EWZ Options History — November 2011

In November 2011, EWZ traded between $54.30 and $63.24. ATM implied volatility averaged 41.3%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 0.5% (HV 20d: 40.9%). Max pain ranged from $59.00 to $63.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.40.

Notable Days

2011-11-28: Highest Volume — 164,953 contracts
2011-11-09: Largest IV spike — 21.9% change
2011-11-01: Highest IV Rank — 45.8%
2011-11-25: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.56	$54.30	$63.24	$60.56	$59.02
Max Pain	$62.10	$59.00	$63.00	$59.00	$61.00
ATM IV	41.3%	36.1%	49.3%	49.3%	39.6%
Expected Move	11.3%	9.9%	13.1%	11.7%	10.1%
HV 20d	40.9%	33.3%	45.5%	45.5%	39.4%
HV 60d	41.5%	40.6%	43.3%	43.3%	43.0%
IV Rank	34.2%	26.5%	45.8%	45.8%	31.7%
IV Percentile	85.1%	77.0%	93.7%	93.7%	79.8%
Term Structure	-1.4%	-2.8%	-0.3%	-2.5%	-1.2%
VWIV	40.4%	34.7%	47.2%	44.6%	36.9%
Skew 25d	10.5%	6.9%	12.6%	11.9%	6.9%
Skew 10d	20.6%	13.1%	25.2%	24.3%	13.1%
Call IV 25d	34.9%	30.2%	41.2%	36.5%	32.8%
Put IV 25d	45.5%	39.7%	50.1%	48.3%	39.7%
Bid-Ask Spread %	5.16	3.78	7.16	5.04	6.52
Gamma HHI	0.08	0.06	0.25	0.07	0.09
Net GEX	-37.6M	-93.8M	-17.4M	-31.5M	-36.2M
Net DEX	2.72B	1.69B	3.85B	2.37B	3.09B
Net VEX	-15.8M	-18.0M	-12.2M	-17.2M	-13.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.40	0.55	2.89	1.49	0.91
Total Volume	59,908.619	27,358	164,953	61,797	93,542
Total OI	2,265,645.81	2,177,145	2,360,740	2,187,834	2,360,740

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
2011-11-01	$60.56	$59.00	49.3%	11.7%	45.5%	45.8%	44.6%	11.9%	-2.5%	-31.5M	2.37B	-17.2M	1.49	5.04	N/A	N/A	24,802	36,995	901,108	1,286,726
2011-11-02	$61.79	$59.00	44.6%	10.9%	45.3%	38.9%	38.5%	11.2%	-1.3%	-29.7M	2.06B	-17.6M	1.49	4.99	N/A	N/A	34,580	51,603	900,933	1,290,222
2011-11-03	$61.97	$59.00	37.9%	10.5%	42.8%	29.2%	37.5%	11.8%	-0.9%	-30.0M	2.11B	-17.7M	0.55	5.14	N/A	N/A	56,749	31,481	919,526	1,315,579
2011-11-04	$62.03	$63.00	37.7%	10.5%	42.2%	28.9%	36.4%	11.9%	-1.6%	-24.2M	2.04B	-18.0M	1.17	4.45	N/A	N/A	21,911	25,528	948,198	1,321,217
2011-11-07	$62.49	$63.00	40.7%	10.6%	40.5%	33.2%	37.9%	11.1%	-2.1%	-22.4M	1.90B	-18.0M	1.40	4.27	N/A	N/A	15,151	21,148	945,636	1,328,488
2011-11-08	$63.24	$63.00	36.1%	9.9%	40.5%	26.5%	34.7%	9.6%	-1.0%	-17.4M	1.69B	-17.9M	1.15	4.06	N/A	N/A	15,454	17,764	947,795	1,334,758
2011-11-09	$59.99	$63.00	44.0%	11.9%	44.5%	38.0%	42.1%	12.3%	-2.4%	-35.7M	2.62B	-17.1M	2.67	5.78	N/A	N/A	16,590	44,229	949,959	1,344,863
2011-11-10	$60.40	$63.00	40.2%	11.5%	44.4%	32.5%	41.4%	12.0%	-1.5%	-38.7M	2.56B	-17.0M	2.89	4.77	N/A	N/A	7,748	22,405	952,830	1,356,674
2011-11-11	$61.76	$63.00	36.9%	10.6%	44.7%	27.8%	38.5%	10.7%	-0.8%	-33.6M	2.17B	-17.4M	1.13	4.92	N/A	N/A	24,076	27,230	953,578	1,365,333
2011-11-14	$61.02	$63.00	38.8%	11.1%	42.2%	30.4%	40.0%	11.7%	-1.5%	-35.8M	2.38B	-16.7M	1.04	3.78	N/A	N/A	18,605	19,355	936,783	1,365,994
2011-11-15	$61.35	$63.00	38.2%	10.9%	41.3%	29.6%	38.6%	11.5%	-1.1%	-32.8M	2.28B	-16.7M	0.97	4.31	N/A	N/A	22,455	21,851	940,700	1,357,439
2011-11-16	$60.43	$63.00	40.6%	11.6%	41.5%	33.1%	42.9%	11.8%	-1.6%	-31.6M	2.50B	-16.3M	2.28	5.18	N/A	N/A	8,351	19,007	949,047	1,359,579
2011-11-17	$59.19	$63.00	43.4%	12.4%	41.6%	37.2%	42.7%	12.6%	-2.8%	-39.6M	2.87B	-15.7M	1.06	5.31	N/A	N/A	23,453	24,930	945,952	1,368,047
2011-11-18	$59.05	$63.00	39.8%	11.4%	41.0%	31.9%	42.3%	10.9%	-0.7%	-93.8M	2.97B	-15.2M	1.54	5.63	N/A	N/A	16,819	25,889	949,229	1,375,558
2011-11-21	$57.78	$63.00	41.3%	11.8%	39.2%	34.2%	41.8%	10.0%	-0.9%	-41.0M	3.21B	-14.4M	1.17	6.45	N/A	N/A	21,458	25,073	890,085	1,287,060
2011-11-22	$57.15	$62.00	40.6%	11.6%	38.7%	33.1%	40.4%	8.8%	-0.3%	-43.8M	3.38B	-13.9M	1.07	4.78	N/A	N/A	20,545	21,905	893,776	1,295,681
2011-11-23	$54.99	$62.00	43.2%	12.4%	40.3%	36.9%	43.8%	9.0%	-0.5%	-43.9M	3.74B	-12.8M	1.64	5.56	N/A	N/A	16,927	27,790	910,991	1,303,048
2011-11-25	$54.30	$62.00	47.3%	13.1%	33.3%	42.8%	47.2%	9.0%	-1.5%	-43.3M	3.85B	-12.2M	1.60	4.43	N/A	N/A	13,198	21,110	908,932	1,301,366
2011-11-28	$56.39	$62.00	44.6%	12.2%	35.6%	39.0%	40.4%	8.7%	-1.8%	-40.8M	3.46B	-12.8M	1.17	7.16	N/A	N/A	76,135	88,818	912,264	1,295,930
2011-11-29	$55.79	$62.00	43.7%	11.3%	34.2%	37.7%	40.0%	7.8%	-1.1%	-43.5M	3.82B	-12.5M	1.05	5.79	N/A	N/A	66,156	69,265	958,775	1,348,163
2011-11-30	$59.02	$61.00	39.6%	10.1%	39.4%	31.7%	36.9%	6.9%	-1.2%	-36.2M	3.09B	-13.9M	0.91	6.52	N/A	N/A	49,004	44,538	992,916	1,367,824