EWZ Options History — June 2013

In June 2013, EWZ traded between $43.07 and $51.48. ATM implied volatility averaged 28.9%, placing in the 60.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.0% (HV 20d: 21.9%). Max pain ranged from $50.00 to $56.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.48.

Notable Days

2013-06-26: Highest Volume — 230,518 contracts
2013-06-12: Largest IV drop — 31.9% change
2013-06-24: Highest IV Rank — 79.6%
2013-06-24: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.04	$43.07	$51.48	$51.48	$43.86
Max Pain	$52.20	$50.00	$56.00	$56.00	$54.00
ATM IV	28.9%	23.9%	35.2%	27.8%	26.8%
Expected Move	7.5%	4.0%	10.1%	4.4%	8.1%
HV 20d	21.9%	18.2%	26.4%	18.7%	25.1%
HV 60d	20.5%	18.5%	22.9%	18.5%	22.9%
IV Rank	60.2%	45.5%	79.6%	53.0%	54.0%
IV Percentile	86.6%	63.9%	99.2%	84.1%	83.3%
Term Structure	0.4%	-3.2%	10.1%	7.0%	-0.3%
VWIV	28.0%	19.8%	36.7%	24.0%	30.0%
Skew 25d	6.8%	4.2%	8.0%	7.5%	6.8%
Skew 10d	12.3%	7.2%	17.0%	11.2%	15.1%
Call IV 25d	24.6%	16.8%	33.0%	16.8%	25.8%
Put IV 25d	31.3%	24.3%	40.2%	24.3%	32.6%
Bid-Ask Spread %	6.54	3.91	10.62	7.23	4.91
Gamma HHI	0.10	0.08	0.14	0.09	0.09
Net GEX	-54.1M	-97.5M	-14.7M	-97.5M	-30.9M
Net DEX	2.73B	1.88B	3.74B	1.88B	2.55B
Net VEX	-11.8M	-13.5M	-9.8M	-13.0M	-10.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.82	2.50	1.74	2.50
Total Volume	101,608.85	44,630	230,518	62,838	44,630
Total OI	1,902,677.8	1,637,316	2,243,205	1,714,792	1,836,161

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
2013-06-03	$51.48	$56.00	27.8%	4.4%	18.7%	53.0%	24.0%	7.5%	7.0%	-97.5M	1.88B	-13.0M	1.74	7.23	N/A	N/A	22,964	39,874	700,808	1,013,984
2013-06-04	$51.13	$56.00	28.7%	5.6%	18.7%	59.8%	19.8%	6.7%	3.6%	-88.2M	1.92B	-13.5M	1.67	7.14	N/A	N/A	27,413	45,721	713,758	1,003,526
2013-06-05	$50.15	$55.50	31.4%	6.0%	18.2%	68.1%	23.4%	7.6%	3.9%	-83.6M	2.18B	-13.3M	2.03	6.32	N/A	N/A	27,447	55,783	722,159	1,019,488
2013-06-06	$50.41	$55.50	26.4%	4.0%	18.4%	52.8%	22.8%	8.0%	10.1%	-89.0M	2.15B	-13.0M	1.86	6.61	N/A	N/A	46,164	85,655	734,588	1,020,544
2013-06-07	$49.73	$52.00	25.7%	7.0%	18.6%	50.7%	25.0%	6.5%	0.2%	-76.5M	2.61B	-12.8M	1.90	7.42	N/A	N/A	37,875	71,971	769,455	1,082,596
2013-06-10	$49.19	$51.00	27.6%	7.0%	18.7%	56.7%	25.6%	7.1%	-0.6%	-79.0M	2.68B	-12.6M	1.38	7.42	N/A	N/A	44,564	61,581	780,930	1,092,016
2013-06-11	$48.23	$52.00	35.2%	7.4%	19.3%	79.6%	27.1%	8.0%	-0.8%	-67.9M	2.91B	-12.3M	1.01	7.09	N/A	N/A	61,982	62,362	805,103	1,124,539
2013-06-12	$47.29	$51.00	23.9%	8.0%	19.9%	45.5%	27.8%	8.0%	-1.9%	-58.4M	3.02B	-12.0M	0.99	7.55	N/A	N/A	59,311	58,854	847,881	1,122,149
2013-06-13	$48.27	$52.00	26.4%	7.6%	22.1%	53.1%	26.7%	7.6%	-1.3%	-46.2M	2.89B	-12.5M	0.82	6.38	N/A	N/A	55,016	45,335	890,285	1,143,252
2013-06-14	$47.63	$51.00	26.2%	7.5%	22.1%	52.3%	27.7%	7.8%	0.1%	-54.7M	3.00B	-12.6M	2.32	6.56	N/A	N/A	18,011	41,700	921,017	1,157,967
2013-06-17	$47.38	$51.00	27.3%	7.8%	21.9%	55.8%	27.9%	5.7%	-1.5%	-48.7M	3.14B	-12.2M	1.63	6.67	N/A	N/A	20,133	32,884	911,943	1,164,029
2013-06-18	$47.09	$51.00	26.1%	7.5%	21.1%	52.1%	27.1%	5.1%	-0.1%	-47.4M	3.23B	-12.2M	1.23	4.57	N/A	N/A	44,780	55,211	924,326	1,175,320
2013-06-19	$45.39	$51.00	27.7%	7.9%	22.8%	56.9%	27.3%	5.2%	-0.6%	-52.3M	3.50B	-11.0M	0.87	8.08	N/A	N/A	53,440	46,262	944,687	1,177,115
2013-06-20	$43.94	$51.00	33.1%	9.5%	24.2%	73.3%	34.4%	7.5%	-3.2%	-42.4M	3.71B	-10.3M	1.35	10.62	N/A	N/A	86,191	116,545	973,849	1,192,222
2013-06-21	$43.94	$50.00	31.4%	9.0%	24.4%	68.2%	32.4%	7.4%	-2.1%	-30.7M	3.74B	-10.4M	1.21	8.62	N/A	N/A	37,302	45,230	1,017,631	1,225,574
2013-06-24	$43.07	$50.00	35.2%	10.1%	24.3%	79.6%	36.7%	7.2%	-1.7%	-26.2M	2.45B	-9.8M	1.54	5.12	N/A	N/A	39,253	60,598	744,445	892,871
2013-06-25	$43.77	$50.00	32.0%	9.2%	26.2%	69.9%	32.2%	4.5%	-1.2%	-24.2M	2.37B	-10.3M	1.49	3.97	N/A	N/A	37,199	55,549	768,081	921,945
2013-06-26	$44.58	$50.00	29.1%	8.4%	26.4%	61.3%	30.1%	4.2%	-0.8%	-14.7M	2.23B	-10.8M	1.02	4.60	N/A	N/A	114,211	116,307	788,122	934,833
2013-06-27	$44.29	$54.00	29.4%	8.4%	26.2%	62.0%	32.2%	6.7%	-0.5%	-23.1M	2.40B	-11.0M	1.11	3.91	N/A	N/A	26,927	29,942	806,576	987,781
2013-06-28	$43.86	$54.00	26.8%	8.1%	25.1%	54.0%	30.0%	6.8%	-0.3%	-30.9M	2.55B	-10.7M	2.50	4.91	N/A	N/A	12,751	31,879	822,902	1,013,259