EWZ Options History — April 2013

In April 2013, EWZ traded between $52.44 and $55.71. ATM implied volatility averaged 19.4%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.9% (HV 20d: 18.4%). Max pain ranged from $53.50 to $55.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.25.

Notable Days

2013-04-11: Highest Volume — 90,840 contracts
2013-04-15: Largest IV spike — 21.1% change
2013-04-17: Highest IV Rank — 36.5%
2013-04-17: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.95	$52.44	$55.71	$53.97	$55.15
Max Pain	$54.41	$53.50	$55.00	$55.00	$54.00
ATM IV	19.4%	17.4%	21.9%	18.5%	20.7%
Expected Move	5.3%	4.8%	6.3%	4.8%	5.0%
HV 20d	18.4%	12.0%	23.5%	15.7%	23.5%
HV 60d	15.5%	13.2%	17.9%	13.3%	17.9%
IV Rank	29.2%	23.7%	36.5%	26.7%	33.0%
IV Percentile	26.7%	14.3%	41.3%	20.2%	38.1%
Term Structure	-2.6%	-5.3%	0.7%	0.5%	-3.3%
VWIV	19.1%	17.1%	24.4%	18.9%	17.7%
Skew 25d	3.2%	2.1%	4.8%	2.8%	2.9%
Skew 10d	6.6%	4.6%	10.9%	5.9%	5.9%
Call IV 25d	17.3%	15.9%	20.3%	16.1%	16.2%
Put IV 25d	20.5%	18.6%	24.9%	18.9%	19.1%
Bid-Ask Spread %	5.24	3.33	10.23	6.70	4.82
Gamma HHI	0.08	0.07	0.13	0.08	0.08
Net GEX	-61.6M	-104.6M	-34.7M	-61.4M	-34.7M
Net DEX	1.04B	364.4M	1.73B	1.14B	445.5M
Net VEX	-14.5M	-15.1M	-14.1M	-14.4M	-14.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.34	2.49	0.82	0.68
Total Volume	40,659.136	19,319	90,840	26,146	38,792
Total OI	1,463,986.455	1,348,515	1,617,076	1,387,333	1,444,140

