EWZ Options History — March 2013 In March 2013, EWZ traded between $53.39 and $57.65. ATM implied volatility averaged 17.5%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.5% (HV 20d: 16.0%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.41.
Notable Days 2013-03-11 : Highest Volume — 99,530 contracts2013-03-04 : Largest IV spike — 17.9% change2013-03-22 : Highest IV Rank — 31.5%2013-03-22 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $55.36 $53.39 $57.65 $55.20 $54.48 Max Pain $56.10 $55.00 $57.00 $55.00 $55.00 ATM IV 17.5% 15.3% 20.2% 16.9% 15.5% Expected Move 4.9% 4.4% 5.8% 4.8% 4.4% HV 20d 16.0% 13.1% 17.7% 13.6% 15.4% HV 60d 13.6% 12.6% 13.9% 12.8% 13.7% IV Rank 23.9% 17.9% 31.5% 22.3% 18.4% IV Percentile 12.5% 3.2% 27.0% 8.7% 5.2% Term Structure -0.5% -2.0% 0.9% 0.4% 0.9% VWIV 17.6% 16.0% 20.5% 17.5% 16.3% Skew 25d 2.9% 1.7% 4.0% 3.0% 2.5% Skew 10d 6.0% 3.4% 7.6% 6.6% 5.0% Call IV 25d 16.1% 14.8% 18.8% 15.6% 14.8% Put IV 25d 19.0% 16.9% 22.3% 18.7% 17.2% Bid-Ask Spread % 4.23 2.95 8.06 8.06 3.27 Gamma HHI 0.09 0.08 0.12 0.10 0.08 Net GEX -29.6M -67.1M 24.0M -22.7M -66.0M Net DEX 344.1M -829.6M 1.18B 486.8M 811.6M Net VEX -14.8M -15.2M -14.2M -15.2M -14.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.41 0.65 2.81 0.75 0.66 Total Volume 51,121.4 27,302 99,530 46,792 41,652 Total OI 1,423,734.45 1,165,289 1,670,507 1,438,427 1,385,642
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 2013-03-01 $55.20 $55.00 16.9% 4.8% 13.6% 22.3% 17.5% 3.0% 0.4% -22.7M 486.8M -15.2M 0.75 8.06 N/A N/A 26,710 20,082 574,358 864,069 2013-03-04 $54.78 $56.00 19.9% 4.9% 13.5% 30.8% 17.5% 3.7% -1.1% -31.4M 672.1M -15.0M 0.91 4.74 N/A N/A 14,327 13,053 583,101 866,111 2013-03-05 $55.10 $55.50 18.4% 4.8% 13.1% 26.6% 19.2% 3.4% -0.8% -20.6M 467.2M -15.0M 2.81 5.04 N/A N/A 7,835 21,998 600,276 873,500 2013-03-06 $56.44 $55.00 16.6% 4.7% 15.8% 21.4% 17.1% 2.5% -1.2% -1.7M -241.7M -14.9M 1.39 5.23 N/A N/A 31,074 43,176 600,270 889,075 2013-03-07 $57.29 $55.50 16.7% 4.6% 16.6% 21.6% 16.2% 1.7% -0.9% 14.3M -647.0M -14.6M 0.65 4.43 N/A N/A 51,486 33,534 618,186 910,037 2013-03-08 $57.65 $56.00 15.3% 4.5% 16.7% 17.9% 16.0% 1.7% -1.4% 24.0M -829.6M -14.9M 0.88 4.39 N/A N/A 28,003 24,562 645,807 931,092 2013-03-11 $57.26 $56.50 17.0% 4.6% 16.9% 22.4% 16.5% 2.2% -0.8% 20.7M -659.8M -14.9M 1.16 3.26 N/A N/A 45,998 53,532 653,080 931,925 2013-03-12 $57.04 $56.50 16.8% 4.6% 17.0% 21.8% 16.0% 2.2% -1.6% 20.6M -577.0M -14.9M 2.48 4.25 N/A N/A 9,089 22,572 673,462 952,464 2013-03-13 $56.29 $57.00 18.4% 4.8% 17.7% 26.4% 17.6% 2.7% -1.3% -12.9M -122.0M -15.2M 1.47 3.95 N/A N/A 15,565 22,861 677,934 976,780 2013-03-14 $56.02 $57.00 16.6% 4.8% 17.5% 21.5% 17.6% 3.2% -2.0% -29.5M 11.8M -14.9M 2.69 4.53 N/A N/A 15,626 42,019 671,936 980,539 2013-03-15 $55.73 $57.00 16.2% 4.7% 17.5% 20.4% 17.4% 2.8% -1.1% -50.6M 135.9M -14.8M 1.53 4.55 N/A N/A 15,514 23,765 678,523 991,984 2013-03-18 $55.32 $57.00 17.0% 4.9% 17.7% 22.5% 17.6% 3.1% 0.7% -44.5M 607.3M -14.7M 1.16 3.91 N/A N/A 12,627 14,675 431,357 733,932 2013-03-19 $55.06 $56.50 18.1% 5.2% 17.7% 25.7% 18.4% 3.6% 0.2% -44.6M 654.1M -14.7M 1.31 3.63 N/A N/A 17,499 22,905 439,028 740,564 2013-03-20 $54.74 $56.50 18.3% 5.2% 16.0% 26.2% 17.9% 3.5% 0.2% -48.5M 763.7M -14.7M 1.37 3.76 N/A N/A 16,087 22,061 446,762 749,409 2013-03-21 $53.85 $56.50 19.6% 5.6% 16.1% 29.7% 20.0% 4.0% -0.1% -55.1M 1.02B -14.6M 2.03 3.45 N/A N/A 21,016 42,624 454,653 756,972 2013-03-22 $53.70 $56.50 20.2% 5.8% 15.6% 31.5% 20.5% 3.5% -0.5% -58.1M 1.09B -14.5M 1.46 4.20 N/A N/A 20,456 29,930 465,217 784,085 2013-03-25 $53.39 $56.00 18.4% 5.3% 15.2% 26.5% 18.5% 3.5% 0.1% -63.9M 1.18B -14.2M 1.09 3.92 N/A N/A 35,208 38,264 476,063 792,299 2013-03-26 $53.71 $56.00 17.4% 5.0% 15.1% 23.8% 17.5% 3.0% 0.2% -67.1M 1.14B -14.4M 0.80 2.95 N/A N/A 35,007 28,065 496,852 816,076 2013-03-27 $54.23 $55.00 16.4% 4.7% 15.3% 20.9% 16.8% 2.5% 0.6% -54.5M 916.2M -14.8M 1.68 2.99 N/A N/A 15,669 26,302 525,218 836,051 2013-03-28 $54.48 $55.00 15.5% 4.4% 15.4% 18.4% 16.3% 2.5% 0.9% -66.0M 811.6M -14.9M 0.66 3.27 N/A N/A 25,032 16,620 532,964 852,678
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