EWZ Options History — June 2010

In June 2010, EWZ traded between $60.87 and $67.92. ATM implied volatility averaged 39.3%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 3.2% (HV 20d: 42.5%). Max pain ranged from $63.00 to $70.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.56.

Notable Days

2010-06-22: Highest Volume — 196,221 contracts
2010-06-29: Largest IV spike — 20.8% change
2010-06-07: Highest IV Rank — 78.0%
2010-06-01: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.89	$60.87	$67.92	$62.66	$61.83
Max Pain	$65.64	$63.00	$70.00	$70.00	$67.00
ATM IV	39.3%	32.5%	46.7%	46.6%	43.9%
Expected Move	11.2%	9.3%	13.3%	13.3%	12.6%
HV 20d	42.5%	31.2%	54.0%	54.0%	34.8%
HV 60d	38.4%	36.2%	40.0%	36.2%	40.0%
IV Rank	54.5%	32.8%	78.0%	77.4%	68.9%
IV Percentile	68.3%	31.7%	96.4%	95.6%	90.5%
Term Structure	-0.1%	-2.2%	2.7%	-2.2%	-0.7%
VWIV	39.8%	33.7%	46.1%	46.1%	42.9%
Skew 25d	10.8%	7.9%	14.7%	13.1%	10.1%
Skew 10d	21.6%	15.2%	28.9%	25.8%	19.9%
Call IV 25d	34.7%	29.2%	41.4%	41.4%	39.9%
Put IV 25d	45.5%	38.9%	54.5%	54.5%	50.1%
Bid-Ask Spread %	4.43	3.14	8.37	4.25	3.55
Gamma HHI	0.08	0.07	0.11	0.08	0.07
Net GEX	-49.7M	-83.1M	-658.5K	-66.0M	-41.1M
Net DEX	1.27B	268.5M	2.82B	2.07B	1.75B
Net VEX	-17.0M	-18.1M	-16.0M	-16.6M	-16.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.56	0.70	3.13	1.57	1.42
Total Volume	72,462.455	22,381	196,221	118,010	60,140
Total OI	1,835,242.591	1,329,498	2,147,750	1,849,631	1,584,370

