EWZ Options History — March 2012

In March 2012, EWZ traded between $64.66 and $70.42. ATM implied volatility averaged 24.3%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.2% (HV 20d: 23.1%). Max pain ranged from $65.00 to $69.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.62.

Notable Days

2012-03-22: Highest Volume — 102,765 contracts
2012-03-06: Largest IV spike — 30.7% change
2012-03-06: Highest IV Rank — 22.5%
2012-03-06: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.08	$64.66	$70.42	$70.42	$64.66
Max Pain	$67.32	$65.00	$69.00	$65.00	$67.00
ATM IV	24.3%	21.9%	33.3%	22.8%	23.6%
Expected Move	7.0%	6.4%	8.1%	6.8%	6.6%
HV 20d	23.1%	18.4%	24.8%	18.5%	23.1%
HV 60d	23.7%	21.9%	26.3%	25.2%	21.9%
IV Rank	9.4%	6.0%	22.5%	7.3%	8.5%
IV Percentile	22.6%	9.5%	63.5%	12.3%	19.0%
Term Structure	1.2%	0.2%	2.4%	1.0%	1.3%
VWIV	25.0%	22.6%	28.6%	24.4%	23.9%
Skew 25d	5.2%	2.8%	6.9%	3.0%	4.3%
Skew 10d	10.9%	5.1%	14.1%	6.3%	9.5%
Call IV 25d	22.4%	20.6%	25.3%	22.6%	21.7%
Put IV 25d	27.5%	24.5%	32.2%	25.6%	26.0%
Bid-Ask Spread %	5.22	3.65	7.97	4.95	7.08
Gamma HHI	0.07	0.06	0.09	0.08	0.09
Net GEX	-10.4M	-43.3M	36.0M	30.4M	-43.3M
Net DEX	-143.2M	-1.29B	800.4M	-1.29B	800.4M
Net VEX	-17.8M	-18.7M	-17.2M	-17.2M	-18.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.62	0.44	5.97	1.20	0.73
Total Volume	53,120.409	22,799	102,765	58,322	22,799
Total OI	1,463,957.409	1,145,935	1,721,058	1,532,469	1,374,754