Daily Data (22 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
2013-04-01	$53.97	$55.00	18.5%	4.8%	15.7%	26.7%	18.9%	2.8%	0.5%	-61.4M	1.14B	-14.4M	0.82	6.70	N/A	N/A	14,381	11,765	531,481	855,852
2013-04-02	$53.59	$55.00	19.0%	4.8%	15.6%	28.1%	17.8%	2.8%	0.7%	-64.6M	1.26B	-14.2M	1.04	3.33	N/A	N/A	11,842	12,301	543,722	854,655
2013-04-03	$53.35	$55.00	19.9%	4.8%	15.5%	30.8%	17.7%	2.9%	0.5%	-68.1M	1.29B	-14.2M	2.19	3.59	N/A	N/A	9,269	20,271	549,125	861,569
2013-04-04	$53.23	$55.00	18.4%	5.0%	12.1%	26.5%	17.1%	3.0%	0.4%	-69.2M	1.34B	-14.2M	2.43	3.99	N/A	N/A	11,326	27,517	549,929	871,243
2013-04-05	$54.11	$55.00	17.4%	5.1%	12.4%	23.7%	17.9%	2.8%	-2.6%	-59.8M	1.03B	-14.9M	1.83	4.82	N/A	N/A	18,315	33,512	561,993	889,250
2013-04-08	$54.07	$54.50	20.4%	5.0%	12.0%	32.1%	17.9%	2.9%	-2.7%	-65.0M	1.07B	-14.8M	0.73	4.66	N/A	N/A	11,181	8,138	570,335	911,432
2013-04-09	$55.14	$54.50	19.9%	4.9%	14.4%	30.6%	17.6%	2.5%	-2.7%	-47.3M	594.8M	-15.0M	1.55	4.21	N/A	N/A	12,479	19,313	578,040	911,381
2013-04-10	$55.71	$54.50	17.5%	5.0%	15.0%	24.1%	18.3%	2.1%	-2.2%	-40.1M	364.4M	-15.1M	0.70	4.45	N/A	N/A	31,564	22,191	578,683	919,546
2013-04-11	$55.20	$55.00	17.4%	5.0%	14.6%	23.7%	17.8%	2.3%	-2.2%	-51.6M	585.0M	-15.0M	2.49	5.31	N/A	N/A	26,056	64,784	587,618	929,613
2013-04-12	$54.98	$55.00	17.5%	5.0%	14.6%	24.1%	18.5%	2.5%	-3.2%	-69.3M	641.9M	-15.1M	1.27	5.57	N/A	N/A	10,061	12,827	584,106	948,272
2013-04-15	$52.91	$55.00	21.3%	6.1%	19.7%	34.5%	22.4%	4.2%	-5.3%	-81.9M	1.53B	-14.6M	1.72	4.07	N/A	N/A	20,196	34,764	581,566	946,503
2013-04-16	$53.71	$54.00	19.5%	5.6%	20.6%	29.7%	19.8%	3.4%	-3.1%	-77.9M	1.28B	-14.5M	0.67	6.55	N/A	N/A	28,166	18,918	589,442	953,635
2013-04-17	$52.51	$54.00	21.9%	6.3%	21.9%	36.5%	23.5%	4.3%	-5.0%	-80.7M	1.69B	-14.3M	2.15	5.77	N/A	N/A	19,592	42,176	606,567	957,495
2013-04-18	$52.44	$54.00	21.9%	6.3%	21.9%	36.4%	24.4%	4.8%	-4.5%	-85.2M	1.73B	-14.2M	1.25	4.04	N/A	N/A	32,126	40,108	607,462	968,737
2013-04-19	$53.20	$54.00	20.0%	5.7%	21.9%	30.9%	19.7%	3.9%	-3.1%	-104.6M	1.58B	-14.1M	1.43	6.03	N/A	N/A	8,101	11,611	627,708	989,368
2013-04-22	$53.12	$54.00	19.6%	5.6%	21.9%	29.9%	20.4%	4.5%	-4.2%	-59.9M	1.18B	-14.1M	0.74	10.23	N/A	N/A	11,129	8,247	488,949	859,566
2013-04-23	$53.76	$53.50	18.9%	5.4%	22.3%	28.0%	18.5%	2.9%	-2.9%	-54.1M	980.5M	-14.1M	0.34	4.76	N/A	N/A	54,705	18,688	493,155	860,398
2013-04-24	$54.29	$54.00	18.2%	5.2%	22.4%	25.8%	18.0%	2.7%	-3.5%	-39.2M	699.4M	-14.6M	0.74	8.40	N/A	N/A	12,913	9,504	524,690	867,460
2013-04-25	$54.56	$54.00	18.0%	5.2%	22.2%	25.3%	17.8%	3.0%	-2.4%	-38.2M	660.2M	-14.5M	0.85	5.49	N/A	N/A	18,817	15,949	527,171	875,002
2013-04-26	$53.72	$54.00	19.6%	5.4%	22.9%	29.8%	20.2%	3.4%	-4.0%	-51.7M	925.9M	-14.5M	0.94	4.74	N/A	N/A	12,710	11,988	535,847	886,108
2013-04-29	$54.16	$54.00	20.3%	5.2%	22.8%	31.7%	17.5%	3.3%	-2.5%	-49.9M	856.5M	-14.2M	0.92	3.76	N/A	N/A	18,864	17,344	538,886	890,002
2013-04-30	$55.15	$54.00	20.7%	5.0%	23.5%	33.0%	17.7%	2.9%	-3.3%	-34.7M	445.5M	-14.6M	0.68	4.82	N/A	N/A	23,056	15,736	541,355	902,785