EWZ Options History — December 2010 In December 2010, EWZ traded between $73.84 and $78.15. ATM implied volatility averaged 25.2%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 1.9% (HV 20d: 23.3%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.25.
Notable Days 2010-12-20 : Highest Volume — 4,646,780 contracts2010-12-21 : Largest IV spike — 15.5% change2010-12-01 : Highest IV Rank — 26.3%2010-12-01 : Largest Expected Move — 8.6%Monthly Statistics Metric Avg Min Max Open Close Price $75.89 $73.84 $78.15 $76.56 $77.40 Max Pain $76.95 $75.00 $80.00 $75.00 $79.00 ATM IV 25.2% 21.3% 30.2% 30.2% 24.5% Expected Move 7.1% 6.1% 8.6% 8.6% 7.0% HV 20d 23.3% 18.1% 27.5% 27.1% 18.6% HV 60d 22.6% 22.0% 23.1% 22.4% 22.8% IV Rank 11.2% 0.0% 26.3% 26.3% 9.8% IV Percentile 12.4% 0.0% 47.6% 47.6% 7.9% Term Structure 2.0% -0.5% 3.0% -0.5% 3.0% VWIV 25.1% 13.8% 31.0% 31.0% 25.6% Skew 25d 4.9% 0.7% 7.6% 7.6% 5.7% Skew 10d 8.6% 1.0% 15.4% 15.4% 11.2% Call IV 25d 23.0% 20.2% 27.2% 27.2% 21.9% Put IV 25d 27.9% 23.3% 34.7% 34.7% 27.6% Bid-Ask Spread % 5.24 2.72 8.90 4.92 2.73 Gamma HHI 0.08 0.07 0.14 0.07 0.07 Net GEX 39.8M -27.6M 97.9M 49.6M 35.1M Net DEX 473.1M -1.77B 2.44B -787.8M 720.1M Net VEX -14.9M -18.0M -12.0M -18.0M -15.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.25 0.02 3.55 0.94 1.52 Total Volume 288,593.409 13,097 4,646,780 81,246 35,290 Total OI 2,366,066.273 1,921,836 2,843,149 2,437,698 2,006,455
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 2010-12-01 $76.56 $75.00 30.2% 8.6% 27.1% 26.3% 31.0% 7.6% -0.5% 49.6M -787.8M -18.0M 0.94 4.92 N/A N/A 41,929 39,317 1,134,882 1,302,816 2010-12-02 $77.43 $75.00 28.4% 8.1% 27.5% 20.7% 28.8% 6.3% 0.4% 71.4M -1.32B -17.5M 1.53 2.93 N/A N/A 31,266 47,810 1,159,453 1,320,223 2010-12-03 $78.15 $75.00 25.9% 7.4% 25.7% 12.9% 25.3% 6.5% 1.0% 86.1M -1.77B -16.8M 0.82 4.68 N/A N/A 37,513 30,708 1,167,043 1,340,596 2010-12-06 $77.69 $75.00 26.9% 7.6% 25.7% 16.0% 28.6% 7.2% 2.0% 84.2M -1.44B -16.3M 0.39 7.69 N/A N/A 69,491 26,993 1,177,515 1,346,191 2010-12-07 $76.90 $75.00 28.4% 7.7% 25.9% 20.9% 26.5% 6.1% 1.9% 87.5M -993.3M -16.3M 0.97 7.64 N/A N/A 29,776 28,880 1,224,326 1,347,359 2010-12-08 $75.90 $75.00 28.7% 7.7% 25.3% 21.8% 27.5% 6.4% 1.9% 59.9M -161.0M -15.5M 