EWZ Options History — October 2010

In October 2010, EWZ traded between $76.10 and $80.92. ATM implied volatility averaged 26.7%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 8.1% (HV 20d: 18.7%). Max pain ranged from $74.00 to $76.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.03.

Notable Days

2010-10-05: Highest Volume — 193,300 contracts
2010-10-14: Largest IV spike — 27.1% change
2010-10-27: Highest IV Rank — 26.8%
2010-10-27: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.33	$76.10	$80.92	$78.12	$77.04
Max Pain	$75.24	$74.00	$76.00	$74.00	$76.00
ATM IV	26.7%	21.8%	30.3%	24.5%	28.7%
Expected Move	7.9%	7.0%	8.7%	7.0%	8.2%
HV 20d	18.7%	13.8%	23.7%	15.3%	22.8%
HV 60d	23.3%	21.9%	24.2%	24.1%	23.4%
IV Rank	15.1%	0.0%	26.8%	7.4%	21.8%
IV Percentile	17.4%	0.0%	40.9%	2.8%	29.4%
Term Structure	1.2%	0.5%	2.3%	2.3%	1.0%
VWIV	28.6%	26.8%	30.6%	26.8%	29.3%
Skew 25d	5.4%	4.4%	7.0%	4.4%	5.0%
Skew 10d	11.6%	8.9%	20.9%	8.9%	9.4%
Call IV 25d	25.4%	22.8%	28.0%	22.8%	26.4%
Put IV 25d	30.8%	27.2%	32.9%	27.2%	31.4%
Bid-Ask Spread %	4.65	3.76	13.37	3.85	4.39
Gamma HHI	0.07	0.06	0.10	0.10	0.06
Net GEX	47.4M	8.6M	76.4M	63.9M	28.7M
Net DEX	-2.55B	-4.48B	-808.7M	-2.78B	-1.42B
Net VEX	-22.8M	-24.1M	-21.4M	-21.6M	-23.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.38	1.99	0.46	0.72
Total Volume	87,158.952	38,140	193,300	131,457	99,855
Total OI	2,261,747.571	2,059,667	2,467,077	2,059,667	2,379,497

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
2010-10-01	$78.12	$74.00	24.5%	7.0%	15.3%	7.4%	26.8%	4.4%	2.3%	63.9M	-2.78B	-21.6M	0.46	3.85	N/A	N/A	89,908	41,549	914,512	1,145,155
2010-10-04	$78.16	$75.00	24.6%	7.7%	15.1%	7.5%	26.8%	7.0%	0.9%	74.8M	-2.88B	-21.7M	0.88	4.31	N/A	N/A	53,460	47,131	955,904	1,158,813
2010-10-05	$79.68	$75.00	23.8%	7.4%	13.8%	5.2%	27.9%	6.9%	1.0%	76.3M	-3.63B	-21.6M	0.95	3.83	N/A	N/A	99,117	94,183	988,276	1,188,582
2010-10-06	$78.64	$75.00	25.2%	7.7%	15.3%	9.6%	28.9%	6.8%	0.9%	74.7M	-3.11B	-22.8M	1.99	4.31	N/A	N/A	43,115	85,588	1,021,798	1,222,168
2010-10-07	$77.58	$75.00	25.4%	7.9%	16.7%	10.2%	29.7%	6.6%	0.8%	65.9M	-2.56B	-23.4M	1.48	4.06	N/A	N/A	31,116	45,925	1,041,545	1,256,752
2010-10-08	$79.03	$75.00	23.3%	7.6%	17.4%	3.6%	28.2%	6.0%	1.2%	70.3M	-3.38B	-22.7M	1.29	3.76	N/A	N/A	25,362	32,720	1,041,107	1,276,732
2010-10-11	$79.30	$75.00	24.9%	7.7%	15.4%	8.7%	27.8%	5.3%	1.1%	70.8M	-3.56B	-22.1M	0.38	3.97	N/A	N/A	39,787	15,295	1,044,617	1,282,144
2010-10-12	$79.10	$75.00	24.8%	7.7%	15.4%	8.3%	29.0%	5.5%	1.4%	76.4M	-3.51B	-22.3M	1.09	4.04	N/A	N/A	25,430	27,784	1,066,547	1,288,577
2010-10-13	$80.92	$75.00	21.8%	7.5%	16.4%	0.0%	28.6%	4.9%	1.5%	68.0M	-4.48B	-21.4M	0.39	4.79	N/A	N/A	87,516	34,484	1,078,475	1,302,567
2010-10-14	$80.53	$75.00	27.7%	7.9%	16.7%	18.5%	28.1%	5.4%	0.7%	69.9M	-4.32B	-22.3M	1.03	13.37	N/A	N/A	42,741	44,083	1,117,243	1,321,161
2010-10-15	$80.40	$75.00	27.2%	7.8%	16.1%	16.9%	27.6%	5.2%	1.5%	65.4M	-4.28B	-22.4M	1.02	4.58	N/A	N/A	45,612	46,642	1,125,178	1,341,899
2010-10-18	$80.07	$75.00	27.5%	7.9%	16.4%	17.9%	28.2%	4.9%	1.5%	39.8M	-2.98B	-22.0M	1.43	4.57	N/A	N/A	15,723	22,417	950,012	1,116,411
2010-10-19	$77.65	$75.00	28.5%	8.2%	20.7%	21.1%	29.9%	5.4%	1.9%	26.3M	-1.70B	-23.3M	1.23	4.71	N/A	N/A	41,985	51,702	953,316	1,131,427
2010-10-20	$78.44	$75.00	28.3%	8.1%	20.8%	20.4%	27.6%	5.2%	1.2%	27.1M	-2.14B	-22.7M	0.97	4.06	N/A	N/A	45,172	43,854	975,989	1,162,873
2010-10-21	$76.67	$75.00	29.9%	8.6%	22.6%	25.6%	30.6%	5.0%	0.9%	17.2M	-1.13B	-24.1M	1.69	4.45	N/A	N/A	39,304	66,404	998,581	1,195,344
2010-10-22	$76.10	$76.00	29.1%	8.3%	22.7%	23.1%	28.8%	4.5%	1.6%	8.6M	-851.7M	-23.5M	0.92	3.88	N/A	N/A	50,482	46,453	1,005,758	1,227,868
2010-10-25	$76.80	$76.00	28.4%	8.1%	22.8%	20.7%	29.3%	5.2%	0.9%	13.7M	-1.18B	-23.1M	1.00	3.85	N/A	N/A	23,152	23,122	1,030,329	1,252,902
2010-10-26	$77.74	$76.00	28.4%	8.1%	22.7%	20.8%	28.1%	4.9%	1.1%	24.3M	-1.69B	-23.8M	1.13	3.89	N/A	N/A	18,113	20,509	1,040,743	1,249,617
2010-10-27	$76.24	$76.00	30.3%	8.7%	23.7%	26.8%	30.2%	5.0%	0.5%	13.5M	-808.7M	-23.8M	0.60	4.69	N/A	N/A	32,142	19,340	1,047,264	1,262,951
2010-10-28	$76.67	$76.00	29.2%	8.4%	23.4%	23.3%	29.2%	4.6%	0.5%	20.1M	-1.07B	-23.8M	0.93	4.22	N/A	N/A	37,365	34,696	1,067,057	1,269,008
2010-10-29	$77.04	$76.00	28.7%	8.2%	22.8%	21.8%	29.3%	5.0%	1.0%	28.7M	-1.42B	-23.5M	0.72	4.39	N/A	N/A	58,174	41,681	1,097,791	1,281,706