EWZ Options History — June 2011

In June 2011, EWZ traded between $69.57 and $74.90. ATM implied volatility averaged 25.7%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.6% (HV 20d: 21.1%). Max pain ranged from $73.00 to $80.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.54.

Notable Days

2011-06-21: Highest Volume — 179,069 contracts
2011-06-06: Largest IV spike — 32.3% change
2011-06-07: Highest IV Rank — 49.9%
2011-06-17: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.17	$69.57	$74.90	$73.65	$73.35
Max Pain	$78.91	$73.00	$80.00	$75.00	$80.00
ATM IV	25.7%	17.8%	31.6%	30.5%	17.8%
Expected Move	7.0%	5.7%	8.1%	7.0%	5.7%
HV 20d	21.1%	19.1%	23.4%	23.4%	19.6%
HV 60d	21.0%	20.6%	21.4%	21.3%	20.9%
IV Rank	28.1%	0.0%	49.9%	42.7%	0.0%
IV Percentile	41.0%	0.0%	82.1%	78.2%	0.0%
Term Structure	1.4%	-1.1%	2.7%	-1.1%	2.1%
VWIV	24.9%	20.9%	29.4%	25.3%	20.9%
Skew 25d	6.4%	4.3%	9.1%	4.3%	4.6%
Skew 10d	12.2%	8.1%	17.2%	8.1%	10.3%
Call IV 25d	22.1%	17.7%	25.1%	22.7%	17.7%
Put IV 25d	28.4%	22.2%	34.2%	27.0%	22.2%
Bid-Ask Spread %	3.98	2.29	5.14	2.29	3.72
Gamma HHI	0.12	0.06	0.64	0.09	0.06
Net GEX	-70.9M	-310.3M	19.7M	-45.8M	-11.7M
Net DEX	1.91B	217.0M	3.34B	735.5M	1.75B
Net VEX	-16.9M	-17.6M	-16.1M	-17.3M	-17.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	0.35	4.50	3.02	0.49
Total Volume	87,956.727	44,807	179,069	62,782	67,168
Total OI	1,705,929.318	1,425,171	2,035,539	1,620,089	1,661,085

