EWZ Options History — May 2012

In May 2012, EWZ traded between $51.12 and $60.60. ATM implied volatility averaged 32.0%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 10.8% (HV 20d: 21.2%). Max pain ranged from $59.00 to $64.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.24.

Notable Days

2012-05-23: Highest Volume — 200,592 contracts
2012-05-31: Largest IV drop — 20.8% change
2012-05-30: Highest IV Rank — 38.9%
2012-05-18: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.75	$51.12	$60.60	$60.60	$52.04
Max Pain	$61.45	$59.00	$64.00	$62.00	$59.00
ATM IV	32.0%	22.0%	44.5%	24.5%	35.3%
Expected Move	8.8%	6.1%	10.7%	6.1%	9.5%
HV 20d	21.2%	15.6%	27.2%	18.4%	27.2%
HV 60d	21.5%	20.1%	23.0%	20.3%	22.1%
IV Rank	20.7%	6.2%	38.9%	9.8%	25.4%
IV Percentile	54.4%	3.6%	90.5%	23.0%	65.1%
Term Structure	-0.7%	-2.8%	1.7%	1.7%	-0.9%
VWIV	31.1%	21.5%	38.1%	21.8%	34.4%
Skew 25d	8.7%	4.4%	12.2%	4.4%	8.8%
Skew 10d	17.9%	7.5%	25.8%	7.5%	17.2%
Call IV 25d	27.2%	19.4%	32.8%	20.2%	29.7%
Put IV 25d	35.9%	24.0%	44.3%	24.6%	38.5%
Bid-Ask Spread %	3.34	2.14	4.22	4.06	2.14
Gamma HHI	0.11	0.10	0.14	0.11	0.11
Net GEX	-69.7M	-89.2M	-53.9M	-66.1M	-56.4M
Net DEX	3.10B	1.63B	4.03B	1.63B	3.43B
Net VEX	-15.6M	-18.1M	-13.4M	-17.9M	-15.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.59	4.20	0.85	0.59
Total Volume	94,428.636	36,459	200,592	40,141	100,682
Total OI	2,029,497.545	1,703,514	2,323,419	1,703,514	2,323,419

