EWZ Options History — October 2011

In October 2011, EWZ traded between $50.89 and $64.51. ATM implied volatility averaged 42.2%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 2.1% (HV 20d: 44.2%). Max pain ranged from $53.00 to $60.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.43.

Notable Days

2011-10-24: Highest Volume — 170,450 contracts
2011-10-31: Largest IV spike — 47.6% change
2011-10-03: Highest IV Rank — 79.5%
2011-10-03: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.36	$50.89	$64.51	$50.89	$62.37
Max Pain	$56.48	$53.00	$60.00	$59.00	$59.00
ATM IV	42.2%	28.1%	72.5%	72.5%	41.5%
Expected Move	11.7%	8.2%	17.4%	17.4%	10.3%
HV 20d	44.2%	40.2%	50.1%	40.3%	43.3%
HV 60d	45.7%	42.6%	48.8%	42.9%	47.4%
IV Rank	35.4%	15.0%	79.5%	79.5%	34.4%
IV Percentile	86.2%	61.9%	99.6%	99.6%	87.7%
Term Structure	-0.5%	-4.7%	1.0%	-4.7%	-0.6%
VWIV	42.1%	32.5%	57.6%	56.2%	37.7%
Skew 25d	12.2%	7.5%	16.6%	16.6%	8.7%
Skew 10d	24.5%	17.8%	30.9%	30.9%	18.8%
Call IV 25d	35.2%	26.2%	52.9%	52.9%	31.9%
Put IV 25d	47.4%	33.7%	69.5%	69.5%	40.7%
Bid-Ask Spread %	4.42	3.82	5.71	4.20	4.55
Gamma HHI	0.09	0.07	0.11	0.10	0.07
Net GEX	-38.8M	-51.8M	-23.7M	-43.8M	-28.0M
Net DEX	2.60B	1.23B	3.70B	3.65B	1.85B
Net VEX	-15.2M	-18.2M	-12.5M	-13.1M	-17.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.43	0.72	3.60	1.07	2.10
Total Volume	77,990	36,262	170,450	62,338	56,872
Total OI	2,127,040.476	1,893,523	2,235,188	2,065,992	2,164,517

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
2011-10-03	$50.89	$59.00	72.5%	17.4%	40.3%	79.5%	56.2%	16.6%	-4.7%	-43.8M	3.65B	-13.1M	1.07	4.20	N/A	N/A	30,177	32,161	821,056	1,244,936
2011-10-04	$50.97	$60.00	62.8%	15.9%	40.6%	65.3%	57.6%	13.2%	-1.4%	-46.4M	3.70B	-12.5M	1.77	5.58	N/A	N/A	34,505	61,121	817,268	1,232,985
2011-10-05	$52.19	$60.00	52.6%	13.8%	40.4%	50.6%	46.5%	11.6%	0.1%	-51.8M	3.60B	-13.2M	0.72	4.17	N/A	N/A	47,650	34,206	831,995	1,262,260
2011-10-06	$54.80	$59.00	44.0%	12.7%	45.6%	38.1%	45.8%	10.9%	-0.4%	-47.5M	3.08B	-14.7M	1.02	4.42	N/A	N/A	40,467	41,423	862,941	1,254,992
2011-10-07	$54.04	$54.00	45.3%	13.2%	43.6%	39.9%	44.1%	15.6%	-0.9%	-44.5M	3.20B	-14.4M	1.35	4.04	N/A	N/A	22,387	30,238	874,948	1,261,036
2011-10-10	$56.15	$53.00	43.7%	12.0%	46.1%	37.6%	42.8%	13.8%	-0.4%	-46.9M	2.84B	-15.1M	1.33	3.96	N/A	N/A	15,580	20,682	870,814	1,256,948
2011-10-11	$56.72	$54.00	42.3%	11.5%	46.4%	35.5%	43.3%	13.2%	-0.1%	-44.0M	2.67B	-15.5M	0.80	3.96	N/A	N/A	28,373	22,708	878,260	1,265,946
2011-10-12	$58.32	$54.00	38.9%	11.0%	47.5%	30.6%	39.7%	11.8%	-0.1%	-37.6M	2.27B	-16.1M	1.12	4.80	N/A	N/A	32,657	36,533	890,978	1,271,934
2011-10-13	$57.79	$54.00	36.9%	10.6%	47.4%	27.7%	37.5%	12.0%	0.4%	-39.7M	2.46B	-15.5M	3.60	3.90	N/A	N/A	18,972	68,281	894,873	1,276,628
2011-10-14	$58.79	$55.00	35.2%	10.1%	47.9%	25.3%	38.8%	11.2%	0.8%	-40.6M	2.18B	-15.9M	1.41	3.82	N/A	N/A	27,996	39,476	896,729	1,296,243
2011-10-17	$56.48	$55.00	42.4%	12.1%	49.1%	35.7%	41.1%	12.8%	-1.3%	-44.7M	2.79B	-14.7M	2.15	3.90	N/A	N/A	16,568	35,616	900,715	1,274,123
2011-10-18	$58.00	$55.00	37.9%	10.9%	50.1%	29.1%	36.4%	11.6%	-0.4%	-42.7M	2.47B	-15.1M	0.79	4.68	N/A	N/A	24,472	19,363	901,144	1,283,441
2011-10-19	$57.38	$56.00	40.3%	11.5%	47.5%	32.6%	42.1%	12.5%	-0.9%	-41.3M	2.61B	-14.8M	1.86	3.95	N/A	N/A	16,765	31,212	911,868	1,282,206
2011-10-20	$56.29	$56.00	42.0%	12.0%	40.2%	35.2%	45.0%	13.1%	-0.4%	-46.2M	2.87B	-14.4M	1.27	4.22	N/A	N/A	29,736	37,890	916,385	1,293,871
2011-10-21	$57.55	$55.00	38.2%	10.9%	40.2%	29.6%	42.4%	12.8%	0.4%	-33.0M	2.56B	-14.7M	1.41	3.92	N/A	N/A	29,465	41,681	933,514	1,301,674
2011-10-24	$59.86	$56.00	33.9%	9.7%	42.0%	23.4%	38.8%	12.1%	0.2%	-29.4M	2.05B	-15.5M	1.15	3.90	N/A	N/A	79,232	91,218	769,720	1,123,803
2011-10-25	$58.67	$57.00	39.0%	11.2%	42.4%	30.8%	41.2%	13.7%	-1.1%	-29.5M	2.49B	-15.5M	1.36	5.57	N/A	N/A	39,327	53,480	824,493	1,183,792
2011-10-26	$59.64	$58.00	36.2%	10.4%	41.3%	26.8%	38.2%	13.0%	-0.7%	-29.0M	2.31B	-16.1M	1.36	3.90	N/A	N/A	54,033	73,557	845,583	1,202,538
2011-10-27	$63.14	$58.00	32.1%	9.2%	45.1%	20.8%	35.9%	9.3%	0.6%	-24.2M	1.62B	-17.5M	0.95	5.71	N/A	N/A	86,719	82,060	870,246	1,248,933
2011-10-28	$64.51	$59.00	28.1%	8.2%	41.9%	15.0%	32.5%	7.5%	1.0%	-23.7M	1.23B	-18.2M	1.33	5.66	N/A	N/A	22,687	30,244	898,635	1,272,879
2011-10-31	$62.37	$59.00	41.5%	10.3%	43.3%	34.4%	37.7%	8.7%	-0.6%	-28.0M	1.85B	-17.5M	2.10	4.55	N/A	N/A	18,330	38,542	892,564	1,271,953