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
2011-06-01	$73.65	$75.00	30.5%	7.0%	23.4%	42.7%	25.3%	4.3%	-1.1%	-45.8M	735.5M	-17.3M	3.02	2.29	N/A	N/A	15,622	47,160	573,871	1,046,218
2011-06-02	$74.65	$75.00	23.1%	6.6%	22.1%	16.6%	25.4%	4.8%	-0.1%	-34.4M	359.8M	-17.5M	4.50	2.62	N/A	N/A	17,413	78,415	574,822	1,056,565
2011-06-03	$74.90	$73.00	23.3%	6.7%	21.9%	17.5%	25.1%	6.3%	2.4%	19.7M	217.0M	-17.3M	1.30	4.53	N/A	N/A	23,504	30,661	583,897	1,078,121
2011-06-06	$73.09	$73.00	30.9%	7.4%	23.0%	44.1%	24.5%	7.1%	1.7%	-63.3M	1.01B	-17.0M	1.49	4.48	N/A	N/A	38,749	57,753	578,788	1,068,671
2011-06-07	$73.31	$80.00	31.6%	7.2%	23.0%	49.9%	22.4%	6.6%	1.7%	-67.2M	1.12B	-17.2M	1.23	5.14	N/A	N/A	36,854	45,459	606,369	1,105,295
2011-06-08	$73.01	$80.00	25.9%	7.1%	22.7%	28.6%	25.1%	7.2%	1.9%	-78.6M	1.48B	-17.2M	1.94	4.43	N/A	N/A	18,846	36,652	630,214	1,135,727
2011-06-09	$73.40	$80.00	24.1%	6.9%	20.8%	22.5%	24.4%	7.1%	2.3%	-78.1M	1.36B	-17.1M	1.11	3.87	N/A	N/A	30,902	34,363	634,112	1,150,228
2011-06-10	$72.17	$80.00	24.9%	7.1%	21.7%	25.5%	25.0%	7.2%	2.2%	-101.9M	2.02B	-16.8M	1.37	4.65	N/A	N/A	32,577	44,763	651,835	1,160,096
2011-06-13	$71.91	$80.00	25.1%	7.2%	20.3%	26.5%	23.7%	7.9%	2.0%	-107.5M	2.14B	-16.7M	0.53	3.87	N/A	N/A	79,483	41,908	653,695	1,174,057
2011-06-14	$72.68	$80.00	23.0%	6.6%	20.7%	18.2%	23.3%	6.8%	2.7%	-84.2M	1.97B	-16.7M	0.96	4.72	N/A	N/A	40,461	38,936	700,978	1,195,881
2011-06-15	$71.45	$80.00	25.6%	7.3%	20.7%	28.3%	25.7%	7.0%	2.0%	-126.6M	2.64B	-16.3M	1.48	3.95	N/A	N/A	67,022	99,030	696,364	1,211,112
2011-06-16	$70.57	$80.00	27.3%	7.8%	21.1%	34.8%	28.2%	8.8%	1.6%	-164.1M	3.34B	-16.2M	2.05	3.30	N/A	N/A	33,667	69,002	749,438	1,275,894
2011-06-17	$70.89	$80.00	28.2%	8.1%	20.9%	38.7%	29.4%	9.1%	0.7%	-310.3M	3.12B	-16.3M	1.53	4.19	N/A	N/A	45,382	69,617	758,630	1,276,909
2011-06-20	$71.25	$80.00	25.8%	7.4%	21.0%	29.1%	26.4%	8.2%	1.1%	-36.3M	2.20B	-16.1M	1.46	3.84	N/A	N/A	45,062	65,965	549,406	875,765
2011-06-21	$71.73	$80.00	24.2%	7.0%	20.5%	23.0%	23.1%	5.1%	0.9%	-33.8M	2.18B	-16.6M	0.35	4.21	N/A	N/A	133,033	46,036	586,247	913,380
2011-06-22	$70.75	$80.00	24.0%	6.9%	20.1%	22.0%	23.8%	5.3%	1.1%	-41.5M	2.49B	-16.6M	1.62	3.82	N/A	N/A	31,271	50,656	600,843	942,441
2011-06-23	$69.82	$80.00	25.3%	7.2%	20.6%	27.0%	25.4%	4.9%	0.8%	-49.7M	2.70B	-16.6M	1.26	4.25	N/A	N/A	36,516	45,880	614,756	956,330
2011-06-24	$69.57	$80.00	26.3%	7.4%	19.2%	31.0%	28.0%	5.6%	0.5%	-46.6M	2.77B	-16.7M	2.65	3.51	N/A	N/A	12,474	33,079	638,939	980,590
2011-06-27	$70.43	$80.00	28.1%	7.4%	19.1%	38.2%	25.0%	5.8%	0.3%	-46.7M	2.56B	-16.7M	0.81	3.95	N/A	N/A	24,707	20,100	630,233	976,125
2011-06-28	$72.27	$80.00	27.1%	6.5%	21.1%	34.0%	23.6%	4.9%	1.5%	-30.8M	2.08B	-17.5M	1.08	4.03	N/A	N/A	43,984	47,451	643,403	987,284
2011-06-29	$72.85	$80.00	23.6%	5.9%	20.1%	20.4%	23.7%	5.2%	1.7%	-20.4M	1.89B	-17.6M	1.58	4.25	N/A	N/A	22,261	35,204	652,368	993,463
2011-06-30	$73.35	$80.00	17.8%	5.7%	19.6%	0.0%	20.9%	4.6%	2.1%	-11.7M	1.75B	-17.6M	0.49	3.72	N/A	N/A	44,951	22,217	660,135	1,000,950