EWZ Options History — December 2012

In December 2012, EWZ traded between $51.46 and $55.94. ATM implied volatility averaged 20.4%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 7.4% (HV 20d: 13.0%). Max pain ranged from $54.00 to $62.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.95.

Notable Days

2012-12-04: Highest Volume — 164,047 contracts
2012-12-13: Largest IV spike — 110.2% change
2012-12-28: Highest IV Rank — 45.3%
2012-12-28: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.07	$51.46	$55.94	$51.51	$55.94
Max Pain	$59.40	$54.00	$62.00	$54.00	$60.00
ATM IV	20.4%	9.0%	25.1%	23.7%	24.2%
Expected Move	5.5%	4.2%	6.5%	5.1%	6.1%
HV 20d	13.0%	11.2%	15.3%	14.4%	11.3%
HV 60d	15.4%	14.5%	18.3%	18.3%	14.7%
IV Rank	24.5%	0.0%	45.3%	21.7%	42.8%
IV Percentile	10.9%	0.0%	47.2%	25.8%	36.9%
Term Structure	1.8%	-0.2%	4.9%	2.3%	0.4%
VWIV	20.2%	16.8%	23.5%	19.3%	23.2%
Skew 25d	3.3%	1.7%	4.9%	4.9%	3.5%
Skew 10d	6.2%	4.1%	9.6%	7.5%	9.0%
Call IV 25d	18.7%	16.6%	20.9%	18.1%	20.0%
Put IV 25d	22.0%	20.5%	24.9%	23.0%	23.5%
Bid-Ask Spread %	6.26	1.79	11.07	9.04	3.05
Gamma HHI	0.15	0.10	0.55	0.11	0.10
Net GEX	57.3M	-5.6M	216.8M	-3.2M	32.7M
Net DEX	1.50B	622.5M	2.50B	2.44B	622.5M
Net VEX	-13.7M	-14.3M	-13.0M	-13.0M	-13.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.21	1.91	0.61	1.22
Total Volume	68,618.05	15,322	164,047	34,225	43,462
Total OI	2,682,634.9	2,177,252	2,976,836	2,673,621	2,181,134

Daily Data (20 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
2012-12-03	$51.51	$54.00	23.7%	5.1%	14.4%	21.7%	19.3%	4.9%	2.3%	-3.2M	2.44B	-13.0M	0.61	9.04	N/A	N/A	21,207	13,018	1,345,777	1,327,844
2012-12-04	$51.46	$54.00	23.8%	5.4%	14.1%	21.9%	19.6%	4.2%	3.2%	-5.6M	2.50B	-13.2M	0.95	9.61	N/A	N/A	84,036	80,011	1,357,026	1,333,177
2012-12-05	$52.34	$54.00	23.3%	5.3%	15.3%	20.1%	21.0%	3.0%	2.2%	12.6M	2.14B	-13.5M	0.88	11.07	N/A	N/A	34,516	30,524	1,377,457	1,356,903
2012-12-06	$52.77	$54.00	20.1%	4.2%	15.0%	8.0%	16.8%	3.9%	4.9%	32.6M	1.81B	-13.5M	0.69	8.16	N/A	N/A	32,309	22,162	1,418,265	1,351,802
2012-12-07	$53.07	$62.00	19.1%	5.5%	14.1%	4.4%	19.0%	3.3%	2.8%	44.9M	1.91B	-13.4M	0.83	7.89	N/A	N/A	25,310	21,110	1,436,466	1,398,187
2012-12-10	$53.54	$62.00	20.9%	5.4%	14.2%	10.9%	19.7%	3.4%	2.4%	51.2M	1.72B	-13.3M	1.12	5.14	N/A	N/A	13,298	14,844	1,440,151	1,394,777
2012-12-11	$54.01	$62.00	21.6%	5.4%	14.2%	13.6%	18.8%	3.2%	2.5%	72.4M	1.31B	-13.3M	0.79	7.62	N/A	N/A	43,297	34,247	1,444,311	1,396,894
2012-12-12	$54.05	$62.00	9.0%	5.4%	13.7%	0.0%	19.3%	3.2%	2.4%	72.1M	1.34B	-13.5M	1.39	6.46	N/A	N/A	33,130	45,948	1,462,022	1,413,377
2012-12-13	$53.67	$61.00	18.9%	5.4%	12.7%	27.8%	20.3%	4.6%	3.3%	65.3M	1.57B	-13.7M	0.97	6.55	N/A	N/A	45,833	44,577	1,477,002	1,431,509
2012-12-14	$54.19	$61.00	19.2%	5.5%	12.9%	28.8%	19.6%	3.1%	2.2%	69.2M	1.33B	-13.9M	0.92	10.46	N/A	N/A	11,196	10,283	1,486,789	1,449,142
2012-12-17	$54.09	$61.00	20.3%	5.8%	12.8%	31.8%	20.2%	1.7%	1.4%	64.8M	1.45B	-13.8M	0.21	6.53	N/A	N/A	92,163	19,377	1,480,919	1,439,726
2012-12-18	$54.35	$61.00	19.4%	5.6%	11.9%	29.2%	19.2%	1.9%	1.3%	73.4M	1.76B	-13.9M	0.79	5.88	N/A	N/A	47,946	37,655	1,410,238	1,446,424
2012-12-19	$55.09	$60.00	19.8%	5.7%	12.5%	30.4%	19.8%	2.2%	1.2%	102.0M	1.34B	-14.2M	0.46	2.72	N/A	N/A	56,469	26,152	1,451,990	1,464,834
2012-12-20	$55.54	$60.00	19.4%	5.6%	11.9%	29.3%	20.0%	2.5%	1.5%	107.0M	988.0M	-14.3M	0.49	3.73	N/A	N/A	62,331	30,836	1,470,197	1,472,541
2012-12-21	$54.97	$60.00	19.9%	5.7%	12.4%	30.8%	20.3%	2.4%	1.4%	216.8M	1.36B	-14.3M	1.00	6.33	N/A	N/A	62,239	62,072	1,496,402	1,480,434
2012-12-24	$54.83	$60.00	19.8%	5.7%	12.5%	30.5%	21.6%	3.2%	0.7%	36.5M	1.24B	-13.8M	1.74	1.79	N/A	N/A	5,602	9,720	1,048,440	1,131,405
2012-12-26	$55.18	$60.00	19.8%	5.7%	11.2%	30.4%	20.5%	3.9%	1.0%	39.8M	1.14B	-13.6M	1.08	5.75	N/A	N/A	36,934	39,859	1,050,823	1,126,429
2012-12-27	$55.44	$60.00	20.8%	6.0%	11.2%	33.3%	21.7%	3.8%	0.0%	35.0M	1.07B	-13.6M	0.96	3.44	N/A	N/A	31,831	30,519	1,049,997	1,154,104
2012-12-28	$55.26	$60.00	25.1%	6.5%	11.4%	45.3%	23.5%	4.0%	-0.2%	26.7M	998.0M	-14.1M	1.91	4.01	N/A	N/A	5,607	10,731	1,059,803	1,137,980
2012-12-31	$55.94	$60.00	24.2%	6.1%	11.3%	42.8%	23.2%	3.5%	0.4%	32.7M	622.5M	-13.9M	1.22	3.05	N/A	N/A	19,602	23,860	1,057,559	1,123,575