EWZ Options History — May 2013

In May 2013, EWZ traded between $50.89 and $55.67. ATM implied volatility averaged 16.6%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 1.1% (HV 20d: 17.8%). Max pain ranged from $54.00 to $56.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.67.

Notable Days

2013-05-29: Highest Volume — 98,108 contracts
2013-05-31: Largest IV spike — 69.7% change
2013-05-31: Highest IV Rank — 44.6%
2013-05-31: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.40	$50.89	$55.67	$54.47	$50.89
Max Pain	$55.73	$54.00	$56.00	$54.00	$56.00
ATM IV	16.6%	11.8%	24.9%	24.3%	24.9%
Expected Move	4.4%	3.4%	5.5%	5.3%	5.5%
HV 20d	17.8%	12.1%	23.9%	23.9%	18.0%
HV 60d	17.9%	17.1%	18.7%	17.9%	18.7%
IV Rank	21.5%	7.8%	44.6%	43.0%	44.6%
IV Percentile	16.4%	0.4%	71.8%	61.1%	71.8%
Term Structure	4.6%	-5.2%	11.1%	-5.2%	4.7%
VWIV	17.6%	12.8%	22.4%	20.2%	22.4%
Skew 25d	5.7%	1.4%	9.1%	3.4%	9.1%
Skew 10d	8.9%	5.2%	15.2%	7.0%	15.2%
Call IV 25d	14.7%	11.7%	17.9%	17.5%	17.9%
Put IV 25d	20.4%	17.8%	27.1%	20.8%	27.1%
Bid-Ask Spread %	6.94	4.65	8.31	4.79	7.39
Gamma HHI	0.09	0.06	0.12	0.08	0.08
Net GEX	-56.1M	-88.5M	-22.3M	-44.5M	-87.2M
Net DEX	758.2M	279.3M	2.03B	664.5M	2.03B
Net VEX	-14.5M	-15.2M	-13.4M	-14.9M	-13.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.67	0.16	5.42	0.97	1.86
Total Volume	46,465	12,445	98,108	41,815	83,596
Total OI	1,582,661.409	1,458,112	1,699,648	1,458,112	1,699,648

