EWZ Options History — June 2012

In June 2012, EWZ traded between $49.07 and $54.50. ATM implied volatility averaged 30.9%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 1.5% (HV 20d: 29.4%). Max pain ranged from $51.00 to $58.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.98.

Notable Days

2012-06-20: Highest Volume — 273,019 contracts
2012-06-06: Largest IV drop — 19.4% change
2012-06-04: Highest IV Rank — 34.7%
2012-06-04: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.39	$49.07	$54.50	$50.74	$51.70
Max Pain	$53.71	$51.00	$58.00	$58.00	$55.50
ATM IV	30.9%	24.7%	41.7%	39.0%	24.7%
Expected Move	8.9%	7.1%	10.3%	10.1%	7.7%
HV 20d	29.4%	25.3%	36.3%	27.9%	36.3%
HV 60d	24.0%	22.0%	28.5%	22.4%	28.5%
IV Rank	19.1%	10.0%	34.7%	30.9%	10.0%
IV Percentile	49.5%	19.0%	84.1%	77.4%	19.0%
Term Structure	0.3%	-1.0%	1.6%	-0.1%	0.7%
VWIV	31.0%	23.7%	37.7%	36.0%	27.2%
Skew 25d	7.9%	3.7%	10.9%	9.1%	4.3%
Skew 10d	15.4%	7.2%	21.4%	16.6%	9.1%
Call IV 25d	28.1%	24.0%	31.7%	31.7%	25.0%
Put IV 25d	36.1%	27.7%	42.1%	40.8%	29.3%
Bid-Ask Spread %	3.61	2.72	4.99	3.18	3.92
Gamma HHI	0.09	0.06	0.14	0.10	0.06
Net GEX	-36.6M	-56.6M	12.5M	-54.6M	-9.3M
Net DEX	3.21B	1.80B	3.84B	3.72B	2.57B
Net VEX	-14.7M	-16.4M	-12.7M	-14.4M	-15.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.34	1.95	1.31	0.86
Total Volume	98,598.048	38,214	273,019	72,603	113,913
Total OI	2,292,197.619	1,848,899	2,784,517	2,392,055	2,144,197

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
2012-06-01	$50.74	$58.00	39.0%	10.1%	27.9%	30.9%	36.0%	9.1%	-0.1%	-54.6M	3.72B	-14.4M	1.31	3.18	N/A	N/A	31,467	41,136	1,065,467	1,326,588
2012-06-04	$50.61	$51.50	41.7%	10.3%	27.3%	34.7%	37.7%	10.9%	-1.0%	-56.3M	3.78B	-14.0M	1.11	3.40	N/A	N/A	29,503	32,847	1,061,717	1,325,769
2012-06-05	$50.82	$51.00	39.1%	9.9%	27.3%	31.0%	35.0%	9.4%	-0.5%	-56.0M	3.69B	-14.6M	1.26	2.93	N/A	N/A	35,939	45,339	1,084,654	1,339,587
2012-06-06	$52.05	$51.00	31.6%	9.5%	28.9%	20.0%	31.9%	9.0%	-0.5%	-54.6M	3.40B	-15.5M	1.30	2.75	N/A	N/A	36,183	47,114	1,096,318	1,369,086
2012-06-07	$52.79	$51.00	28.9%	9.0%	29.4%	16.1%	32.4%	9.5%	0.4%	-49.0M	3.12B	-15.9M	0.83	2.94	N/A	N/A	56,810	47,002	1,118,653	1,364,621
2012-06-08	$52.04	$51.00	28.9%	9.2%	29.4%	16.2%	30.5%	9.5%	0.4%	-56.4M	3.47B	-15.2M	0.34	3.18	N/A	N/A	41,413	13,919	1,134,739	1,381,556
2012-06-11	$50.82	$51.00	33.9%	10.0%	30.1%	23.4%	33.7%	10.6%	-0.9%	-56.6M	3.84B	-14.3M	0.74	2.72	N/A	N/A	30,782	22,676	1,155,050	1,386,184
2012-06-12	$51.57	$51.50	28.7%	9.5%	27.7%	15.9%	35.7%	10.1%	-0.6%	-54.5M	3.67B	-14.5M	1.09	2.91	N/A	N/A	35,544	38,786	1,169,249	1,392,257
2012-06-13	$51.60	$51.50	29.2%	9.8%	27.0%	16.6%	34.0%	10.9%	-0.5%	-52.9M	3.71B	-14.4M	0.89	3.72	N/A	N/A	63,978	56,963	1,186,327	1,410,658
2012-06-14	$51.81	$51.50	34.3%	9.8%	27.1%	23.9%	31.6%	9.7%	-0.0%	-50.1M	3.71B	-15.2M	0.90	4.72	N/A	N/A	88,175	79,400	1,222,272	1,445,305
2012-06-15	$52.44	$54.00	31.5%	9.0%	25.3%	19.9%	30.4%	10.0%	1.6%	-34.4M	3.71B	-15.4M	0.58	2.98	N/A	N/A	78,270	45,528	1,290,875	1,493,642
2012-06-18	$52.58	$54.00	27.7%	7.9%	25.3%	14.3%	28.9%	5.8%	1.5%	-7.7M	2.26B	-14.9M	1.16	4.91	N/A	N/A	17,680	20,534	817,070	1,031,829
2012-06-19	$54.50	$54.00	25.4%	7.3%	27.4%	11.1%	23.7%	4.7%	1.2%	3.7M	1.80B	-16.1M	0.67	4.59	N/A	N/A	116,771	77,796	828,531	1,046,213
2012-06-20	$54.10	$55.00	24.9%	7.1%	25.3%	10.4%	24.9%	3.7%	1.6%	12.5M	1.96B	-16.4M	0.48	4.12	N/A	N/A	184,433	88,586	907,012	1,090,960
2012-06-21	$51.19	$55.50	29.4%	8.4%	32.6%	16.9%	28.7%	6.7%	0.9%	-22.4M	2.76B	-15.2M	0.79	3.69	N/A	N/A	64,864	51,006	889,158	1,136,976
2012-06-22	$50.75	$58.00	29.1%	8.3%	32.8%	16.4%	28.2%	6.3%	1.0%	-31.1M	3.11B	-14.7M	1.18	3.73	N/A	N/A	28,490	33,699	899,532	1,187,990
2012-06-25	$49.35	$56.00	30.8%	8.8%	33.3%	18.9%	30.1%	7.0%	0.6%	-39.2M	3.32B	-13.6M	0.69	3.10	N/A	N/A	23,146	16,007	908,430	1,180,389
2012-06-26	$49.42	$56.00	30.6%	8.8%	33.0%	18.6%	31.3%	6.7%	0.4%	-34.8M	3.22B	-13.2M	1.61	3.41	N/A	N/A	18,036	29,035	910,799	1,158,663
2012-06-27	$49.31	$55.50	29.8%	8.5%	32.3%	17.4%	30.3%	6.1%	0.4%	-33.0M	3.22B	-12.9M	1.95	3.83	N/A	N/A	28,697	56,063	919,912	1,150,836
2012-06-28	$49.07	$55.50	29.8%	8.5%	32.0%	17.4%	29.5%	6.4%	0.6%	-32.8M	3.27B	-12.7M	0.81	4.99	N/A	N/A	56,860	46,169	937,160	1,169,919
2012-06-29	$51.70	$55.50	24.7%	7.7%	36.3%	10.0%	27.2%	4.3%	0.7%	-9.3M	2.57B	-15.4M	0.86	3.92	N/A	N/A	61,267	52,646	960,976	1,183,221