EWZ Options History — July 2013

In July 2013, EWZ traded between $41.46 and $45.16. ATM implied volatility averaged 28.3%, placing in the 58.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 1.3% (HV 20d: 27.1%). Max pain ranged from $42.00 to $54.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 2.12.

Notable Days

2013-07-23: Highest Volume — 196,740 contracts
2013-07-02: Largest IV spike — 26.9% change
2013-07-08: Highest IV Rank — 87.4%
2013-07-02: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.33	$41.46	$45.16	$43.79	$43.50
Max Pain	$44.09	$42.00	$54.00	$54.00	$44.00
ATM IV	28.3%	22.7%	37.7%	28.1%	30.8%
Expected Move	7.7%	6.5%	9.4%	7.9%	7.4%
HV 20d	27.1%	23.9%	31.3%	24.2%	23.9%
HV 60d	23.3%	21.9%	24.0%	22.5%	23.7%
IV Rank	58.9%	41.7%	87.4%	58.2%	66.3%
IV Percentile	82.4%	56.7%	99.2%	88.1%	92.9%
Term Structure	-0.5%	-1.5%	0.9%	-0.3%	-0.4%
VWIV	28.3%	23.8%	35.5%	29.1%	27.0%
Skew 25d	6.0%	4.1%	9.0%	7.0%	4.1%
Skew 10d	12.4%	8.0%	18.8%	14.1%	9.6%
Call IV 25d	24.4%	21.1%	29.0%	25.3%	23.5%
Put IV 25d	30.3%	25.4%	37.9%	32.3%	27.6%
Bid-Ask Spread %	4.10	2.97	6.03	4.45	3.76
Gamma HHI	0.11	0.09	0.12	0.10	0.12
Net GEX	-33.4M	-53.3M	-16.9M	-30.8M	-53.3M
Net DEX	2.43B	1.66B	2.88B	2.54B	2.29B
Net VEX	-11.1M	-13.1M	-9.2M	-10.6M	-12.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.12	1.00	5.83	1.63	1.42
Total Volume	70,873.364	27,680	196,740	30,815	61,817
Total OI	1,962,694.455	1,673,220	2,219,368	1,822,384	1,973,566

