EWZ Options History — September 2010

In September 2010, EWZ traded between $69.54 and $76.95. ATM implied volatility averaged 26.8%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 0.2% (HV 20d: 26.6%). Max pain ranged from $68.00 to $73.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.34.

Notable Days

2010-09-28: Highest Volume — 166,787 contracts
2010-09-07: Largest IV spike — 15.5% change
2010-09-07: Highest IV Rank — 19.9%
2010-09-07: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.64	$69.54	$76.95	$70.55	$76.95
Max Pain	$70.24	$68.00	$73.00	$69.00	$73.00
ATM IV	26.8%	24.6%	28.4%	27.2%	24.6%
Expected Move	7.8%	7.0%	8.6%	7.8%	7.0%
HV 20d	26.6%	14.8%	30.5%	29.9%	14.8%
HV 60d	27.1%	24.0%	29.2%	29.2%	24.0%
IV Rank	14.8%	7.6%	19.9%	16.0%	7.6%
IV Percentile	9.3%	2.8%	15.9%	7.9%	2.8%
Term Structure	2.3%	1.4%	3.5%	2.1%	2.8%
VWIV	28.1%	26.2%	32.2%	29.9%	26.4%
Skew 25d	6.3%	4.9%	7.9%	5.7%	5.2%
Skew 10d	12.9%	9.6%	15.5%	11.1%	9.6%
Call IV 25d	24.4%	22.7%	26.7%	25.1%	22.7%
Put IV 25d	30.7%	27.9%	34.7%	30.9%	27.9%
Bid-Ask Spread %	3.77	2.48	5.18	2.67	4.90
Gamma HHI	0.11	0.07	0.35	0.07	0.10
Net GEX	49.0M	-72.0K	147.6M	7.3M	72.8M
Net DEX	-958.0M	-2.31B	-30.9M	-372.2M	-2.31B
Net VEX	-17.0M	-21.4M	-15.6M	-16.4M	-21.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.34	0.44	5.02	1.41	1.55
Total Volume	89,734.571	31,204	166,787	86,836	136,249
Total OI	1,743,203.905	1,402,846	1,992,354	1,685,999	1,988,373

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
2010-09-01	$70.55	$69.00	27.2%	7.8%	29.9%	16.0%	29.9%	5.7%	2.1%	7.3M	-372.2M	-16.4M	1.41	2.67	N/A	N/A	36,061	50,775	673,969	1,012,030
2010-09-02	$70.82	$69.00	26.4%	7.6%	29.9%	13.4%	27.5%	4.9%	2.7%	14.1M	-488.0M	-16.4M	1.30	2.48	N/A	N/A	25,454	33,188	691,554	1,030,120
2010-09-03	$70.63	$68.00	24.6%	8.1%	29.8%	7.7%	29.5%	7.5%	3.5%	17.2M	-478.2M	-16.2M	1.39	5.18	N/A	N/A	30,868	42,797	705,521	1,050,730
2010-09-07	$69.54	$68.00	28.4%	8.6%	30.2%	19.9%	32.2%	7.9%	2.5%	-72.0K	-30.9M	-16.0M	1.22	4.50	N/A	N/A	14,030	17,174	708,874	1,058,234
2010-09-08	$70.49	$68.00	27.1%	8.4%	30.5%	15.6%	29.5%	7.6%	2.6%	13.0M	-366.0M	-15.9M	1.14	3.91	N/A	N/A	28,522	32,523	705,511	1,060,472
2010-09-09	$70.78	$68.00	27.8%	8.0%	27.8%	17.8%	27.1%	7.5%	3.2%	24.5M	-525.9M	-15.6M	3.64	3.76	N/A	N/A	14,223	51,744	723,653	1,077,293
2010-09-10	$70.91	$68.00	27.7%	7.9%	27.8%	17.4%	28.5%	7.3%	2.8%	28.8M	-556.6M	-15.6M	5.02	4.27	N/A	N/A	13,003	65,299	727,738	1,074,707
2010-09-13	$72.84	$69.00	26.0%	7.4%	29.1%	12.0%	26.5%	7.0%	3.1%	58.7M	-1.23B	-15.7M	0.57	3.35	N/A	N/A	41,320	23,527	730,120	1,104,893
2010-09-14	$72.65	$70.00	26.6%	7.6%	28.5%	14.0%	26.2%	6.9%	2.8%	68.9M	-1.23B	-15.7M	0.45	4.33	N/A	N/A	102,912	46,120	748,697	1,102,108
2010-09-15	$72.33	$71.00	27.8%	8.0%	28.4%	17.9%	28.8%	7.0%	2.1%	92.5M	-1.15B	-16.1M	1.16	4.38	N/A	N/A	43,198	50,217	824,061	1,125,390
2010-09-16	$72.43	$71.00	27.7%	7.9%	28.4%	17.5%	30.5%	7.0%	2.2%	96.8M	-1.24B	-16.3M	1.13	3.83	N/A	N/A	30,001	33,904	835,018	1,131,909
2010-09-17	$71.78	$71.00	27.6%	7.9%	28.1%	17.3%	28.1%	6.8%	2.1%	147.6M	-925.1M	-16.2M	0.63	3.70	N/A	N/A	37,018	23,379	842,271	1,150,083
2010-09-20	$72.46	$71.00	27.2%	7.8%	28.1%	15.8%	27.7%	5.6%	1.7%	26.3M	-559.2M	-16.1M	1.01	2.91	N/A	N/A	33,965	34,161	607,106	795,740
2010-09-21	$72.88	$71.00	26.1%	7.5%	27.2%	12.5%	27.3%	5.6%	1.9%	33.0M	-688.3M	-16.3M	0.77	3.69	N/A	N/A	30,853	23,793	622,733	814,907
2010-09-22	$73.40	$71.00	26.8%	7.7%	26.5%	14.6%	27.3%	6.1%	1.6%	39.5M	-880.2M	-16.6M	0.91	3.54	N/A	N/A	41,947	38,125	640,700	827,848
2010-09-23	$74.18	$71.00	27.8%	8.0%	26.4%	17.7%	28.3%	5.8%	1.7%	46.6M	-1.17B	-17.3M	1.11	3.14	N/A	N/A	78,583	87,448	671,406	847,875
2010-09-24	$73.90	$72.00	27.1%	7.8%	25.6%	15.7%	27.7%	5.0%	1.8%	44.2M	-1.03B	-18.7M	0.44	3.72	N/A	N/A	54,947	24,370	719,246	916,488
2010-09-27	$74.39	$72.00	27.5%	7.9%	22.5%	16.7%	27.5%	5.3%	1.4%	54.5M	-1.24B	-19.0M	0.91	3.32	N/A	N/A	41,618	38,042	749,226	927,683
2010-09-28	$75.40	$72.00	26.3%	7.5%	19.6%	13.2%	27.8%	5.7%	1.8%	65.6M	-1.60B	-19.4M	0.66	3.52	N/A	N/A	100,390	66,397	771,256	952,620
2010-09-29	$76.15	$72.00	25.3%	7.3%	19.5%	9.9%	26.5%	5.1%	2.4%	76.5M	-2.04B	-20.6M	1.73	4.15	N/A	N/A	61,015	105,266	852,337	1,006,782
2010-09-30	$76.95	$73.00	24.6%	7.0%	14.8%	7.6%	26.4%	5.2%	2.8%	72.8M	-2.31B	-21.4M	1.55	4.90	N/A	N/A	53,418	82,831	893,389	1,094,984