,100	607,633	987,399
2010-05-10	$69.17	$72.00	39.1%	10.8%	45.5%	56.4%	39.6%	11.8%	-0.1%	-63.0M	1.15B	-17.2M	2.27	6.57	N/A	N/A	28,462	64,678	629,118	995,928
2010-05-11	$67.45	$72.00	42.4%	11.7%	46.1%	67.3%	42.4%	11.9%	-1.2%	-73.6M	1.62B	-16.8M	2.25	4.36	N/A	N/A	16,995	38,290	631,292	1,014,621
2010-05-12	$68.22	$72.00	37.2%	10.7%	46.1%	50.3%	39.2%	11.0%	-1.1%	-76.5M	1.46B	-16.7M	0.65	6.10	N/A	N/A	33,489	21,633	635,050	1,022,535
2010-05-13	$67.61	$72.00	35.8%	10.3%	46.1%	45.6%	37.2%	9.9%	-0.7%	-78.3M	1.59B	-16.3M	1.03	4.43	N/A	N/A	20,729	21,412	661,834	1,019,732
2010-05-14	$65.78	$72.00	39.6%	11.4%	46.4%	58.3%	43.5%	13.0%	-2.0%	-84.7M	2.17B	-15.8M	1.72	4.93	N/A	N/A	30,080	51,749	667,116	1,024,513
2010-05-17	$65.09	$72.00	39.9%	11.4%	46.4%	59.1%	42.4%	12.6%	-2.1%	-94.0M	2.42B	-15.0M	4.18	5.79	N/A	N/A	25,271	105,749	674,098	1,038,473
2010-05-18	$63.08	$72.00	44.3%	12.7%	47.0%	73.9%	45.3%	12.4%	-4.2%	-88.0M	2.94B	-14.5M	3.44	4.85	N/A	N/A	32,385	111,513	681,091	1,083,648
2010-05-19	$61.57	$72.00	45.5%	13.0%	47.3%	77.9%	49.2%	15.3%	-4.1%	-81.4M	3.40B	-14.2M	3.76	5.04	N/A	N/A	26,716	100,410	697,838	1,124,960
2010-05-20	$58.61	$72.00	53.7%	15.4%	49.1%	100.0%	52.6%	18.9%	-7.2%	-59.5M	3.68B	-13.2M	1.77	6.41	N/A	N/A	92,767	164,550	709,869	1,114,291
2010-05-21	$61.14	$71.00	47.7%	13.7%	52.5%	81.0%	49.0%	16.4%	-3.9%	48.1M	3.41B	-14.5M	1.93	5.53	N/A	N/A	80,155	154,738	762,493	1,177,348
2010-05-24	$60.28	$70.00	48.4%	13.9%	52.4%	83.4%	48.1%	14.8%	-2.6%	-67.1M	2.65B	-15.1M	1.42	4.02	N/A	N/A	28,086	39,874	652,181	1,050,591
2010-05-25	$59.78	$70.00	46.4%	13.3%	50.4%	76.9%	48.7%	16.1%	-1.6%	-67.6M	2.76B	-14.7M	1.73	4.37	N/A	N/A	40,015	69,255	667,299	1,058,173
2010-05-26	$60.10	$70.00	46.2%	13.3%	50.1%	76.4%	45.0%	13.2%	-1.5%	-66.9M	2.66B	-15.2M	1.60	4.91	N/A	N/A	53,245	84,983	691,321	1,068,146
2010-05-27	$63.78	$70.00	39.5%	11.3%	54.0%	55.1%	39.9%	12.2%	-0.9%	-66.6M	1.85B	-16.8M	1.45	3.74	N/A	N/A	43,474	63,040	710,516	1,091,229
2010-05-28	$63.52	$70.00	39.8%	11.4%	53.9%	55.8%	41.1%	11.6%	0.0%	-67.2M	1.91B	-17.0M	0.66	4.49	N/A	N/A	27,149	17,854	724,438	1,110,271