EWZ Options History — March 2011

In March 2011, EWZ traded between $71.77 and $77.51. ATM implied volatility averaged 25.0%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.4% (HV 20d: 21.7%). Max pain ranged from $72.00 to $76.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.65.

Notable Days

2011-03-16: Highest Volume — 113,285 contracts
2011-03-28: Largest IV spike — 20.7% change
2011-03-01: Highest IV Rank — 28.7%
2011-03-16: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.37	$71.77	$77.51	$73.13	$77.51
Max Pain	$73.74	$72.00	$76.00	$76.00	$75.00
ATM IV	25.0%	18.4%	29.5%	29.5%	18.4%
Expected Move	7.0%	5.6%	8.4%	7.5%	5.7%
HV 20d	21.7%	19.7%	24.3%	24.3%	19.7%
HV 60d	21.5%	20.9%	21.9%	20.9%	21.7%
IV Rank	15.7%	0.0%	28.7%	28.7%	0.0%
IV Percentile	26.1%	0.0%	61.1%	60.3%	0.0%
Term Structure	1.5%	0.3%	2.7%	1.1%	2.1%
VWIV	25.1%	21.1%	29.5%	26.1%	21.8%
Skew 25d	5.7%	4.2%	8.1%	4.7%	4.2%
Skew 10d	11.6%	8.7%	16.6%	9.3%	8.7%
Call IV 25d	21.7%	18.3%	25.8%	23.8%	18.6%
Put IV 25d	27.4%	22.5%	33.9%	28.5%	22.8%
Bid-Ask Spread %	3.92	3.11	5.12	3.27	3.60
Gamma HHI	0.08	0.06	0.29	0.07	0.07
Net GEX	-46.4M	-129.2M	17.2M	-63.6M	17.2M
Net DEX	637.8M	-583.9M	1.85B	1.09B	-583.9M
Net VEX	-15.9M	-17.0M	-15.2M	-15.7M	-17.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.65	0.45	3.19	2.59	0.45
Total Volume	65,565.652	23,067	113,285	33,850	56,284
Total OI	1,358,377.217	1,031,530	1,597,908	1,354,903	1,325,164

