EWZ Options History — October 2012

In October 2012, EWZ traded between $53.24 and $55.18. ATM implied volatility averaged 23.4%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 6.9% (HV 20d: 16.5%). Max pain ranged from $54.00 to $55.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.31.

Notable Days

2012-10-25: Highest Volume — 209,158 contracts
2012-10-08: Largest IV spike — 15.0% change
2012-10-09: Highest IV Rank — 16.5%
2012-10-24: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.24	$53.24	$55.18	$54.54	$53.35
Max Pain	$54.43	$54.00	$55.00	$55.00	$54.50
ATM IV	23.4%	21.3%	27.3%	26.6%	24.1%
Expected Move	6.6%	6.1%	7.0%	7.0%	6.4%
HV 20d	16.5%	12.6%	24.3%	24.3%	14.9%
HV 60d	21.4%	18.6%	22.9%	22.9%	18.6%
IV Rank	9.0%	2.8%	16.5%	11.7%	12.6%
IV Percentile	14.0%	1.2%	44.4%	38.9%	20.6%
Term Structure	1.0%	-1.5%	2.5%	1.0%	-1.1%
VWIV	23.3%	21.4%	24.9%	24.2%	23.1%
Skew 25d	4.4%	3.2%	5.1%	4.8%	4.6%
Skew 10d	9.0%	6.9%	10.6%	9.0%	9.6%
Call IV 25d	21.2%	19.2%	22.3%	22.3%	20.7%
Put IV 25d	25.6%	23.8%	27.1%	27.1%	25.3%
Bid-Ask Spread %	5.59	2.94	10.55	4.18	10.55
Gamma HHI	0.06	0.05	0.08	0.05	0.07
Net GEX	-7.1M	-28.2M	37.5M	-5.9M	-22.7M
Net DEX	1.29B	788.9M	1.89B	1.11B	1.89B
Net VEX	-15.4M	-16.2M	-14.1M	-16.2M	-14.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.29	3.10	0.75	1.23
Total Volume	63,377.381	23,522	209,158	39,085	23,522
Total OI	2,143,818.857	2,012,992	2,267,531	2,012,992	2,267,531

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
2012-10-01	$54.54	$55.00	26.6%	7.0%	24.3%	11.7%	24.2%	4.8%	1.0%	-5.9M	1.11B	-16.2M	0.75	4.18	N/A	N/A	22,362	16,723	967,935	1,045,057
2012-10-02	$54.57	$55.00	26.5%	6.8%	23.1%	11.6%	23.7%	4.8%	1.4%	-5.1M	1.14B	-16.1M	1.25	4.50	N/A	N/A	35,714	44,515	978,626	1,053,463
2012-10-03	$54.00	$55.00	27.3%	6.6%	23.4%	16.3%	24.4%	3.9%	1.5%	-11.7M	1.34B	-15.9M	1.92	5.25	N/A	N/A	15,956	30,564	997,703	1,081,044
2012-10-04	$54.36	$55.00	23.3%	6.5%	21.2%	8.7%	23.4%	3.2%	1.5%	-10.6M	1.23B	-16.1M	0.82	6.78	N/A	N/A	29,085	23,735	1,002,252	1,097,531
2012-10-05	$54.22	$54.50	21.9%	6.9%	18.7%	4.8%	23.8%	4.6%	1.7%	-17.3M	1.29B	-16.0M	0.65	2.94	N/A	N/A	27,730	18,005	1,009,945	1,108,263
2012-10-08	$54.75	$54.50	25.1%	6.8%	17.4%	16.1%	23.7%	4.2%	1.0%	-4.4M	1.05B	-16.0M	0.98	3.40	N/A	N/A	17,754	17,404	1,010,247	1,097,162
2012-10-09	$54.27	$54.50	25.2%	6.8%	16.9%	16.5%	24.9%	4.7%	1.6%	-10.5M	1.26B	-15.8M	2.26	3.81	N/A	N/A	10,918	24,699	1,023,046	1,104,837
2012-10-10	$53.83	$54.50	22.4%	6.8%	17.1%	6.8%	23.8%	4.7%	1.3%	-22.8M	1.48B	-15.4M	1.20	4.56	N/A	N/A	26,866	32,234	1,027,450	1,111,901
2012-10-11	$54.26	$54.00	23.0%	6.6%	13.4%	8.9%	22.6%	4.1%	1.7%	-12.7M	1.29B	-15.5M	0.41	5.24	N/A	N/A	34,393	14,040	1,037,106	1,120,534
2012-10-12	$54.00	$54.00	23.4%	6.7%	12.6%	10.3%	23.7%	4.3%	1.4%	-17.5M	1.39B	-15.4M	1.25	4.59	N/A	N/A	13,392	16,701	1,054,334	1,125,706
2012-10-15	$54.60	$54.00	22.7%	6.5%	13.1%	7.6%	22.6%	4.0%	1.1%	509.0K	1.12B	-15.4M	0.67	6.15	N/A	N/A	42,065	28,076	1,052,832	1,123,218
2012-10-16	$54.84	$54.00	22.4%	6.4%	13.3%	6.8%	23.2%	4.4%	1.4%	11.8M	987.5M	-15.5M	0.92	3.63	N/A	N/A	48,393	44,718	1,076,343	1,135,762
2012-10-17	$55.18	$54.00	22.2%	6.4%	13.5%	5.9%	22.3%	3.9%	1.4%	27.2M	788.9M	-15.5M	0.29	5.41	N/A	N/A	40,244	11,686	1,079,517	1,143,070
2012-10-18	$55.12	$54.00	21.6%	6.2%	13.5%	3.9%	22.2%	3.7%	1.6%	37.5M	836.9M	-15.3M	0.87	6.09	N/A	N/A	30,013	26,132	1,083,193	1,142,985
2012-10-19	$54.39	$54.00	21.3%	6.1%	14.2%	2.8%	22.3%	4.5%	2.5%	-3.1M	1.23B	-15.1M	2.65	7.29	N/A	N/A	23,791	63,018	1,094,890	1,155,684
2012-10-22	$54.73	$54.50	21.3%	6.1%	14.5%	2.9%	21.4%	4.7%	1.4%	-1.0M	1.15B	-15.0M	2.50	6.66	N/A	N/A	18,049	45,110	969,945	1,057,251
2012-10-23	$53.33	$54.50	23.6%	6.8%	15.3%	10.9%	24.5%	4.8%	1.3%	-17.0M	1.62B	-14.5M	1.76	6.07	N/A	N/A	41,651	73,160	975,689	1,087,082
2012-10-24	$53.24	$54.50	24.3%	7.0%	15.3%	13.1%	24.9%	5.1%	0.7%	-28.2M	1.71B	-14.8M	3.10	7.65	N/A	N/A	9,874	30,645	990,686	1,135,750
2012-10-25	$53.81	$54.50	22.4%	6.4%	15.9%	6.7%	23.0%	4.8%	-1.5%	-15.8M	1.36B	-15.0M	1.17	4.65	N/A	N/A	96,306	112,852	993,373	1,141,695
2012-10-26	$53.62	$54.50	21.6%	6.4%	15.3%	4.1%	21.7%	4.7%	-1.3%	-20.7M	1.78B	-14.8M	0.85	8.08	N/A	N/A	26,390	22,440	1,051,776	1,207,782
2012-10-31	$53.35	$54.50	24.1%	6.4%	14.9%	12.6%	23.1%	4.6%	-1.1%	-22.7M	1.89B	-14.1M	1.23	10.55	N/A	N/A	10,565	12,957	1,060,979	1,206,552