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
2013-07-01	$43.79	$54.00	28.1%	7.9%	24.2%	58.2%	29.1%	7.0%	-0.3%	-30.8M	2.54B	-10.6M	1.63	4.45	N/A	N/A	11,700	19,115	816,304	1,006,080
2013-07-02	$42.33	$54.00	35.7%	9.4%	25.9%	81.2%	35.4%	8.8%	-1.5%	-34.7M	2.73B	-9.6M	2.03	4.23	N/A	N/A	38,528	78,362	821,097	1,006,981
2013-07-03	$42.04	$54.00	34.4%	9.3%	25.6%	77.4%	33.4%	9.0%	-1.0%	-37.1M	2.80B	-9.7M	2.98	3.98	N/A	N/A	13,771	41,059	847,118	1,053,549
2013-07-05	$41.47	$43.00	32.7%	9.2%	25.1%	72.0%	35.5%	8.4%	-1.5%	-39.1M	2.88B	-9.2M	2.57	3.25	N/A	N/A	24,597	63,288	854,067	1,060,248
2013-07-08	$41.46	$42.00	37.7%	8.9%	25.3%	87.4%	33.3%	7.9%	-1.5%	-35.2M	2.85B	-9.3M	1.64	4.12	N/A	N/A	22,978	37,753	859,845	1,071,314
2013-07-09	$41.97	$42.00	34.3%	8.1%	26.4%	77.1%	28.9%	6.6%	-0.8%	-33.4M	2.81B	-9.5M	1.10	3.78	N/A	N/A	21,699	23,783	876,727	1,100,461
2013-07-10	$41.52	$42.00	27.4%	7.9%	26.1%	56.0%	29.8%	6.7%	-0.7%	-36.9M	2.87B	-9.3M	1.00	4.03	N/A	N/A	33,350	33,331	888,236	1,110,950
2013-07-11	$42.94	$42.00	26.9%	7.7%	29.4%	54.5%	27.5%	5.8%	-0.8%	-25.4M	2.68B	-10.3M	1.42	4.11	N/A	N/A	32,501	46,297	913,261	1,136,782
2013-07-12	$42.29	$42.00	28.6%	8.2%	28.0%	59.7%	29.3%	6.2%	-1.2%	-32.5M	2.78B	-10.2M	5.83	3.77	N/A	N/A	10,906	63,573	928,001	1,158,390
2013-07-15	$43.48	$42.00	26.4%	7.6%	30.4%	53.1%	27.8%	4.9%	-0.7%	-28.8M	2.62B	-10.9M	1.79	3.56	N/A	N/A	24,001	42,895	924,670	1,184,620
2013-07-16	$43.29	$42.00	27.2%	7.8%	30.4%	55.4%	28.6%	5.5%	-1.2%	-28.5M	2.64B	-10.7M	2.14	3.86	N/A	N/A	22,061	47,228	934,161	1,181,804
2013-07-17	$43.99	$42.00	26.6%	7.6%	31.3%	53.5%	28.3%	5.8%	-0.9%	-21.4M	2.46B	-11.6M	1.06	2.97	N/A	N/A	30,059	31,735	941,729	1,207,953
2013-07-18	$44.20	$42.00	26.2%	7.5%	28.8%	52.3%	26.4%	5.4%	-0.6%	-16.9M	2.42B	-11.7M	3.22	3.56	N/A	N/A	17,288	55,672	952,967	1,218,404
2013-07-19	$43.72	$42.00	25.3%	7.2%	26.6%	49.5%	27.1%	5.1%	-0.3%	-29.3M	2.61B	-11.4M	1.50	3.70	N/A	N/A	21,120	31,591	963,671	1,255,697
2013-07-22	$44.53	$43.00	23.0%	6.6%	27.4%	42.6%	24.2%	4.4%	0.4%	-27.1M	1.74B	-11.9M	1.17	4.74	N/A	N/A	27,708	32,531	661,813	1,011,407
2013-07-23	$45.16	$43.00	23.1%	6.6%	26.7%	43.0%	23.8%	4.7%	0.3%	-25.4M	1.66B	-12.2M	1.35	5.97	N/A	N/A	83,798	112,942	677,256	1,031,845
2013-07-24	$44.29	$43.00	25.1%	7.2%	27.2%	48.9%	27.9%	5.9%	-0.5%	-32.1M	1.96B	-12.6M	3.73	6.03	N/A	N/A	22,133	82,589	735,776	1,108,895
2013-07-25	$44.76	$43.00	22.7%	6.5%	26.7%	41.7%	26.0%	4.2%	0.8%	-37.1M	1.88B	-13.0M	2.39	3.65	N/A	N/A	22,561	53,828	735,645	1,170,285
2013-07-26	$44.66	$43.00	23.5%	6.5%	26.6%	44.1%	24.1%	4.6%	0.9%	-35.5M	1.89B	-13.1M	1.83	4.98	N/A	N/A	19,293	35,335	751,260	1,160,352
2013-07-29	$44.20	$43.00	28.4%	7.1%	26.6%	59.1%	24.2%	4.9%	-0.1%	-43.8M	2.03B	-12.9M	3.72	4.01	N/A	N/A	5,860	21,820	748,675	1,181,367
2013-07-30	$43.67	$43.00	29.3%	7.0%	27.0%	61.8%	25.2%	5.2%	0.3%	-50.2M	2.22B	-12.6M	1.10	3.77	N/A	N/A	17,544	19,214	753,042	1,203,007
2013-07-31	$43.50	$44.00	30.8%	7.4%	23.9%	66.3%	27.0%	4.1%	-0.4%	-53.3M	2.29B	-12.7M	1.42	3.76	N/A	N/A	25,552	36,265	759,334	1,214,232