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
2010-06-01	$62.66	$70.00	46.6%	13.3%	54.0%	77.4%	46.1%	13.1%	-2.2%	-66.0M	2.07B	-16.6M	1.57	4.25	N/A	N/A	45,829	72,181	738,663	1,110,968
2010-06-02	$64.77	$69.00	40.7%	11.7%	52.6%	59.0%	41.4%	12.1%	-1.5%	-66.3M	1.60B	-17.4M	0.84	3.68	N/A	N/A	41,545	34,811	751,485	1,155,135
2010-06-03	$64.14	$69.00	42.9%	12.3%	52.6%	65.8%	44.9%	11.3%	-1.7%	-66.9M	1.77B	-17.3M	1.84	4.10	N/A	N/A	22,619	41,546	765,222	1,166,041
2010-06-04	$61.94	$64.00	46.2%	12.6%	51.7%	76.2%	44.2%	14.7%	-1.8%	-76.0M	2.46B	-16.6M	2.79	5.43	N/A	N/A	18,888	52,791	774,733	1,186,047
2010-06-07	$60.87	$63.00	46.7%	12.5%	52.0%	78.0%	44.6%	14.2%	-1.1%	-83.1M	2.82B	-16.0M	1.56	4.65	N/A	N/A	22,598	35,272	783,432	1,209,709
2010-06-08	$62.41	$63.00	44.5%	12.1%	43.6%	70.8%	42.1%	12.4%	-0.5%	-82.5M	2.29B	-16.7M	1.50	4.12	N/A	N/A	29,557	44,245	788,714	1,204,359
2010-06-09	$62.48	$64.00	44.8%	12.4%	43.0%	71.8%	42.1%	12.5%	-0.8%	-82.2M	2.26B	-16.9M	1.16	5.95	N/A	N/A	30,088	34,945	808,215	1,223,907
2010-06-10	$65.10	$64.00	39.4%	11.3%	45.6%	54.7%	40.3%	10.7%	0.0%	-71.5M	1.35B	-17.8M	1.19	4.44	N/A	N/A	34,111	40,507	821,780	1,241,148
2010-06-11	$65.65	$64.00	36.7%	10.5%	45.7%	46.0%	36.1%	10.9%	1.1%	-67.5M	1.15B	-17.7M	1.21	4.49	N/A	N/A	19,183	23,219	838,559	1,253,265
2010-06-14	$64.97	$64.00	38.8%	11.1%	44.8%	52.8%	40.2%	10.2%	0.0%	-72.1M	1.35B	-17.1M	1.70	3.97	N/A	N/A	13,726	23,267	849,964	1,257,060
2010-06-15	$66.88	$64.00	34.7%	9.9%	45.8%	39.7%	41.4%	10.2%	1.5%	-44.2M	589.5M	-16.9M	1.60	4.02	N/A	N/A	17,195	27,467	851,769	1,253,877
2010-06-16	$67.14	$64.00	34.4%	9.9%	44.2%	38.8%	35.1%	10.2%	1.7%	-37.8M	524.6M	-16.7M	1.00	4.60	N/A	N/A	29,772	29,794	852,366	1,252,035
2010-06-17	$66.82	$64.00	34.0%	9.8%	43.1%	37.6%	37.0%	9.5%	2.1%	-41.3M	622.6M	-16.6M	3.02	4.48	N/A	N/A	22,813	68,928	867,353	1,262,895
2010-06-18	$67.20	$64.00	32.5%	9.3%	38.2%	32.8%	33.7%	9.7%	2.7%	-658.5K	445.1M	-16.4M	3.13	4.78	N/A	N/A	27,655	86,551	865,148	1,282,602
2010-06-21	$67.92	$66.00	33.8%	9.7%	35.9%	36.8%	34.5%	8.9%	0.4%	-24.3M	268.5M	-16.6M	1.09	4.55	N/A	N/A	42,709	46,383	514,948	814,550
2010-06-22	$66.80	$66.00	37.3%	10.7%	36.1%	48.1%	35.7%	7.9%	-1.1%	-25.7M	497.0M	-16.8M	0.70	8.37	N/A	N/A	115,146	81,075	537,417	832,056
2010-06-23	$66.70	$67.00	35.1%	10.1%	35.8%	41.1%	37.1%	8.6%	0.2%	-22.4M	517.2M	-17.7M	1.05	3.77	N/A	N/A	29,917	31,547	603,504	893,275
2010-06-24	$65.54	$67.00	37.9%	10.9%	36.7%	50.1%	39.5%	11.3%	-0.8%	-27.1M	850.4M	-17.7M	2.14	3.58	N/A	N/A	18,703	40,033	612,893	908,129
2010-06-25	$66.91	$67.00	34.9%	10.0%	31.2%	40.3%	37.5%	9.4%	0.8%	-25.3M	508.6M	-18.1M	1.21	3.47	N/A	N/A	20,151	24,427	618,937	929,366
2010-06-28	$66.12	$67.00	36.0%	10.3%	31.5%	44.0%	36.6%	9.1%	0.9%	-30.1M	714.5M	-17.5M	0.80	3.14	N/A	N/A	12,433	9,948	618,431	935,004
2010-06-29	$62.75	$67.00	43.5%	12.5%	36.6%	67.9%	43.5%	11.1%	-1.3%	-38.8M	1.58B	-16.6M	1.72	4.03	N/A	N/A	25,930	44,529	619,382	936,624
2010-06-30	$61.83	$67.00	43.9%	12.6%	34.8%	68.9%	42.9%	10.1%	-0.7%	-41.1M	1.75B	-16.4M	1.42	3.55	N/A	N/A	24,887	35,253	631,399	952,971