EWZ Options History — November 2012

In November 2012, EWZ traded between $51.06 and $54.86. ATM implied volatility averaged 21.9%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 5.2% (HV 20d: 16.8%). Max pain ranged from $54.00 to $55.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.89.

Notable Days

2012-11-16: Highest Volume — 152,340 contracts
2012-11-07: Largest IV drop — 27.2% change
2012-11-06: Highest IV Rank — 34.8%
2012-11-15: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.47	$51.06	$54.86	$54.40	$51.58
Max Pain	$54.57	$54.00	$55.00	$54.50	$54.00
ATM IV	21.9%	18.0%	29.8%	21.2%	20.7%
Expected Move	5.9%	3.7%	6.9%	5.8%	3.7%
HV 20d	16.8%	14.4%	18.1%	16.6%	14.4%
HV 60d	18.8%	18.4%	19.1%	18.8%	18.4%
IV Rank	8.0%	0.0%	34.8%	2.5%	10.4%
IV Percentile	11.9%	0.0%	68.3%	1.2%	3.2%
Term Structure	1.0%	-0.9%	2.9%	-0.6%	2.2%
VWIV	21.5%	18.8%	25.4%	21.5%	19.7%
Skew 25d	5.0%	3.2%	7.4%	3.6%	4.8%
Skew 10d	8.7%	5.0%	11.7%	8.0%	8.1%
Call IV 25d	19.3%	17.4%	21.5%	19.1%	17.4%
Put IV 25d	24.3%	21.7%	27.1%	22.8%	22.2%
Bid-Ask Spread %	8.05	4.65	15.51	10.96	9.36
Gamma HHI	0.09	0.06	0.17	0.06	0.10
Net GEX	-21.6M	-66.4M	9.1M	-2.3M	-1.8M
Net DEX	2.29B	1.41B	3.02B	1.50B	2.42B
Net VEX	-13.4M	-14.5M	-12.0M	-14.5M	-13.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.45	1.59	0.79	1.50
Total Volume	67,011.048	27,243	152,340	57,623	30,345
Total OI	2,469,707.286	2,287,225	2,682,526	2,287,225	2,675,679

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
2012-11-01	$54.40	$54.50	21.2%	5.8%	16.6%	2.5%	21.5%	3.6%	-0.6%	-2.3M	1.50B	-14.5M	0.79	10.96	N/A	N/A	32,112	25,511	1,068,179	1,219,046
2012-11-02	$54.16	$54.50	23.1%	6.1%	16.3%	9.0%	21.0%	3.2%	-0.9%	-6.1M	1.64B	-14.5M	0.93	15.51	N/A	N/A	35,283	32,744	1,087,264	1,234,820
2012-11-05	$54.42	$55.00	27.7%	6.3%	16.2%	27.1%	21.5%	7.4%	2.9%	-1.5M	1.61B	-14.3M	0.79	5.99	N/A	N/A	15,399	12,175	1,091,928	1,242,457
2012-11-06	$54.86	$55.00	29.8%	6.1%	16.4%	34.8%	20.0%	6.6%	1.7%	9.1M	1.41B	-14.4M	0.62	5.71	N/A	N/A	43,358	26,875	1,107,488	1,248,022
2012-11-07	$54.06	$55.00	21.7%	6.2%	16.9%	4.6%	20.4%	6.1%	1.4%	-8.4M	1.81B	-14.0M	0.80	6.46	N/A	N/A	30,967	24,875	1,122,398	1,258,433
2012-11-08	$53.19	$55.00	23.2%	6.5%	17.5%	10.1%	23.7%	5.7%	1.2%	-34.9M	2.23B	-13.6M	1.26	5.40	N/A	N/A	22,523	28,301	1,133,430	1,272,606
2012-11-09	$52.77	$55.00	22.7%	6.5%	17.5%	8.3%	22.9%	5.8%	0.9%	-46.0M	2.42B	-13.4M	0.87	6.26	N/A	N/A	24,401	21,301	1,141,421	1,284,229
2012-11-12	$52.50	$55.00	22.9%	6.5%	17.3%	9.2%	22.4%	6.0%	0.8%	-56.8M	2.54B	-12.9M	0.91	5.61	N/A	N/A	14,241	13,002	1,146,729	1,285,670
2012-11-13	$52.04	$55.00	23.6%	6.6%	17.4%	11.9%	22.2%	5.2%	0.9%	-66.4M	2.71B	-12.6M	0.75	4.65	N/A	N/A	29,592	22,212	1,152,834	1,289,052
2012-11-14	$51.26	$55.00	24.0%	6.9%	17.3%	13.4%	25.4%	5.5%	0.1%	-64.8M	3.00B	-12.0M	1.04	6.90	N/A	N/A	28,707	29,750	1,172,737	1,292,541
2012-11-15	$51.21	$55.00	24.0%	6.9%	17.1%	13.1%	25.0%	5.6%	-0.3%	-61.2M	3.02B	-12.0M	1.59	8.04	N/A	N/A	38,235	60,811	1,182,520	1,297,124
2012-11-16	$51.06	$55.00	22.6%	6.5%	16.7%	7.9%	22.1%	6.3%	1.8%	-58.6M	3.00B	-12.0M	0.66	8.58	N/A	N/A	91,856	60,484	1,212,839	1,305,919
2012-11-19	$51.88	$55.00	20.8%	6.0%	18.1%	1.2%	21.0%	3.8%	0.8%	-16.7M	2.34B	-13.5M	0.45	8.15	N/A	N/A	105,218	46,998	1,168,038	1,239,502
2012-11-20	$51.92	$54.00	20.4%	5.8%	17.8%	0.0%	20.3%	4.1%	0.9%	-12.4M	2.30B	-13.3M	0.86	7.53	N/A	N/A	15,667	13,407	1,192,395	1,251,259
2012-11-21	$51.51	$54.00	19.4%	5.6%	17.6%	0.0%	20.9%	4.6%	1.3%	-7.5M	2.37B	-13.5M	1.15	9.59	N/A	N/A	48,613	55,931	1,241,981	1,268,811
2012-11-23	$52.16	$54.00	18.8%	5.4%	16.2%	0.0%	19.9%	3.7%	1.9%	-708.1K	2.19B	-13.5M	0.63	9.63	N/A	N/A	17,253	10,944	1,265,302	1,294,812
2012-11-26	$52.06	$54.00	18.6%	5.3%	16.2%	0.0%	21.1%	4.3%	0.8%	-1.9M	2.26B	-13.3M	0.70	7.35	N/A	N/A	21,287	14,872	1,267,390	1,290,115
2012-11-27	$51.43	$54.00	19.7%	5.7%	16.0%	4.0%	21.2%	4.1%	0.9%	-12.1M	2.48B	-13.1M	1.00	9.95	N/A	N/A	33,622	33,620	1,282,573	1,292,127
2012-11-28	$51.52	$54.00	18.1%	5.2%	16.1%	0.0%	18.8%	4.8%	0.8%	-9.0M	2.47B	-13.2M	0.48	9.06	N/A	N/A	98,866	47,625	1,293,752	1,307,905
2012-11-29	$51.88	$54.00	18.0%	5.2%	16.3%	0.0%	20.0%	4.3%	1.1%	7.1M	2.34B	-13.3M	1.00	8.38	N/A	N/A	24,111	24,138	1,359,250	1,323,276
2012-11-30	$51.58	$54.00	20.7%	3.7%	14.4%	10.4%	19.7%	4.8%	2.2%	-1.8M	2.42B	-13.5M	1.50	9.36	N/A	N/A	12,151	18,194	1,353,253	1,322,426