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
2013-05-01	$54.47	$54.00	24.3%	5.3%	23.9%	43.0%	20.2%	3.4%	-5.2%	-44.5M	664.5M	-14.9M	0.97	4.79	N/A	N/A	21,205	20,610	549,950	908,162
2013-05-02	$54.68	$54.00	19.4%	5.3%	23.9%	29.3%	18.7%	3.3%	-2.8%	-46.6M	713.0M	-14.5M	1.29	4.65	N/A	N/A	14,106	18,198	550,856	916,916
2013-05-03	$54.81	$54.00	17.2%	4.9%	23.3%	23.1%	18.0%	2.8%	-2.6%	-43.7M	601.2M	-14.8M	0.86	5.50	N/A	N/A	6,674	5,771	559,895	927,998
2013-05-06	$54.74	$56.00	20.0%	4.5%	23.3%	31.0%	18.9%	6.7%	5.0%	-46.8M	597.0M	-14.8M	1.76	6.19	N/A	N/A	13,699	24,177	558,664	925,356
2013-05-07	$55.57	$56.00	18.1%	4.5%	22.8%	25.6%	16.7%	5.5%	3.3%	-28.0M	322.0M	-14.8M	0.84	6.39	N/A	N/A	22,743	19,157	567,392	940,819
2013-05-08	$55.67	$56.00	16.6%	4.5%	22.5%	21.5%	16.8%	4.6%	2.5%	-22.3M	279.3M	-14.5M	1.59	6.41	N/A	N/A	15,781	25,161	578,131	948,612
2013-05-09	$55.23	$56.00	17.3%	4.5%	22.5%	23.3%	18.6%	6.2%	5.2%	-36.0M	429.9M	-15.0M	1.93	6.45	N/A	N/A	19,781	38,099	583,599	967,327
2013-05-10	$54.81	$56.00	16.9%	4.5%	22.6%	22.4%	15.6%	6.1%	4.6%	-49.6M	625.1M	-15.0M	2.31	6.12	N/A	N/A	7,644	17,623	595,030	980,185
2013-05-13	$54.73	$56.00	19.5%	4.9%	17.5%	29.6%	20.0%	6.0%	3.6%	-52.1M	664.4M	-14.7M	3.25	6.92	N/A	N/A	12,505	40,631	592,167	979,424
2013-05-14	$54.40	$56.00	18.4%	4.1%	17.0%	26.4%	15.6%	8.7%	10.6%	-63.4M	634.6M	-14.1M	0.38	6.93	N/A	N/A	17,051	6,418	598,275	997,928
2013-05-15	$54.43	$56.00	17.9%	4.4%	14.6%	25.2%	17.4%	7.0%	6.3%	-64.6M	742.2M	-14.7M	0.18	7.76	N/A	N/A	25,409	4,579	609,649	1,000,268
2013-05-16	$54.42	$56.00	13.1%	3.8%	14.6%	11.6%	18.6%	8.2%	11.1%	-68.1M	645.6M	-14.1M	1.92	8.12	N/A	N/A	24,717	47,430	627,233	998,633
2013-05-17	$54.46	$56.00	14.0%	4.0%	13.8%	14.2%	17.1%	4.8%	4.6%	-73.3M	872.8M	-14.9M	1.52	8.16	N/A	N/A	15,630	23,721	649,008	1,028,490
2013-05-20	$54.93	$56.00	11.8%	3.4%	14.0%	7.8%	12.9%	6.2%	9.7%	-57.8M	514.9M	-14.4M	0.16	8.31	N/A	N/A	52,248	8,559	601,652	959,987
2013-05-21	$55.27	$56.00	12.7%	3.6%	13.6%	10.4%	18.1%	4.6%	5.2%	-50.9M	508.5M	-15.1M	1.42	7.76	N/A	N/A	24,189	34,304	644,784	961,302
2013-05-22	$54.91	$56.00	12.0%	3.4%	13.5%	8.4%	12.8%	6.0%	10.2%	-52.5M	474.8M	-14.5M	1.47	6.72	N/A	N/A	10,526	15,519	659,897	977,802
2013-05-23	$54.65	$56.00	14.9%	4.3%	13.5%	16.7%	16.3%	5.0%	4.7%	-62.8M	778.0M	-15.2M	5.42	7.82	N/A	N/A	9,207	49,910	665,042	979,676
2013-05-24	$54.58	$56.00	15.5%	4.4%	12.2%	18.3%	17.5%	1.4%	0.5%	-62.4M	832.2M	-14.5M	2.79	7.54	N/A	N/A	7,947	22,138	668,062	952,860
2013-05-28	$54.31	$56.00	12.3%	3.5%	12.1%	9.2%	14.9%	5.2%	6.8%	-54.9M	773.5M	-13.9M	1.09	6.72	N/A	N/A	9,438	10,256	666,106	952,440
2013-05-29	$52.40	$56.00	14.5%	4.1%	16.0%	15.4%	20.7%	7.3%	6.5%	-79.1M	1.47B	-13.9M	1.83	7.87	N/A	N/A	34,657	63,451	667,971	957,812
2013-05-30	$52.37	$56.00	14.6%	4.2%	15.5%	15.9%	18.4%	6.9%	6.0%	-88.5M	1.51B	-13.9M	1.95	8.10	N/A	N/A	26,320	51,445	681,366	982,177
2013-05-31	$50.89	$56.00	24.9%	5.5%	18.0%	44.6%	22.4%	9.1%	4.7%	-87.2M	2.03B	-13.4M	1.86	7.39	N/A	N/A	29,242	54,354	695,913	1,003,735