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
2012-03-01	$70.42	$65.00	22.8%	6.8%	18.5%	7.3%	24.4%	3.0%	1.0%	30.4M	-1.29B	-17.2M	1.20	4.95	N/A	N/A	26,517	31,805	617,655	914,814
2012-03-02	$70.30	$65.00	21.9%	6.5%	18.4%	6.0%	23.5%	2.8%	1.9%	36.0M	-1.25B	-17.7M	1.07	4.84	N/A	N/A	28,158	30,154	635,943	932,444
2012-03-05	$68.99	$69.00	25.5%	7.4%	19.7%	11.1%	25.6%	5.8%	1.2%	19.6M	-832.9M	-17.7M	0.81	3.71	N/A	N/A	20,436	16,478	648,403	928,891
2012-03-06	$66.61	$69.00	33.3%	8.1%	23.4%	22.5%	28.6%	6.9%	0.9%	-22.3M	-57.7M	-17.8M	1.48	3.65	N/A	N/A	31,902	47,269	652,808	930,821
2012-03-07	$67.08	$69.00	26.2%	7.9%	23.2%	12.1%	26.4%	6.0%	0.5%	-17.5M	-200.9M	-17.8M	0.55	3.89	N/A	N/A	42,499	23,479	658,262	947,485
2012-03-08	$68.02	$68.00	23.6%	7.4%	23.8%	8.4%	27.5%	5.8%	1.3%	6.0M	-615.4M	-17.8M	1.08	4.22	N/A	N/A	20,690	22,446	677,912	953,923
2012-03-09	$67.26	$68.00	23.0%	7.6%	24.1%	7.5%	27.4%	6.0%	1.1%	-13.3M	-309.5M	-17.7M	1.81	4.07	N/A	N/A	10,527	19,006	683,109	959,244
2012-03-12	$66.27	$68.00	25.9%	7.6%	23.5%	11.8%	26.7%	6.0%	1.0%	-35.7M	102.2M	-17.4M	2.06	4.53	N/A	N/A	22,420	46,210	683,848	963,077
2012-03-13	$68.16	$68.00	25.1%	7.2%	24.6%	10.6%	24.6%	5.5%	0.8%	9.1M	-682.3M	-17.4M	0.44	5.04	N/A	N/A	53,339	23,262	689,982	962,146
2012-03-14	$67.82	$67.00	25.1%	7.6%	24.1%	10.6%	26.5%	6.1%	0.2%	6.5M	-606.2M	-17.6M	0.72	4.03	N/A	N/A	33,550	24,219	717,503	963,621
2012-03-15	$67.66	$67.00	24.4%	7.0%	24.0%	9.6%	23.9%	5.7%	2.3%	3.4M	-586.2M	-17.7M	1.39	4.82	N/A	N/A	27,547	38,380	725,965	971,891
2012-03-16	$67.56	$67.00	23.2%	6.7%	23.1%	7.9%	24.3%	5.7%	2.4%	-13.8M	-502.8M	-17.6M	1.47	4.93	N/A	N/A	14,205	20,880	731,804	989,254
2012-03-19	$67.49	$67.00	23.6%	6.8%	23.1%	8.5%	22.9%	5.7%	1.2%	-4.3M	-28.4M	-17.4M	1.00	4.20	N/A	N/A	19,473	19,449	486,168	659,767
2012-03-20	$66.57	$68.00	23.8%	6.8%	23.5%	8.7%	24.0%	5.7%	1.2%	-9.9M	158.5M	-17.2M	0.46	7.00	N/A	N/A	33,733	15,367	498,942	667,010
2012-03-21	$66.56	$67.00	22.2%	6.4%	23.5%	6.4%	23.6%	4.8%	1.5%	-10.4M	100.6M	-17.7M	3.60	7.97	N/A	N/A	7,136	25,690	522,186	675,707
2012-03-22	$65.41	$67.00	24.2%	6.9%	24.1%	9.4%	24.4%	5.0%	0.8%	-22.8M	367.9M	-17.5M	3.20	7.70	N/A	N/A	24,463	78,302	520,338	686,823
2012-03-23	$65.81	$67.00	23.1%	6.6%	24.0%	7.7%	27.6%	5.1%	1.1%	-26.7M	416.7M	-18.7M	5.97	5.78	N/A	N/A	6,787	40,501	533,086	754,996
2012-03-26	$66.91	$67.00	22.7%	6.5%	24.8%	7.2%	22.6%	4.5%	0.9%	-17.9M	166.0M	-18.1M	1.27	6.18	N/A	N/A	18,240	23,160	524,350	757,237
2012-03-27	$66.36	$67.00	23.7%	6.8%	23.6%	8.6%	24.3%	4.3%	1.1%	-21.3M	283.2M	-18.4M	2.33	6.76	N/A	N/A	17,364	40,373	530,475	773,616
2012-03-28	$64.92	$67.00	24.2%	6.9%	24.3%	9.3%	24.1%	4.5%	0.9%	-38.6M	684.0M	-18.6M	2.00	4.64	N/A	N/A	15,163	30,252	538,453	802,816
2012-03-29	$64.88	$67.00	23.3%	6.7%	23.1%	8.1%	24.4%	4.6%	1.0%	-42.1M	739.8M	-18.6M	0.91	4.89	N/A	N/A	28,842	26,177	538,654	820,880
2012-03-30	$64.66	$67.00	23.6%	6.6%	23.1%	8.5%	23.9%	4.3%	1.3%	-43.3M	800.4M	-18.7M	0.73	7.08	N/A	N/A	13,195	9,604	543,951	830,803