EWZ Options History — February 2011

In February 2011, EWZ traded between $70.22 and $74.82. ATM implied volatility averaged 25.2%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.9% (HV 20d: 23.2%). Max pain ranged from $76.00 to $77.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 2.02.

Notable Days

2011-02-09: Highest Volume — 153,707 contracts
2011-02-22: Largest IV spike — 18.5% change
2011-02-10: Highest IV Rank — 21.0%
2011-02-09: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.93	$70.22	$74.82	$74.68	$74.27
Max Pain	$76.42	$76.00	$77.00	$77.00	$76.00
ATM IV	25.2%	22.6%	26.9%	24.3%	26.3%
Expected Move	7.3%	6.5%	7.9%	7.0%	7.1%
HV 20d	23.2%	20.8%	25.6%	21.5%	23.7%
HV 60d	21.9%	20.9%	22.6%	21.8%	20.9%
IV Rank	15.9%	8.4%	21.0%	13.4%	19.2%
IV Percentile	19.0%	2.8%	33.7%	10.7%	31.0%
Term Structure	1.5%	-0.1%	3.1%	1.7%	1.2%
VWIV	25.9%	23.2%	28.9%	25.4%	23.9%
Skew 25d	5.6%	4.6%	6.5%	5.8%	4.9%
Skew 10d	11.5%	8.8%	13.8%	11.0%	9.4%
Call IV 25d	23.0%	20.8%	24.8%	22.3%	22.4%
Put IV 25d	28.6%	25.5%	30.7%	28.1%	27.2%
Bid-Ask Spread %	4.46	2.51	5.61	4.94	2.51
Gamma HHI	0.08	0.07	0.17	0.08	0.07
Net GEX	-76.8M	-116.9M	-40.4M	-69.3M	-50.2M
Net DEX	1.27B	504.4M	2.24B	916.2M	738.1M
Net VEX	-14.5M	-15.7M	-13.0M	-13.8M	-15.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.02	0.62	4.41	1.74	1.87
Total Volume	81,419.947	37,847	153,707	40,312	69,768
Total OI	1,313,932.158	1,155,967	1,512,747	1,155,967	1,314,846

Daily Data (19 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
2011-02-01	$74.68	$77.00	24.3%	7.0%	21.5%	13.4%	25.4%	5.8%	1.7%	-69.3M	916.2M	-13.8M	1.74	4.94	N/A	N/A	14,705	25,607	417,104	738,863
2011-02-02	$73.38	$77.00	26.5%	7.6%	22.0%	19.9%	25.8%	6.5%	0.6%	-83.0M	1.29B	-13.7M	3.55	4.49	N/A	N/A	10,927	38,819	418,477	745,468
2011-02-03	$73.30	$77.00	25.2%	7.2%	21.8%	16.0%	27.0%	5.4%	1.6%	-87.8M	1.34B	-13.7M	1.41	5.13	N/A	N/A	31,931	45,094	419,928	758,960
2011-02-04	$72.05	$77.00	25.6%	7.8%	22.2%	17.3%	27.9%	6.4%	1.0%	-92.2M	1.61B	-13.2M	0.80	4.44	N/A	N/A	39,849	31,864	432,623	760,771
2011-02-07	$71.32	$77.00	26.1%	7.8%	22.3%	18.7%	26.1%	5.7%	1.1%	-96.9M	1.72B	-13.1M	1.72	4.89	N/A	N/A	30,263	52,025	449,615	771,082
2011-02-08	$72.36	$77.00	23.8%	7.4%	23.0%	12.0%	25.0%	5.2%	2.1%	-87.8M	1.48B	-13.3M	1.32	5.41	N/A	N/A	17,709	23,351	461,567	799,697
2011-02-09	$70.38	$77.00	26.5%	7.9%	23.0%	19.9%	26.9%	5.7%	1.2%	-108.4M	2.07B	-13.0M	4.15	4.21	N/A	N/A	29,821	123,886	471,771	811,790
2011-02-10	$70.22	$77.00	26.9%	7.7%	20.8%	21.0%	27.0%	5.8%	1.4%	-116.9M	2.24B	-13.9M	1.77	4.59	N/A	N/A	32,777	57,985	483,314	892,451
2011-02-11	$71.90	$76.00	25.3%	7.2%	22.8%	16.2%	26.3%	6.0%	2.2%	-105.2M	1.72B	-14.8M	1.43	4.41	N/A	N/A	35,142	50,214	500,742	922,325
2011-02-14	$72.63	$76.00	24.3%	7.0%	23.3%	13.5%	24.4%	5.8%	2.4%	-80.6M	1.39B	-14.7M	1.12	4.64	N/A	N/A	17,813	20,034	523,051	930,620
2011-02-15	$72.72	$76.00	24.2%	6.9%	23.2%	13.2%	24.1%	5.8%	2.5%	-74.9M	1.43B	-14.7M	0.62	5.09	N/A	N/A	31,018	19,124	530,575	922,435
2011-02-16	$73.87	$76.00	23.7%	6.8%	23.8%	11.5%	24.7%	5.6%	2.3%	-54.8M	940.4M	-15.4M	1.03	5.59	N/A	N/A	27,993	28,771	548,770	928,545
2011-02-17	$74.27	$76.00	23.7%	6.8%	23.6%	11.6%	23.2%	5.2%	2.3%	-47.4M	775.7M	-15.5M	0.85	4.19	N/A	N/A	49,869	42,538	554,066	938,561
2011-02-18	$74.82	$76.00	22.6%	6.5%	23.4%	8.4%	24.3%	4.6%	3.1%	-86.1M	504.4M	-15.4M	1.24	4.23	N/A	N/A	37,885	47,094	567,547	945,200
2011-02-22	$72.56	$76.00	26.8%	7.7%	25.2%	20.7%	28.4%	5.6%	-0.1%	-62.5M	1.19B	-15.0M	2.51	3.62	N/A	N/A	39,876	99,900	444,840	775,909
2011-02-23	$73.20	$76.00	26.7%	7.7%	25.3%	20.5%	28.9%	5.9%	0.5%	-60.3M	1.03B	-15.3M	3.78	3.62	N/A	N/A	21,693	81,956	450,084	790,022
2011-02-24	$73.80	$76.00	25.6%	7.3%	25.6%	17.3%	27.3%	5.4%	0.8%	-55.4M	922.2M	-15.7M	4.41	5.61	N/A	N/A	22,608	99,717	461,830	820,093
2011-02-25	$73.89	$76.00	23.8%	7.2%	25.0%	11.9%	26.4%	5.0%	1.1%	-40.4M	813.2M	-15.2M	2.98	3.21	N/A	N/A	24,481	72,872	470,993	790,176
2011-02-28	$74.27	$76.00	26.3%	7.1%	23.7%	19.2%	23.9%	4.9%	1.2%	-50.2M	738.1M	-15.6M	1.87	2.51	N/A	N/A	24,348	45,420	480,486	834,360