EWZ Options History — January 2011

In January 2011, EWZ traded between $72.55 and $78.64. ATM implied volatility averaged 24.5%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 4.9% (HV 20d: 19.6%). Max pain ranged from $77.00 to $79.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.59.

Notable Days

2011-01-12: Highest Volume — 122,523 contracts
2011-01-13: Largest IV spike — 31.7% change
2011-01-31: Highest IV Rank — 22.5%
2011-01-31: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$76.23	$72.55	$78.64	$78.12	$73.20
Max Pain	$77.90	$77.00	$79.00	$79.00	$77.00
ATM IV	24.5%	19.8%	27.4%	23.8%	27.4%
Expected Move	7.2%	6.5%	7.9%	6.8%	7.9%
HV 20d	19.6%	18.1%	20.8%	18.6%	20.3%
HV 60d	22.2%	21.9%	23.1%	22.7%	22.2%
IV Rank	12.3%	0.0%	22.5%	7.5%	22.5%
IV Percentile	12.6%	0.0%	32.9%	4.8%	32.9%
Term Structure	1.7%	0.8%	2.8%	2.4%	0.9%
VWIV	25.9%	23.2%	30.0%	24.9%	30.0%
Skew 25d	4.8%	3.7%	6.5%	5.7%	6.2%
Skew 10d	9.6%	6.7%	13.9%	9.9%	13.6%
Call IV 25d	23.0%	21.3%	24.6%	21.4%	24.6%
Put IV 25d	27.8%	25.5%	31.0%	27.1%	30.7%
Bid-Ask Spread %	4.12	2.87	5.32	3.28	4.72
Gamma HHI	0.10	0.07	0.55	0.07	0.08
Net GEX	-8.6M	-225.2M	74.0M	50.1M	-76.9M
Net DEX	939.8M	-127.8M	2.10B	270.5M	1.25B
Net VEX	-14.1M	-15.3M	-13.1M	-14.9M	-13.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.59	0.39	3.01	1.18	2.25
Total Volume	69,571.35	29,172	122,523	75,232	68,464
Total OI	1,812,623.5	963,204	2,243,829	2,012,173	1,130,366

Daily Data (20 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
2011-01-03	$78.12	$79.00	23.8%	6.8%	18.6%	7.5%	24.9%	5.7%	2.4%	50.1M	270.5M	-14.9M	1.18	3.28	N/A	N/A	34,536	40,696	842,760	1,169,413
2011-01-04	$78.47	$79.00	24.1%	6.9%	18.5%	8.5%	24.7%	4.8%	2.1%	48.5M	206.5M	-14.9M	0.97	3.38	N/A	N/A	41,897	40,709	848,605	1,187,704
2011-01-05	$77.55	$79.00	22.7%	6.5%	18.7%	4.1%	23.3%	4.1%	2.8%	43.7M	658.8M	-15.1M	2.97	3.62	N/A	N/A	21,439	63,628	870,251	1,213,453
2011-01-06	$76.78	$79.00	23.8%	6.8%	18.4%	7.5%	25.4%	3.7%	2.5%	15.4M	1.12B	-15.3M	2.86	2.87	N/A	N/A	17,641	50,371	860,156	1,240,576
2011-01-07	$76.08	$78.00	23.8%	7.7%	18.1%	7.6%	27.4%	5.5%	0.9%	3.8M	1.48B	-15.3M	3.01	5.22	N/A	N/A	7,278	21,894	859,079	1,256,126
2011-01-10	$75.31	$78.00	25.3%	7.8%	18.2%	12.4%	27.0%	5.1%	0.8%	-13.0M	1.90B	-14.6M	1.50	5.32	N/A	N/A	21,837	32,657	861,836	1,268,887
2011-01-11	$76.93	$78.00	22.5%	7.3%	19.0%	3.5%	26.3%	4.9%	1.3%	24.4M	999.4M	-14.9M	0.40	4.83	N/A	N/A	42,488	17,023	873,035	1,276,319
2011-01-12	$78.64	$78.00	19.8%	7.0%	20.5%	0.0%	24.5%	4.5%	1.2%	74.0M	-127.8M	-14.4M	0.39	4.53	N/A	N/A	88,092	34,431	889,507	1,276,001
2011-01-13	$77.40	$78.00	26.0%	7.5%	19.8%	18.5%	28.0%	4.4%	1.1%	40.0M	713.6M	-14.5M	1.59	3.84	N/A	N/A	26,686	42,399	866,760	1,275,941
2011-01-14	$77.40	$78.00	25.4%	7.3%	19.8%	16.8%	23.5%	4.4%	1.2%	32.7M	865.0M	-14.6M	0.46	4.43	N/A	N/A	35,971	16,401	869,989	1,308,154
2011-01-18	$77.84	$78.00	24.4%	7.0%	19.9%	13.6%	23.2%	4.6%	1.4%	64.0M	479.9M	-13.6M	1.12	4.21	N/A	N/A	30,390	34,103	894,013	1,308,249
2011-01-19	$76.88	$78.00	25.5%	7.3%	20.0%	16.8%	26.2%	4.3%	1.4%	20.7M	1.06B	-13.8M	1.50	3.79	N/A	N/A	26,370	39,457	906,651	1,302,498
2011-01-20	$75.85	$78.00	25.6%	7.3%	19.9%	17.1%	26.4%	4.8%	1.8%	3.0M	1.57B	-13.6M	2.25	4.52	N/A	N/A	23,087	52,060	908,490	1,310,423
2011-01-21	$74.99	$78.00	25.9%	7.4%	20.1%	18.1%	25.2%	4.3%	1.9%	-225.2M	2.10B	-13.3M	1.15	4.21	N/A	N/A	42,617	49,202	913,499	1,330,330
2011-01-24	$75.99	$77.00	24.5%	7.0%	20.6%	14.0%	24.2%	4.3%	1.9%	-42.1M	500.5M	-13.1M	0.41	3.47	N/A	N/A	28,027	11,483	357,491	605,713
2011-01-25	$75.25	$77.00	24.7%	7.1%	20.8%	14.6%	27.1%	4.6%	1.9%	-46.4M	673.5M	-13.1M	1.67	4.26	N/A	N/A	31,916	53,395	366,890	611,991
2011-01-26	$75.27	$77.00	24.1%	6.9%	20.8%	12.7%	25.1%	4.4%	2.3%	-52.2M	693.2M	-13.2M	1.04	3.51	N/A	N/A	23,831	24,804	389,077	647,288
2011-01-27	$74.14	$77.00	23.3%	6.7%	19.7%	10.4%	25.5%	4.6%	2.8%	-63.9M	995.9M	-13.1M	2.25	4.29	N/A	N/A	21,038	47,242	405,930	658,987
2011-01-28	$72.55	$77.00	26.8%	7.7%	20.1%	20.7%	29.7%	6.5%	1.0%	-71.6M	1.38B	-13.2M	2.87	4.18	N/A	N/A	22,216	63,651	408,229	681,803
2011-01-31	$73.20	$77.00	27.4%	7.9%	20.3%	22.5%	30.0%	6.2%	0.9%	-76.9M	1.25B	-13.4M	2.25	4.72	N/A	N/A	21,057	47,407	412,290	718,076