EWZ Options History — July 2012

In July 2012, EWZ traded between $50.03 and $53.56. ATM implied volatility averaged 28.6%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 4.5% (HV 20d: 33.1%). Max pain ranged from $51.00 to $55.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.02.

Notable Days

2012-07-27: Highest Volume — 105,300 contracts
2012-07-30: Largest IV spike — 19.8% change
2012-07-31: Highest IV Rank — 26.5%
2012-07-24: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.77	$50.03	$53.56	$52.58	$52.45
Max Pain	$51.93	$51.00	$55.00	$55.00	$51.50
ATM IV	28.6%	24.8%	38.3%	25.1%	38.3%
Expected Move	7.9%	7.1%	8.6%	7.6%	8.5%
HV 20d	33.1%	26.8%	37.0%	36.7%	27.2%
HV 60d	29.1%	28.3%	31.0%	28.8%	30.9%
IV Rank	12.0%	6.0%	26.5%	10.6%	26.5%
IV Percentile	37.7%	15.9%	72.6%	21.4%	72.6%
Term Structure	0.2%	-1.3%	1.1%	0.6%	-1.3%
VWIV	27.9%	24.3%	31.3%	26.4%	30.8%
Skew 25d	4.9%	3.3%	5.9%	4.1%	4.8%
Skew 10d	10.0%	7.4%	12.1%	8.4%	9.2%
Call IV 25d	25.3%	22.7%	27.6%	24.6%	27.6%
Put IV 25d	30.2%	27.0%	33.1%	28.8%	32.4%
Bid-Ask Spread %	4.45	3.29	6.80	4.69	5.71
Gamma HHI	0.07	0.06	0.09	0.06	0.06
Net GEX	-6.6M	-29.6M	25.1M	-189.1K	-13.2M
Net DEX	2.29B	1.40B	2.86B	2.35B	1.77B
Net VEX	-15.5M	-17.0M	-14.3M	-16.0M	-16.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.21	2.71	0.38	2.71
Total Volume	53,344.429	28,385	105,300	63,214	47,611
Total OI	2,159,800.333	1,868,669	2,364,042	2,171,193	1,983,799

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
2012-07-02	$52.58	$55.00	25.1%	7.6%	36.7%	10.6%	26.4%	4.1%	0.6%	-189.1K	2.35B	-16.0M	0.38	4.69	N/A	N/A	45,746	17,468	981,187	1,190,006
2012-07-03	$53.40	$55.00	26.0%	7.6%	37.0%	7.9%	26.7%	3.3%	0.5%	20.9M	1.95B	-17.0M	0.41	3.59	N/A	N/A	57,146	23,495	1,012,208	1,180,289
2012-07-05	$53.24	$55.00	28.5%	7.8%	36.2%	11.7%	26.9%	3.4%	0.4%	25.1M	1.96B	-17.0M	0.72	4.46	N/A	N/A	20,855	14,947	1,041,333	1,205,433
2012-07-06	$52.17	$51.50	27.9%	8.1%	36.6%	10.8%	28.9%	5.5%	0.1%	6.8M	2.38B	-16.1M	0.92	3.79	N/A	N/A	26,808	24,781	1,029,848	1,207,182
2012-07-09	$51.77	$51.50	32.0%	8.1%	36.3%	16.9%	30.2%	5.9%	0.1%	2.0M	2.52B	-15.4M	0.36	3.51	N/A	N/A	24,614	8,821	1,023,221	1,204,221
2012-07-10	$50.91	$51.50	32.9%	8.3%	35.8%	18.3%	27.1%	5.8%	0.1%	-11.2M	2.80B	-14.6M	0.21	3.29	N/A	N/A	61,227	12,786	1,024,442	1,211,000
2012-07-11	$50.79	$51.50	27.7%	8.0%	35.4%	10.4%	29.6%	5.3%	0.3%	-18.4M	2.77B	-14.6M	1.70	4.49	N/A	N/A	14,533	24,729	1,028,880	1,205,158
2012-07-12	$50.42	$51.50	28.3%	8.1%	35.5%	11.3%	28.7%	5.2%	0.8%	-24.6M	2.86B	-14.6M	0.70	4.21	N/A	N/A	50,294	35,426	1,045,174	1,218,207
2012-07-13	$51.31	$51.50	26.6%	7.6%	36.1%	8.7%	27.4%	4.7%	1.1%	-10.6M	2.60B	-15.5M	1.66	4.47	N/A	N/A	16,136	26,862	1,062,917	1,235,251
2012-07-16	$51.04	$51.50	27.6%	7.9%	35.8%	10.3%	27.2%	4.7%	0.4%	-15.9M	2.70B	-14.9M	0.60	4.49	N/A	N/A	17,707	10,678	1,065,138	1,248,460
2012-07-17	$51.57	$51.50	26.4%	7.6%	36.0%	8.4%	26.0%	4.4%	0.2%	-5.5M	2.54B	-15.2M	0.86	3.83	N/A	N/A	21,565	18,515	1,074,143	1,253,550
2012-07-18	$51.92	$51.50	25.3%	7.2%	33.5%	6.7%	26.3%	4.2%	0.9%	5.1M	2.42B	-15.0M	1.07	3.46	N/A	N/A	23,984	25,783	1,082,787	1,257,751
2012-07-19	$52.70	$51.50	24.8%	7.1%	33.9%	6.0%	24.3%	4.3%	0.6%	23.2M	2.12B	-15.8M	0.75	4.08	N/A	N/A	32,039	24,028	1,072,570	1,269,038
2012-07-20	$51.72	$51.50	26.0%	7.4%	28.2%	7.7%	25.6%	5.2%	0.4%	-6.7M	2.53B	-15.0M	1.27	4.07	N/A	N/A	21,597	27,475	1,085,293	1,278,749
2012-07-23	$50.37	$51.50	29.4%	8.4%	29.7%	13.0%	31.3%	5.6%	0.2%	-27.3M	2.28B	-14.3M	2.11	4.58	N/A	N/A	18,843	39,708	801,116	1,067,553
2012-07-24	$50.09	$51.50	30.0%	8.6%	27.9%	13.8%	29.8%	5.9%	-0.3%	-29.6M	2.35B	-14.3M	0.85	4.65	N/A	N/A	20,797	17,658	811,791	1,088,707
2012-07-25	$50.03	$51.00	29.3%	8.4%	27.9%	12.9%	29.4%	5.6%	-0.1%	-29.3M	2.34B	-14.3M	1.17	4.92	N/A	N/A	13,282	15,533	822,230	1,090,611
2012-07-26	$51.69	$51.00	26.5%	7.6%	30.1%	8.6%	26.7%	4.5%	-0.1%	-20.0M	1.99B	-15.3M	0.86	6.80	N/A	N/A	28,010	24,139	829,595	1,103,088
2012-07-27	$53.56	$51.00	28.4%	7.6%	32.2%	11.5%	27.8%	4.5%	-0.7%	-3.8M	1.40B	-16.9M	0.76	5.50	N/A	N/A	59,958	45,342	846,133	1,111,310
2012-07-30	$53.48	$51.50	34.1%	7.9%	26.8%	20.0%	29.8%	5.0%	-0.5%	-4.5M	1.45B	-16.9M	1.38	4.94	N/A	N/A	24,899	34,408	870,758	1,135,680
2012-07-31	$52.45	$51.50	38.3%	8.5%	27.2%	26.5%	30.8%	4.8%	-1.3%	-13.2M	1.77B	-16.6M	2.71	5.71	N/A	N/A	12,846	34,765	856,993	1,126,806