Daily Data (23 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
2011-03-01	$73.13	$76.00	29.5%	7.5%	24.3%	28.7%	26.1%	4.7%	1.1%	-63.6M	1.09B	-15.7M	2.59	3.27	N/A	N/A	9,423	24,427	493,267	861,636
2011-03-02	$74.34	$76.00	27.7%	7.1%	23.9%	23.4%	24.4%	5.0%	1.3%	-50.7M	768.1M	-15.9M	2.01	3.84	N/A	N/A	14,751	29,717	492,046	873,699
2011-03-03	$75.47	$76.00	24.9%	6.6%	23.6%	15.1%	23.0%	4.2%	1.7%	-32.6M	359.1M	-15.7M	0.58	3.94	N/A	N/A	27,029	15,813	495,624	894,400
2011-03-04	$75.71	$72.00	24.4%	7.0%	23.6%	13.7%	25.1%	5.8%	1.7%	-24.8M	266.8M	-15.9M	0.92	4.01	N/A	N/A	30,106	27,815	508,062	895,959
2011-03-07	$74.79	$72.00	28.7%	7.3%	23.1%	26.3%	27.2%	6.3%	1.2%	-36.0M	626.1M	-15.5M	2.55	3.62	N/A	N/A	11,123	28,370	512,906	900,596
2011-03-08	$74.84	$73.00	29.1%	7.1%	22.7%	27.6%	26.0%	5.9%	1.7%	-37.7M	633.0M	-15.6M	1.47	3.77	N/A	N/A	9,335	13,732	512,885	917,601
2011-03-09	$74.48	$73.00	24.6%	7.3%	22.3%	14.2%	26.8%	5.5%	1.7%	-47.5M	784.3M	-15.5M	2.46	3.98	N/A	N/A	21,519	52,938	515,578	920,620
2011-03-10	$72.54	$74.00	27.0%	7.7%	22.1%	21.3%	29.5%	6.2%	1.3%	-93.9M	1.54B	-15.6M	2.78	4.03	N/A	N/A	17,834	49,572	526,665	952,797
2011-03-11	$73.14	$73.00	26.8%	7.7%	22.2%	20.7%	25.8%	6.6%	1.1%	-89.0M	1.34B	-15.4M	0.69	4.82	N/A	N/A	51,336	35,374	533,426	968,166
2011-03-14	$73.99	$73.00	25.6%	7.3%	21.0%	17.1%	26.2%	6.2%	1.5%	-55.0M	987.8M	-15.6M	1.54	4.57	N/A	N/A	19,617	30,237	549,135	973,480
2011-03-15	$73.22	$73.00	27.2%	7.8%	21.1%	21.8%	26.7%	6.5%	0.9%	-78.7M	1.28B	-15.4M	1.69	3.85	N/A	N/A	23,567	39,870	549,511	968,526
2011-03-16	$71.77	$73.00	29.2%	8.4%	22.3%	27.9%	29.5%	8.1%	0.3%	-106.1M	1.80B	-15.3M	3.19	5.12	N/A	N/A	27,010	86,275	557,476	972,056
2011-03-17	$71.93	$73.00	27.9%	8.0%	21.5%	24.0%	27.0%	8.1%	0.4%	-129.2M	1.85B	-15.2M	1.43	4.00	N/A	N/A	42,063	59,963	566,149	996,063
2011-03-18	$73.30	$73.00	25.8%	7.4%	22.6%	17.8%	28.0%	7.3%	1.3%	-108.8M	1.26B	-15.3M	1.57	3.80	N/A	N/A	39,919	62,637	591,403	1,006,505
2011-03-21	$73.59	$73.00	23.9%	6.8%	22.5%	12.1%	24.8%	6.5%	1.1%	-34.5M	375.1M	-15.2M	1.67	3.43	N/A	N/A	25,613	42,730	344,853	686,677
2011-03-22	$74.71	$74.00	22.0%	6.3%	20.1%	6.7%	23.2%	5.9%	2.0%	-25.0M	155.9M	-15.4M	1.34	3.66	N/A	N/A	36,725	49,263	360,235	705,263
2011-03-23	$75.23	$74.00	21.7%	6.2%	20.1%	5.6%	21.1%	5.3%	2.4%	-18.5M	89.2M	-16.2M	0.75	3.88	N/A	N/A	48,187	36,259	378,115	745,812
2011-03-24	$75.20	$74.00	21.7%	6.2%	19.9%	5.7%	24.6%	4.8%	2.7%	-10.8M	48.0M	-16.7M	1.70	3.93	N/A	N/A	25,078	42,589	411,516	769,063
2011-03-25	$75.26	$74.00	20.9%	6.2%	19.9%	3.3%	24.4%	4.8%	2.6%	-12.2M	35.6M	-16.9M	1.37	3.88	N/A	N/A	32,078	44,055	420,056	788,098
2011-03-28	$74.44	$74.00	25.2%	6.6%	20.3%	16.1%	23.1%	4.6%	1.5%	-25.7M	292.0M	-17.0M	2.32	4.28	N/A	N/A	12,123	28,088	436,287	803,274
2011-03-29	$75.23	$74.00	23.8%	6.3%	19.7%	12.0%	22.2%	4.5%	1.8%	-14.7M	64.0M	-16.9M	1.18	3.11	N/A	N/A	31,076	36,529	440,973	815,119
2011-03-30	$76.72	$74.00	20.0%	5.6%	20.1%	0.6%	21.5%	4.3%	2.2%	10.9M	-386.7M	-17.0M	1.77	3.69	N/A	N/A	21,652	38,309	462,847	843,087
2011-03-31	$77.51	$75.00	18.4%	5.7%	19.7%	0.0%	21.8%	4.2%	2.1%	17.2M	-583.9M	-17.0M	0.45	3.60	N/A	N/A	38,936	17,348	467,554	857,610