EWZ Options History — December 2011

In December 2011, EWZ traded between $55.69 and $61.48. ATM implied volatility averaged 33.9%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 4.0% (HV 20d: 37.9%). Max pain ranged from $62.00 to $75.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.07.

Notable Days

2011-12-13: Highest Volume — 250,999 contracts
2011-12-09: Largest IV drop — 14.7% change
2011-12-08: Highest IV Rank — 33.0%
2011-12-08: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.34	$55.69	$61.48	$59.88	$57.39
Max Pain	$73.76	$62.00	$75.00	$62.00	$75.00
ATM IV	33.9%	26.9%	40.5%	35.7%	26.9%
Expected Move	9.6%	8.3%	10.7%	10.1%	9.1%
HV 20d	37.9%	29.7%	40.6%	39.0%	29.7%
HV 60d	41.1%	38.7%	43.4%	42.8%	38.7%
IV Rank	23.4%	13.3%	33.0%	26.0%	13.3%
IV Percentile	66.0%	49.2%	81.3%	70.6%	49.2%
Term Structure	1.6%	-2.2%	3.9%	-1.0%	1.3%
VWIV	34.3%	29.6%	39.3%	37.4%	32.8%
Skew 25d	8.0%	5.3%	11.1%	6.2%	5.8%
Skew 10d	15.7%	11.0%	22.3%	12.9%	11.2%
Call IV 25d	30.2%	26.0%	33.4%	33.3%	29.0%
Put IV 25d	38.2%	31.9%	44.2%	39.5%	34.8%
Bid-Ask Spread %	4.81	3.78	6.20	6.18	4.37
Gamma HHI	0.13	0.08	0.57	0.09	0.12
Net GEX	-37.3M	-185.2M	-17.8M	-32.5M	-23.7M
Net DEX	3.47B	2.37B	4.61B	2.87B	3.70B
Net VEX	-12.6M	-14.9M	-10.8M	-14.5M	-11.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.34	1.94	0.79	1.94
Total Volume	61,394.19	9,679	250,999	60,960	9,679
Total OI	2,379,130.381	2,092,914	2,721,232	2,397,815	2,226,715

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
2011-12-01	$59.88	$62.00	35.7%	10.1%	39.0%	26.0%	37.4%	6.2%	-1.0%	-32.5M	2.87B	-14.5M	0.79	6.18	N/A	N/A	34,109	26,851	1,016,137	1,381,678
2011-12-02	$60.01	$62.00	33.7%	10.2%	39.0%	23.1%	36.4%	6.8%	-2.2%	-47.7M	2.82B	-14.6M	0.66	6.20	N/A	N/A	41,082	27,217	1,029,141	1,393,653
2011-12-05	$61.48	$75.00	38.0%	9.9%	40.1%	29.4%	34.4%	10.8%	0.8%	-20.1M	2.37B	-14.7M	0.79	4.59	N/A	N/A	31,088	24,459	1,048,609	1,387,702
2011-12-06	$61.36	$75.00	40.3%	10.0%	40.0%	32.7%	35.9%	11.1%	1.0%	-19.0M	2.37B	-14.9M	0.53	4.09	N/A	N/A	19,851	10,610	1,064,044	1,394,768
2011-12-07	$61.12	$75.00	37.6%	10.2%	39.7%	28.7%	34.1%	10.5%	0.9%	-17.8M	2.45B	-14.6M	1.53	4.30	N/A	N/A	19,124	29,167	1,072,203	1,397,872
2011-12-08	$58.86	$75.00	40.5%	10.7%	37.4%	33.0%	39.3%	11.1%	0.9%	-34.8M	3.23B	-13.8M	1.91	4.40	N/A	N/A	20,998	40,154	1,075,916	1,413,936
2011-12-09	$60.30	$75.00	34.5%	9.9%	38.4%	24.3%	35.7%	10.0%	1.7%	-29.4M	2.79B	-13.7M	1.25	4.48	N/A	N/A	22,757	28,535	1,075,202	1,413,437
2011-12-12	$58.48	$75.00	38.2%	10.5%	38.9%	29.7%	38.5%	9.3%	1.7%	-39.9M	3.38B	-12.8M	0.99	4.54	N/A	N/A	17,323	17,137	1,061,711	1,412,616
2011-12-13	$57.65	$75.00	35.6%	10.0%	39.0%	25.9%	37.1%	9.6%	2.2%	-42.6M	3.68B	-12.0M	1.05	5.03	N/A	N/A	122,618	128,381	1,067,104	1,409,852
2011-12-14	$56.55	$75.00	35.0%	10.1%	39.2%	24.9%	35.7%	10.1%	2.0%	-48.9M	4.61B	-11.3M	1.61	4.63	N/A	N/A	32,082	51,739	1,173,329	1,520,907
2011-12-15	$56.59	$75.00	33.2%	9.5%	39.1%	22.4%	37.7%	9.1%	3.6%	-48.3M	4.59B	-11.3M	1.47	4.32	N/A	N/A	21,153	31,155	1,178,522	1,523,236
2011-12-16	$56.94	$75.00	32.8%	9.4%	38.6%	21.7%	35.1%	9.3%	3.9%	-185.2M	4.53B	-11.5M	1.63	3.96	N/A	N/A	19,605	31,971	1,183,262	1,537,970
2011-12-19	$55.69	$75.00	34.9%	10.0%	39.3%	24.9%	34.2%	7.1%	1.5%	-32.9M	3.96B	-10.8M	0.49	5.69	N/A	N/A	86,593	42,821	899,382	1,193,532
2011-12-20	$57.54	$75.00	32.4%	9.3%	40.6%	21.2%	32.0%	6.0%	1.2%	-25.5M	3.69B	-12.0M	0.56	5.51	N/A	N/A	34,103	19,223	942,904	1,224,150
2011-12-21	$57.38	$75.00	31.9%	9.1%	40.4%	20.4%	30.8%	5.9%	2.1%	-22.5M	3.67B	-11.8M	0.34	4.87	N/A	N/A	62,736	21,309	958,683	1,220,207
2011-12-22	$57.98	$75.00	29.9%	8.6%	37.8%	17.6%	30.9%	6.2%	2.5%	-18.9M	3.54B	-12.1M	1.39	5.70	N/A	N/A	29,858	41,524	973,584	1,227,730
2011-12-23	$58.33	$75.00	28.8%	8.3%	37.4%	16.1%	29.6%	5.9%	2.5%	-21.7M	3.48B	-12.6M	0.70	4.36	N/A	N/A	7,368	5,141	985,933	1,243,954
2011-12-27	$58.12	$75.00	29.3%	8.4%	35.2%	16.7%	30.0%	5.9%	2.5%	-21.5M	3.56B	-12.0M	1.23	4.87	N/A	N/A	16,617	20,452	972,931	1,235,644
2011-12-28	$56.55	$75.00	31.8%	9.1%	36.4%	20.3%	31.8%	6.4%	1.8%	-24.8M	3.82B	-11.3M	1.00	3.78	N/A	N/A	8,230	8,191	975,627	1,231,307
2011-12-29	$56.92	$75.00	30.3%	8.7%	30.1%	18.2%	30.7%	5.3%	2.1%	-25.1M	3.80B	-11.4M	0.54	5.15	N/A	N/A	17,048	9,219	977,318	1,239,330
2011-12-30	$57.39	$75.00	26.9%	9.1%	29.7%	13.3%	32.8%	5.8%	1.3%	-23.7M	3.70B	-11.6M	1.94	4.37	N/A	N/A	3,289	6,390	981,659	1,245,056