EWZ Options History — September 2011

In September 2011, EWZ traded between $52.01 and $65.91. ATM implied volatility averaged 44.9%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 6.2% (HV 20d: 38.6%). Max pain ranged from $60.00 to $68.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.32.

Notable Days

2011-09-22: Highest Volume — 168,769 contracts
2011-09-06: Largest IV spike — 41.9% change
2011-09-30: Highest IV Rank — 60.3%
2011-09-30: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.79	$52.01	$65.91	$65.91	$52.01
Max Pain	$62.00	$60.00	$68.00	$67.00	$60.00
ATM IV	44.9%	31.2%	59.3%	33.1%	59.3%
Expected Move	12.6%	9.5%	16.4%	9.5%	16.4%
HV 20d	38.6%	30.5%	53.3%	51.9%	40.8%
HV 60d	39.6%	36.9%	42.9%	36.9%	42.9%
IV Rank	39.3%	19.4%	60.3%	22.2%	60.3%
IV Percentile	95.0%	87.7%	98.8%	90.5%	98.8%
Term Structure	-1.8%	-4.8%	1.9%	0.1%	-3.4%
VWIV	45.2%	33.7%	58.9%	33.7%	55.2%
Skew 25d	13.2%	7.3%	18.1%	7.3%	17.5%
Skew 10d	25.5%	16.4%	32.8%	16.4%	31.4%
Call IV 25d	37.9%	29.5%	48.5%	30.2%	48.5%
Put IV 25d	51.1%	37.5%	66.1%	37.5%	66.1%
Bid-Ask Spread %	4.65	3.43	6.38	3.43	4.51
Gamma HHI	0.12	0.09	0.18	0.09	0.10
Net GEX	-52.6M	-79.3M	-32.7M	-32.7M	-44.7M
Net DEX	2.85B	1.49B	3.53B	1.49B	3.53B
Net VEX	-16.7M	-20.2M	-13.2M	-20.2M	-13.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.32	0.41	2.10	0.68	1.76
Total Volume	94,683.81	41,896	168,769	162,720	107,240
Total OI	2,013,438.667	1,717,532	2,256,969	2,038,509	2,028,897

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
2011-09-01	$65.91	$67.00	33.1%	9.5%	51.9%	22.2%	33.7%	7.3%	0.1%	-32.7M	1.49B	-20.2M	0.68	3.43	N/A	N/A	96,751	65,969	806,526	1,231,983
2011-09-02	$63.86	$68.00	31.2%	9.5%	53.3%	19.4%	37.2%	9.5%	1.8%	-43.8M	2.17B	-19.8M	1.95	3.77	N/A	N/A	39,684	77,568	847,118	1,261,660
2011-09-06	$62.93	$63.00	44.2%	11.3%	39.4%	38.4%	41.0%	13.2%	-1.7%	-58.3M	2.52B	-18.9M	1.30	5.30	N/A	N/A	27,142	35,212	833,255	1,283,177
2011-09-07	$64.51	$63.00	34.7%	10.2%	37.4%	24.6%	38.8%	11.7%	-0.6%	-42.0M	1.96B	-19.8M	1.62	4.46	N/A	N/A	15,998	25,898	851,634	1,278,648
2011-09-08	$63.72	$63.00	36.8%	10.7%	35.8%	27.6%	39.3%	12.1%	-0.9%	-52.6M	2.24B	-19.3M	1.69	4.54	N/A	N/A	22,149	37,519	854,881	1,290,268
2011-09-09	$60.97	$63.00	49.8%	12.8%	36.2%	46.5%	45.8%	13.4%	-4.2%	-73.1M	2.98B	-18.2M	1.43	5.18	N/A	N/A	35,816	51,268	863,009	1,294,925
2011-09-12	$59.99	$62.00	51.5%	13.0%	36.3%	48.9%	45.9%	13.2%	-3.9%	-70.2M	3.22B	-17.3M	1.57	4.81	N/A	N/A	44,791	70,389	858,815	1,293,374
2011-09-13	$59.86	$62.00	44.4%	12.3%	34.6%	38.6%	42.6%	13.4%	-2.4%	-70.7M	3.24B	-17.0M	1.22	4.88	N/A	N/A	44,297	53,973	873,015	1,294,128
2011-09-14	$60.37	$62.00	43.4%	12.2%	34.8%	37.1%	43.8%	13.0%	-2.0%	-76.1M	3.12B	-17.5M	1.25	5.07	N/A	N/A	38,412	47,906	890,256	1,312,525
2011-09-15	$60.92	$62.00	38.8%	11.1%	34.1%	30.4%	41.1%	11.8%	-0.4%	-79.3M	2.99B	-17.5M	1.33	4.74	N/A	N/A	36,038	47,892	899,216	1,322,103
2011-09-16	$60.95	$62.00	33.9%	9.7%	30.5%	23.4%	36.3%	10.5%	1.9%	-64.2M	2.98B	-17.2M	1.39	4.12	N/A	N/A	59,852	83,312	922,170	1,334,799
2011-09-19	$59.44	$62.00	38.7%	11.1%	31.4%	30.4%	36.9%	11.2%	-0.6%	-46.5M	2.50B	-16.8M	0.41	4.19	N/A	N/A	44,863	18,456	646,156	1,071,376
2011-09-20	$58.77	$62.00	38.5%	11.0%	31.6%	30.1%	36.9%	11.6%	-0.3%	-47.7M	2.62B	-16.4M	1.05	4.01	N/A	N/A	34,765	36,432	660,028	1,088,915
2011-09-21	$56.20	$61.00	45.8%	13.1%	33.9%	40.6%	42.8%	12.6%	-2.4%	-48.1M	2.98B	-15.0M	0.66	5.31	N/A	N/A	54,054	35,480	675,759	1,089,374
2011-09-22	$52.39	$60.00	56.5%	16.2%	41.1%	56.2%	56.3%	14.7%	-3.7%	-40.6M	3.39B	-13.2M	1.58	4.27	N/A	N/A	65,534	103,235	704,168	1,103,862
2011-09-23	$53.60	$60.00	54.1%	15.5%	42.5%	52.7%	53.2%	15.4%	-2.9%	-41.0M	3.23B	-14.3M	0.70	3.86	N/A	N/A	66,507	46,546	719,047	1,133,128
2011-09-26	$54.49	$60.00	52.4%	15.0%	42.7%	50.2%	56.9%	15.4%	-2.5%	-41.0M	3.09B	-14.8M	1.00	4.44	N/A	N/A	36,861	36,745	741,903	1,131,831
2011-09-27	$55.60	$60.00	47.5%	13.6%	41.6%	43.1%	49.8%	14.6%	-1.7%	-41.4M	2.94B	-15.2M	2.10	6.38	N/A	N/A	16,360	34,438	753,434	1,144,765
2011-09-28	$54.17	$60.00	55.0%	15.8%	41.5%	54.0%	58.9%	17.2%	-4.8%	-43.1M	3.24B	-14.1M	2.02	5.30	N/A	N/A	32,465	65,607	758,661	1,166,434
2011-09-29	$54.03	$60.00	52.5%	15.1%	40.1%	50.4%	56.3%	18.1%	-3.7%	-47.2M	3.32B	-14.0M	1.04	5.05	N/A	N/A	46,428	48,508	771,501	1,195,488
2011-09-30	$52.01	$60.00	59.3%	16.4%	40.8%	60.3%	55.2%	17.5%	-3.4%	-44.7M	3.53B	-13.6M	1.76	4.51	N/A	N/A	38,875	68,365	807,230	1,221,667