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
2012-05-01	$60.60	$62.00	24.5%	6.1%	18.4%	9.8%	21.8%	4.4%	1.7%	-66.1M	1.63B	-17.9M	0.85	4.06	N/A	N/A	21,688	18,453	686,117	1,017,397
2012-05-02	$60.31	$62.00	25.4%	6.2%	18.2%	11.0%	21.5%	4.6%	1.3%	-69.4M	1.73B	-17.6M	2.00	4.13	N/A	N/A	41,731	83,672	700,416	1,026,972
2012-05-03	$60.03	$62.00	22.0%	6.2%	17.4%	6.2%	22.4%	4.5%	1.5%	-78.5M	1.93B	-18.1M	4.20	3.52	N/A	N/A	11,993	50,375	725,347	1,085,165
2012-05-04	$58.59	$64.00	23.6%	7.1%	18.9%	8.4%	27.9%	7.5%	1.3%	-89.0M	2.47B	-17.8M	2.24	4.19	N/A	N/A	21,039	47,038	730,584	1,112,478
2012-05-07	$58.85	$64.00	25.7%	7.2%	19.1%	11.5%	26.0%	7.3%	1.5%	-84.1M	2.34B	-17.6M	1.32	3.96	N/A	N/A	15,688	20,771	737,005	1,112,163
2012-05-08	$57.63	$64.00	30.1%	7.4%	19.3%	17.9%	28.0%	8.0%	1.6%	-89.2M	2.68B	-16.7M	1.28	3.23	N/A	N/A	28,553	36,419	740,291	1,110,892
2012-05-09	$56.75	$63.00	27.6%	7.8%	19.7%	14.2%	28.2%	7.7%	0.6%	-85.9M	2.90B	-16.2M	0.60	4.06	N/A	N/A	44,713	27,051	752,329	1,122,349
2012-05-10	$57.10	$63.00	27.4%	7.9%	16.2%	14.0%	27.6%	7.9%	0.1%	-82.5M	2.80B	-16.5M	0.97	3.33	N/A	N/A	40,372	39,122	779,141	1,127,474
2012-05-11	$56.53	$63.00	27.8%	8.0%	15.6%	14.6%	26.8%	7.9%	0.0%	-84.9M	2.95B	-16.2M	0.60	3.27	N/A	N/A	54,673	32,876	806,373	1,144,367
2012-05-14	$54.25	$62.00	32.9%	9.4%	20.2%	21.9%	32.1%	8.4%	-1.9%	-73.6M	3.43B	-14.8M	1.42	2.92	N/A	N/A	56,499	80,234	834,385	1,152,711
2012-05-15	$53.20	$61.00	34.0%	9.8%	20.4%	23.6%	33.2%	9.8%	-2.0%	-71.8M	3.68B	-14.4M	1.42	4.14	N/A	N/A	43,789	62,174	859,078	1,190,008
2012-05-16	$53.10	$61.00	34.3%	9.8%	20.5%	24.0%	35.4%	10.3%	-1.8%	-70.7M	3.64B	-14.4M	1.31	2.63	N/A	N/A	52,166	68,542	879,810	1,191,483
2012-05-17	$51.56	$61.00	37.0%	10.6%	21.9%	27.9%	38.1%	11.5%	-2.2%	-65.2M	3.95B	-13.9M	1.86	4.20	N/A	N/A	42,875	79,829	914,988	1,229,290
2012-05-18	$51.54	$61.00	37.3%	10.7%	21.1%	28.3%	34.7%	11.5%	-2.8%	-62.9M	4.03B	-14.1M	0.76	2.91	N/A	N/A	76,476	58,232	944,744	1,264,971
2012-05-21	$52.61	$60.00	32.6%	9.4%	23.1%	21.6%	34.3%	12.2%	-1.1%	-57.3M	3.44B	-14.3M	0.74	2.74	N/A	N/A	35,950	26,497	884,105	1,185,677
2012-05-22	$51.15	$60.00	36.6%	10.5%	23.7%	27.3%	35.7%	11.9%	-2.5%	-56.0M	3.66B	-13.4M	1.23	4.22	N/A	N/A	48,382	59,295	893,503	1,187,082
2012-05-23	$51.22	$60.00	36.3%	10.4%	24.0%	26.9%	36.3%	12.2%	-2.7%	-61.6M	3.69B	-13.4M	1.06	2.76	N/A	N/A	97,571	103,021	906,669	1,207,824
2012-05-24	$51.12	$60.00	36.4%	10.4%	23.6%	27.1%	35.5%	8.9%	-2.3%	-53.9M	3.63B	-14.3M	0.76	2.48	N/A	N/A	78,763	59,664	962,759	1,267,928
2012-05-25	$52.14	$60.00	33.4%	9.9%	25.6%	22.7%	36.0%	9.0%	-1.9%	-58.5M	3.35B	-15.2M	0.87	2.77	N/A	N/A	48,349	42,182	987,544	1,286,229
2012-05-29	$52.66	$60.00	39.6%	9.4%	26.4%	31.7%	33.5%	8.6%	-1.2%	-58.2M	3.25B	-15.6M	0.65	3.44	N/A	N/A	34,826	22,782	987,443	1,293,485
2012-05-30	$51.54	$60.00	44.5%	10.1%	26.4%	38.9%	34.0%	9.3%	-1.6%	-58.0M	3.57B	-14.7M	0.64	2.39	N/A	N/A	37,988	24,435	996,919	1,300,032
2012-05-31	$52.04	$59.00	35.3%	9.5%	27.2%	25.4%	34.4%	8.8%	-0.9%	-56.4M	3.43B	-15.1M	0.59	2.14	N/A	N/A	63,263	37,419	1,016,587	1,306,832