0.80 8.23 N/A N/A 49,717 39,897 1,223,978 1,355,346 2010-12-09 $74.96 $75.00 28.7% 7.6% 25.5% 21.9% 28.1% 6.1% 2.2% 40.2M 568.2M -15.2M 2.43 8.90 N/A N/A 27,549 66,936 1,241,569 1,366,158 2010-12-10 $75.63 $75.00 24.5% 7.1% 25.6% 8.4% 25.7% 4.7% 2.3% 43.4M 151.5M -14.8M 1.78 7.33 N/A N/A 28,156 50,024 1,242,049 1,397,449 2010-12-13 $76.84 $75.00 25.1% 6.8% 25.7% 10.5% 23.5% 4.4% 2.3% 90.3M -811.9M -13.6M 0.83 5.63 N/A N/A 50,051 41,624 1,256,744 1,430,049 2010-12-14 $76.91 $76.00 24.1% 6.5% 25.7% 7.3% 24.2% 4.8% 3.0% 97.9M -696.6M -12.7M 0.73 6.34 N/A N/A 93,227 68,205 1,269,435 1,448,034 2010-12-15 $75.31 $75.00 24.3% 7.0% 24.8% 7.8% 24.7% 4.5% 2.5% 29.5M 707.9M -13.4M 0.89 7.01 N/A N/A 45,040 40,091 1,320,639 1,487,707 2010-12-16 $75.31 $76.00 23.7% 6.8% 24.8% 6.1% 24.3% 3.7% 2.2% 62.9M 647.4M -13.0M 0.74 6.28 N/A N/A 38,783 28,785 1,325,719 1,501,673 2010-12-17 $75.69 $76.00 21.3% 6.1% 22.7% 0.0% 22.7% 2.8% 2.9% 48.4M 334.5M -12.0M 1.24 5.96 N/A N/A 94,472 117,127 1,329,653 1,513,496 2010-12-20 $74.93 $77.00 21.8% 6.2% 22.9% 1.3% 13.8% 0.7% 2.1% 46.8M 1.14B -12.5M 0.02 7.06 N/A N/A 4,575,598 71,182 896,624 1,092,573 2010-12-21 $73.84 $80.00 25.1% 7.2% 23.0% 11.7% 25.4% 3.3% 0.9% -24.0M 2.37B -15.1M 0.85 2.72 N/A N/A 47,204 40,113 799,130 1,122,706 2010-12-22 $74.59 $80.00 23.6% 6.8% 20.9% 6.9% 25.1% 4.5% 1.8% -4.8M 2.13B -15.1M 2.41 2.97 N/A N/A 21,489 51,888 821,770 1,122,858 2010-12-23 $74.50 $80.00 24.1% 6.9% 18.9% 8.4% 23.5% 4.6% 2.4% -15.1M 2.20B -15.5M 2.40 2.82 N/A N/A 11,464 27,498 814,557 1,155,687 2010-12-27 $74.04 $80.00 24.5% 7.0% 18.3% 9.8% 27.0% 4.3% 2.2% -27.6M 2.44B -14.9M 1.94 3.43 N/A N/A 4,455 8,642 812,741 1,175,242 2010-12-28 $74.12 $80.00 24.6% 7.0% 18.1% 10.0% 26.5% 4.1% 2.3% -27.1M 2.41B -14.9M 3.55 3.36 N/A N/A 4,868 17,270 812,386 1,179,799 2010-12-29 $75.92 $80.00 23.2% 6.6% 20.0% 5.7% 22.3% 5.2% 2.7% 2.7M 1.71B -15.1M 0.21 3.21 N/A N/A 97,294 20,914 813,657 1,186,449 2010-12-30 $76.98 $79.00 22.2% 6.4% 18.9% 2.6% 22.1% 4.7% 2.9% 39.1M 851.2M -15.2M 0.57 3.48 N/A N/A 32,168 18,351 854,887 1,155,835 2010-12-31 $77.40 $79.00 24.5% 7.0% 18.6% 9.8% 25.6% 5.7% 3.0% 35.1M 720.1M -15.3M 1.52 2.73 N/A N/A 13,983 21,307 848,029 1,158,426
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