EWZ Options History — July 2010

In July 2010, EWZ traded between $62.97 and $70.38. ATM implied volatility averaged 33.6%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 2.0% (HV 20d: 31.6%). Max pain ranged from $65.00 to $67.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.83.

Notable Days

2010-07-15: Highest Volume — 150,602 contracts
2010-07-12: Largest IV spike — 16.4% change
2010-07-01: Highest IV Rank — 61.1%
2010-07-01: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.96	$62.97	$70.38	$62.97	$70.38
Max Pain	$65.67	$65.00	$67.00	$67.00	$66.00
ATM IV	33.6%	29.1%	41.4%	41.4%	29.1%
Expected Move	9.7%	8.4%	11.9%	11.9%	8.4%
HV 20d	31.6%	25.2%	35.4%	35.4%	25.2%
HV 60d	40.8%	39.1%	42.0%	40.2%	39.1%
IV Rank	36.4%	22.1%	61.1%	61.1%	22.1%
IV Percentile	41.5%	13.5%	86.9%	86.9%	13.5%
Term Structure	1.1%	-0.7%	2.2%	0.6%	2.1%
VWIV	35.5%	28.5%	43.9%	41.8%	30.8%
Skew 25d	8.7%	7.0%	10.3%	9.2%	7.0%
Skew 10d	18.0%	13.9%	22.0%	19.4%	13.9%
Call IV 25d	30.0%	25.4%	37.7%	37.7%	25.7%
Put IV 25d	38.7%	32.6%	46.9%	46.9%	32.6%
Bid-Ask Spread %	4.24	2.90	6.13	3.02	3.75
Gamma HHI	0.07	0.06	0.15	0.07	0.06
Net GEX	-20.3M	-53.6M	19.2M	-42.2M	19.2M
Net DEX	397.6M	-634.4M	1.58B	1.58B	-634.4M
Net VEX	-17.2M	-17.7M	-16.2M	-17.1M	-17.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.83	0.55	6.21	1.39	2.02
Total Volume	59,868	23,921	150,602	58,419	63,422
Total OI	1,622,534.905	1,395,451	1,817,767	1,620,075	1,611,898

Daily Data (21 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
2010-07-01	$62.97	$67.00	41.4%	11.9%	35.4%	61.1%	41.8%	9.2%	0.6%	-42.2M	1.58B	-17.1M	1.39	3.02	N/A	N/A	24,494	33,925	643,828	976,247
2010-07-02	$63.87	$67.00	37.2%	10.7%	33.4%	47.8%	41.5%	7.1%	2.2%	-42.0M	1.32B	-17.2M	6.21	4.17	N/A	N/A	8,212	51,011	647,184	981,577
2010-07-06	$64.13	$66.00	39.6%	11.4%	32.7%	55.3%	43.9%	9.2%	-0.7%	-46.6M	1.33B	-16.9M	1.95	5.76	N/A	N/A	21,135	41,200	648,953	1,009,342
2010-07-07	$66.02	$66.00	35.9%	10.6%	33.1%	43.5%	37.5%	9.2%	0.3%	-37.7M	707.3M	-17.6M	0.72	4.01	N/A	N/A	28,506	20,601	661,615	1,029,643
2010-07-08	$66.61	$66.00	33.6%	10.2%	33.1%	36.4%	37.6%	9.1%	0.7%	-30.1M	483.4M	-17.6M	1.29	4.25	N/A	N/A	20,448	26,377	675,219	1,029,227
2010-07-09	$67.34	$66.00	31.9%	10.1%	30.1%	30.8%	36.1%	8.9%	0.6%	-18.6M	9.3M	-17.7M	0.70	6.13	N/A	N/A	33,254	23,236	682,795	1,037,822
2010-07-12	$65.92	$66.00	37.1%	10.3%	31.1%	47.4%	37.5%	8.5%	0.8%	-38.3M	713.1M	-17.0M	0.77	4.69	N/A	N/A	30,912	23,894	690,807	1,039,700
2010-07-13	$66.93	$65.00	34.4%	9.9%	31.3%	38.9%	35.7%	8.4%	0.4%	-28.5M	343.3M	-17.1M	0.99	4.04	N/A	N/A	12,044	11,877	710,838	1,052,684
2010-07-14	$66.42	$66.00	34.2%	10.3%	29.7%	38.3%	38.5%	10.3%	0.7%	-41.1M	592.7M	-16.9M	2.82	4.64	N/A	N/A	19,635	55,292	701,235	1,050,336
2010-07-15	$66.15	$66.00	34.3%	9.8%	29.6%	38.4%	35.8%	10.0%	1.1%	-53.6M	676.1M	-16.7M	4.30	4.60	N/A	N/A	28,426	122,176	709,657	1,072,919
2010-07-16	$64.15	$65.00	37.0%	10.6%	31.5%	47.2%	36.3%	9.9%	0.7%	-37.8M	1.54B	-16.4M	1.34	4.53	N/A	N/A	22,113	29,544	723,682	1,094,085
2010-07-19	$65.07	$65.00	33.8%	9.7%	31.9%	36.8%	36.6%	8.7%	1.6%	-27.3M	768.4M	-16.2M	1.50	4.57	N/A	N/A	13,845	20,761	552,403	843,048
2010-07-20	$67.23	$65.00	32.6%	9.3%	33.9%	33.1%	32.5%	8.9%	1.6%	-16.4M	301.0M	-16.6M	0.82	3.85	N/A	N/A	58,114	47,812	559,983	855,262
2010-07-21	$66.93	$65.00	33.3%	9.5%	33.4%	35.3%	36.8%	9.7%	1.1%	-12.9M	322.0M	-17.0M	3.06	3.37	N/A	N/A	6,778	20,712	598,717	876,487
2010-07-22	$69.03	$65.00	31.2%	8.9%	35.1%	28.6%	33.0%	8.9%	1.2%	-1.5M	-186.7M	-17.3M	1.14	2.90	N/A	N/A	21,810	24,891	600,998	887,203
2010-07-23	$69.47	$65.00	30.9%	8.8%	34.4%	27.5%	30.8%	8.3%	1.5%	2.9M	-324.3M	-17.3M	2.93	3.96	N/A	N/A	18,058	52,942	609,019	896,214
2010-07-26	$69.24	$65.00	29.4%	8.4%	33.8%	22.9%	28.5%	8.0%	1.9%	4.3M	-276.5M	-17.5M	0.55	3.96	N/A	N/A	28,239	15,432	618,721	935,073
2010-07-27	$69.00	$65.00	29.7%	8.5%	33.5%	23.8%	32.4%	8.4%	1.8%	6.3M	-218.8M	-17.5M	2.76	4.14	N/A	N/A	13,692	37,800	634,112	940,896
2010-07-28	$69.50	$66.00	30.4%	8.7%	26.6%	26.1%	30.8%	8.3%	1.9%	6.2M	-300.5M	-17.7M	0.57	5.15	N/A	N/A	46,656	26,574	636,304	960,388
2010-07-29	$69.83	$66.00	29.5%	8.5%	25.6%	23.3%	30.2%	7.5%	1.8%	9.9M	-397.4M	-17.6M	0.66	3.66	N/A	N/A	31,034	20,344	644,324	942,788
2010-07-30	$70.38	$66.00	29.1%	8.4%	25.2%	22.1%	30.8%	7.0%	2.1%	19.2M	-634.4M	-17.7M	2.02	3.75	N/A	N/A	21,031	42,391	665,609	946,289