EWZ Options History — September 2012

In September 2012, EWZ traded between $51.76 and $57.06. ATM implied volatility averaged 26.0%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.2% (HV 20d: 22.9%). Max pain ranged from $53.00 to $57.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.06.

Notable Days

2012-09-28: Highest Volume — 130,259 contracts
2012-09-10: Largest IV spike — 26.5% change
2012-09-05: Highest IV Rank — 25.9%
2012-09-05: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.04	$51.76	$57.06	$51.76	$54.06
Max Pain	$54.82	$53.00	$57.00	$57.00	$55.00
ATM IV	26.0%	22.3%	34.0%	32.9%	24.1%
Expected Move	7.2%	6.4%	8.2%	8.2%	6.9%
HV 20d	22.9%	16.0%	24.8%	16.0%	24.3%
HV 60d	26.4%	23.1%	28.8%	27.7%	23.2%
IV Rank	10.7%	3.4%	25.9%	23.9%	7.1%
IV Percentile	26.0%	3.2%	66.7%	63.1%	15.1%
Term Structure	1.4%	0.2%	2.8%	0.5%	1.3%
VWIV	25.7%	22.6%	29.8%	29.8%	23.8%
Skew 25d	4.0%	2.5%	5.6%	5.1%	4.7%
Skew 10d	8.3%	6.1%	11.5%	9.5%	9.5%
Call IV 25d	23.5%	20.9%	26.9%	26.9%	22.3%
Put IV 25d	27.6%	24.6%	32.0%	32.0%	27.0%
Bid-Ask Spread %	4.22	2.89	8.79	6.51	4.47
Gamma HHI	0.09	0.05	0.14	0.07	0.05
Net GEX	18.0M	-25.4M	69.8M	-25.4M	-15.7M
Net DEX	1.04B	65.3M	2.24B	2.24B	1.28B
Net VEX	-16.6M	-18.0M	-15.5M	-15.5M	-15.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.42	1.86	1.86	1.26
Total Volume	70,801.474	33,946	130,259	51,579	130,259
Total OI	2,318,561.474	1,835,812	2,586,024	2,336,063	1,955,786

Daily Data (19 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
2012-09-04	$51.76	$57.00	32.9%	8.2%	16.0%	23.9%	29.8%	5.1%	0.5%	-25.4M	2.24B	-15.5M	1.86	6.51	N/A	N/A	18,023	33,556	1,081,765	1,254,298
2012-09-05	$52.25	$57.00	34.0%	8.2%	16.5%	25.9%	28.1%	4.1%	0.2%	-21.2M	2.10B	-15.8M	1.09	7.64	N/A	N/A	33,739	36,919	1,079,538	1,265,207
2012-09-06	$53.78	$57.00	25.4%	7.2%	19.1%	9.6%	26.6%	3.2%	1.0%	5.8M	1.55B	-16.5M	0.80	8.79	N/A	N/A	25,609	20,563	1,098,341	1,280,880
2012-09-07	$55.28	$53.00	24.6%	7.4%	21.6%	7.9%	26.4%	5.6%	1.5%	19.2M	922.3M	-17.4M	0.72	3.16	N/A	N/A	49,358	35,464	1,105,962	1,291,393
2012-09-10	$54.09	$53.50	31.1%	7.7%	22.7%	20.4%	27.8%	4.6%	1.4%	-2.6M	1.50B	-16.7M	1.47	2.95	N/A	N/A	33,340	48,912	1,105,349	1,294,034
2012-09-11	$54.84	$53.50	32.4%	7.6%	23.2%	22.9%	28.6%	4.7%	1.2%	11.9M	1.20B	-17.3M	1.60	2.93	N/A	N/A	18,627	29,851	1,128,087	1,318,791
2012-09-12	$54.83	$54.00	26.2%	7.7%	22.6%	11.1%	26.4%	4.9%	1.0%	8.1M	1.25B	-17.1M	0.68	3.88	N/A	N/A	49,027	33,217	1,128,571	1,323,067
2012-09-13	$56.47	$54.00	25.0%	7.2%	24.8%	8.7%	26.0%	3.7%	1.5%	56.5M	426.1M	-17.5M	1.16	3.72	N/A	N/A	44,823	51,850	1,158,136	1,333,486
2012-09-14	$57.06	$54.00	24.8%	7.1%	24.4%	8.3%	24.9%	2.5%	1.2%	69.8M	65.3M	-18.0M	0.63	3.91	N/A	N/A	71,079	44,515	1,182,117	1,354,834
2012-09-17	$56.48	$54.50	25.3%	7.3%	24.7%	9.3%	26.9%	3.2%	1.4%	57.4M	452.2M	-17.5M	1.56	3.49	N/A	N/A	16,990	26,589	1,183,550	1,366,056
2012-09-18	$56.49	$54.50	24.4%	7.0%	24.7%	7.6%	25.2%	3.0%	1.9%	60.0M	475.9M	-17.1M	1.18	2.89	N/A	N/A	22,366	26,343	1,160,224	1,362,252
2012-09-19	$56.27	$54.50	23.4%	6.7%	24.4%	5.7%	24.3%	3.6%	2.4%	53.6M	667.3M	-16.7M	1.11	3.54	N/A	N/A	36,699	40,627	1,162,578	1,371,253
2012-09-20	$56.13	$55.00	23.4%	6.7%	24.4%	5.6%	23.2%	3.9%	2.4%	57.1M	787.7M	-16.7M	0.92	3.35	N/A	N/A	28,925	26,702	1,181,149	1,397,259
2012-09-21	$55.93	$55.00	22.7%	6.5%	23.7%	4.2%	22.6%	3.4%	2.8%	37.6M	967.9M	-16.6M	0.42	3.58	N/A	N/A	34,283	14,548	1,177,353	1,408,671
2012-09-24	$55.96	$55.00	22.3%	6.4%	23.7%	3.4%	23.0%	3.7%	1.5%	1.6M	623.1M	-16.1M	0.54	3.07	N/A	N/A	39,803	21,684	889,363	946,449
2012-09-25	$54.77	$55.00	24.3%	7.0%	24.8%	7.4%	24.7%	4.0%	1.1%	-10.9M	1.06B	-15.8M	0.82	3.91	N/A	N/A	57,149	46,848	892,116	958,146
2012-09-26	$54.63	$55.00	24.8%	7.1%	24.8%	8.3%	25.2%	4.4%	0.8%	-13.2M	1.11B	-15.8M	1.64	3.99	N/A	N/A	23,834	39,161	926,478	984,744
2012-09-27	$54.76	$55.00	23.2%	6.7%	23.9%	5.3%	24.1%	4.3%	1.5%	-8.3M	1.04B	-16.0M	0.70	4.44	N/A	N/A	19,946	14,000	945,942	999,443
2012-09-28	$54.06	$55.00	24.1%	6.9%	24.3%	7.1%	23.8%	4.7%	1.3%	-15.7M	1.28B	-15.6M	1.26	4.47	N/A	N/A	57,529	72,730	949,331	1,006,455