EWZ Options History — May 2011

In May 2011, EWZ traded between $70.94 and $76.78. ATM implied volatility averaged 25.2%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.3% (HV 20d: 21.9%). Max pain ranged from $75.00 to $77.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.75.

Notable Days

2011-05-06: Highest Volume — 110,751 contracts
2011-05-31: Largest IV spike — 36.2% change
2011-05-04: Highest IV Rank — 32.4%
2011-05-16: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.25	$70.94	$76.78	$76.78	$75.22
Max Pain	$75.29	$75.00	$77.00	$77.00	$75.00
ATM IV	25.2%	19.4%	29.8%	25.5%	26.4%
Expected Move	7.0%	6.2%	7.5%	6.5%	6.3%
HV 20d	21.9%	18.9%	23.3%	18.9%	23.3%
HV 60d	21.0%	20.6%	21.7%	21.1%	21.0%
IV Rank	20.3%	3.5%	32.4%	20.3%	28.1%
IV Percentile	32.7%	1.6%	67.5%	34.1%	46.8%
Term Structure	1.2%	-0.1%	2.1%	1.8%	0.1%
VWIV	25.3%	21.6%	27.7%	23.3%	23.9%
Skew 25d	4.9%	3.3%	6.0%	3.6%	4.5%
Skew 10d	9.5%	7.2%	11.6%	7.2%	9.6%
Call IV 25d	22.4%	19.4%	24.2%	21.2%	19.8%
Put IV 25d	27.3%	23.8%	29.6%	24.8%	24.3%
Bid-Ask Spread %	2.86	2.51	3.56	3.17	2.55
Gamma HHI	0.08	0.06	0.12	0.07	0.08
Net GEX	-72.0M	-113.9M	-19.2M	-26.5M	-19.2M
Net DEX	1.24B	64.0M	2.06B	64.0M	80.5M
Net VEX	-16.9M	-17.5M	-16.1M	-17.1M	-17.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.75	0.55	3.71	2.34	2.95
Total Volume	72,867.048	31,479	110,751	46,590	84,630
Total OI	1,534,691.857	1,381,670	1,655,961	1,381,670	1,614,646

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
2011-05-02	$76.78	$77.00	25.5%	6.5%	18.9%	20.3%	23.3%	3.6%	1.8%	-26.5M	64.0M	-17.1M	2.34	3.17	N/A	N/A	13,941	32,649	505,557	876,113
2011-05-03	$75.23	$77.00	29.0%	6.9%	19.8%	30.2%	24.2%	3.7%	2.1%	-50.2M	658.5M	-17.2M	1.45	3.46	N/A	N/A	32,800	47,506	511,172	892,943
2011-05-04	$73.38	$76.00	29.8%	7.3%	21.3%	32.4%	24.6%	4.5%	1.7%	-72.7M	1.31B	-16.8M	1.09	3.20	N/A	N/A	46,084	50,117	521,527	903,492
2011-05-05	$72.85	$76.00	26.2%	7.2%	21.1%	22.0%	25.4%	3.3%	2.1%	-76.1M	1.48B	-16.9M	1.60	3.56	N/A	N/A	36,184	57,773	538,940	919,924
2011-05-06	$74.02	$75.00	25.1%	7.5%	21.8%	19.1%	26.9%	5.7%	1.4%	-60.8M	1.06B	-17.3M	1.57	2.70	N/A	N/A	43,036	67,715	555,081	926,610
2011-05-09	$74.30	$75.00	26.2%	7.2%	21.9%	22.3%	25.8%	5.3%	1.5%	-67.8M	972.6M	-17.1M	1.53	3.07	N/A	N/A	17,381	26,509	566,878	941,317
2011-05-10	$74.99	$75.00	24.1%	6.9%	21.9%	16.2%	27.1%	4.6%	1.7%	-57.2M	653.4M	-16.9M	3.71	2.57	N/A	N/A	17,561	65,103	569,795	944,114
2011-05-11	$73.05	$75.00	22.9%	7.3%	22.3%	12.8%	25.9%	5.0%	1.0%	-97.9M	1.54B	-17.1M	2.02	2.90	N/A	N/A	20,291	41,042	573,414	991,567
2011-05-12	$73.11	$75.00	24.5%	7.0%	22.3%	17.4%	25.7%	4.5%	1.9%	-102.4M	1.54B	-17.2M	1.87	2.57	N/A	N/A	22,402	41,791	579,734	1,004,277
2011-05-13	$71.58	$75.00	25.6%	7.3%	23.2%	20.5%	26.7%	5.4%	1.3%	-93.7M	2.06B	-16.3M	1.99	2.90	N/A	N/A	30,796	61,430	584,435	988,890
2011-05-16	$71.56	$75.00	26.3%	7.5%	22.9%	22.5%	27.3%	5.4%	1.1%	-90.1M	2.00B	-16.1M	1.82	2.61	N/A	N/A	20,800	37,914	586,820	992,786
2011-05-17	$72.74	$75.00	25.8%	7.4%	23.1%	20.9%	27.7%	6.0%	1.6%	-87.2M	1.65B	-16.6M	2.45	2.77	N/A	N/A	22,811	55,805	590,957	1,006,466
2011-05-18	$72.75	$75.00	25.2%	7.2%	22.4%	19.3%	25.6%	5.5%	1.4%	-94.2M	1.71B	-16.7M	1.48	2.72	N/A	N/A	23,156	34,334	596,291	1,039,826
2011-05-19	$71.91	$75.00	25.9%	7.4%	21.2%	21.4%	26.6%	5.8%	1.1%	-98.9M	2.03B	-16.5M	1.53	2.91	N/A	N/A	35,292	53,883	601,302	1,048,735
2011-05-20	$71.93	$75.00	24.8%	7.1%	20.9%	21.2%	24.1%	5.2%	1.3%	-113.9M	1.80B	-16.4M	1.18	2.77	N/A	N/A	45,717	53,926	620,029	1,035,932
2011-05-23	$70.94	$75.00	26.0%	7.5%	21.2%	25.4%	26.4%	5.4%	-0.1%	-81.3M	1.64B	-16.5M	1.36	3.09	N/A	N/A	32,733	44,644	507,172	950,953
2011-05-24	$72.17	$75.00	24.5%	7.0%	22.1%	21.6%	25.2%	5.5%	0.2%	-68.5M	1.26B	-17.1M	1.65	2.61	N/A	N/A	11,872	19,607	530,668	979,109
2011-05-25	$72.07	$75.00	23.1%	6.6%	21.9%	16.7%	23.5%	4.9%	0.5%	-71.4M	1.31B	-16.8M	1.56	2.51	N/A	N/A	24,184	37,714	532,971	983,699
2011-05-26	$73.41	$75.00	21.9%	6.3%	23.0%	12.3%	23.0%	4.8%	0.9%	-50.0M	829.6M	-17.3M	1.14	2.81	N/A	N/A	25,922	29,539	549,465	1,004,780
2011-05-27	$74.34	$75.00	19.4%	6.2%	23.1%	3.5%	21.6%	4.4%	0.5%	-33.2M	424.2M	-17.4M	0.55	2.66	N/A	N/A	41,085	22,529	554,951	1,005,191
2011-05-31	$75.22	$75.00	26.4%	6.3%	23.3%	28.1%	23.9%	4.5%	0.1%	-19.2M	80.5M	-17.5M	2.95	2.55	N/A	N/A	21,427	63,203	572,536	1,042,110