EWZ Options History — September 2013

In September 2013, EWZ traded between $42.92 and $49.72. ATM implied volatility averaged 26.9%, placing in the 62.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.9% (HV 20d: 27.8%). Max pain ranged from $41.50 to $48.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.39.

Notable Days

2013-09-18: Highest Volume — 175,837 contracts
2013-09-09: Largest IV spike — 25.1% change
2013-09-03: Highest IV Rank — 89.1%
2013-09-03: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.07	$42.92	$49.72	$42.92	$47.91
Max Pain	$45.58	$41.50	$48.00	$45.00	$48.00
ATM IV	26.9%	23.4%	34.6%	34.6%	28.8%
Expected Move	7.4%	6.7%	8.4%	8.4%	7.5%
HV 20d	27.8%	26.5%	30.6%	26.7%	26.9%
HV 60d	26.5%	25.2%	27.3%	26.1%	25.7%
IV Rank	62.5%	50.2%	89.1%	89.1%	68.9%
IV Percentile	77.7%	60.7%	98.4%	98.4%	90.5%
Term Structure	-0.5%	-1.7%	0.4%	-0.8%	-0.7%
VWIV	26.3%	22.4%	29.4%	29.4%	25.4%
Skew 25d	4.5%	3.3%	7.2%	7.2%	4.5%
Skew 10d	9.2%	6.6%	14.6%	14.6%	8.7%
Call IV 25d	23.9%	21.6%	26.2%	26.2%	24.5%
Put IV 25d	28.4%	25.4%	33.5%	33.5%	29.0%
Bid-Ask Spread %	6.27	4.64	10.38	10.38	6.68
Gamma HHI	0.08	0.05	0.11	0.11	0.05
Net GEX	-20.2M	-45.8M	21.7M	-45.8M	-20.4M
Net DEX	1.13B	-63.7M	2.53B	2.53B	1.26B
Net VEX	-14.3M	-15.6M	-12.2M	-12.2M	-14.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	0.34	3.58	0.59	1.22
Total Volume	82,276.45	24,591	175,837	73,482	70,969
Total OI	2,286,415.85	1,951,818	2,670,419	2,215,900	2,030,971

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
2013-09-03	$42.92	$45.00	34.6%	8.4%	26.7%	89.1%	29.4%	7.2%	-0.8%	-45.8M	2.53B	-12.2M	0.59	10.38	N/A	N/A	46,158	27,324	880,175	1,335,725
2013-09-04	$43.22	$45.00	32.6%	7.9%	26.5%	82.2%	26.9%	6.5%	0.2%	-41.5M	2.43B	-12.5M	0.67	7.94	N/A	N/A	37,162	24,985	900,044	1,354,873
2013-09-05	$44.26	$45.00	27.4%	7.6%	27.5%	64.0%	27.6%	4.8%	0.2%	-33.1M	2.01B	-13.1M	0.94	10.36	N/A	N/A	32,244	30,470	896,979	1,360,594
2013-09-06	$45.29	$41.50	26.0%	7.7%	26.5%	59.1%	27.3%	5.3%	-0.7%	-22.2M	1.52B	-13.7M	0.86	4.92	N/A	N/A	36,422	31,484	909,680	1,371,009
2013-09-09	$46.93	$42.00	32.5%	7.6%	28.6%	81.8%	28.3%	4.6%	-1.1%	-12.7M	941.8M	-14.3M	1.47	4.85	N/A	N/A	46,069	67,855	918,857	1,373,828
2013-09-10	$47.03	$42.50	32.2%	7.7%	28.6%	80.9%	28.8%	5.0%	-1.0%	-19.4M	977.8M	-14.6M	1.52	5.32	N/A	N/A	44,196	67,381	930,337	1,405,561
2013-09-11	$46.81	$43.00	25.6%	7.4%	28.5%	57.7%	23.9%	4.5%	-0.7%	-21.1M	1.05B	-14.4M	2.45	5.26	N/A	N/A	24,529	60,145	939,327	1,440,755
2013-09-12	$46.27	$45.00	25.6%	7.3%	28.8%	57.6%	28.2%	4.5%	-0.5%	-29.5M	1.35B	-14.0M	2.05	5.93	N/A	N/A	17,160	35,208	950,875	1,477,057
2013-09-13	$46.67	$45.00	25.4%	7.3%	28.8%	57.2%	25.9%	4.2%	-0.8%	-27.3M	1.19B	-14.2M	1.73	4.64	N/A	N/A	23,540	40,818	957,737	1,493,276
2013-09-16	$46.73	$45.00	26.4%	7.6%	27.6%	60.6%	28.8%	4.4%	-1.4%	-31.7M	1.22B	-14.0M	2.22	4.65	N/A	N/A	28,861	63,980	944,803	1,503,497
2013-09-17	$47.32	$45.50	26.8%	7.7%	26.8%	62.1%	27.5%	3.9%	-1.7%	-33.5M	1.02B	-14.3M	1.20	4.81	N/A	N/A	49,778	59,526	954,618	1,533,219
2013-09-18	$49.72	$46.50	25.7%	7.4%	30.5%	58.1%	25.5%	3.3%	-0.8%	-8.2M	18.0M	-15.2M	0.52	4.76	N/A	N/A	115,834	60,003	989,656	1,568,081
2013-09-19	$49.55	$46.50	24.1%	6.9%	28.9%	52.5%	25.3%	3.9%	0.0%	21.7M	-63.7M	-15.6M	0.60	6.11	N/A	N/A	78,003	46,812	1,075,939	1,567,973
2013-09-20	$48.52	$46.50	25.7%	7.4%	30.6%	58.2%	27.3%	4.2%	-0.9%	-24.2M	309.9M	-15.2M	1.67	6.31	N/A	N/A	33,912	56,728	1,100,691	1,569,728
2013-09-23	$49.00	$47.50	24.4%	7.0%	27.7%	53.7%	24.0%	4.3%	0.2%	3.7M	707.2M	-15.2M	0.72	5.17	N/A	N/A	47,756	34,610	810,421	1,141,397
2013-09-24	$48.94	$48.00	23.4%	6.7%	26.5%	50.2%	22.4%	4.3%	0.4%	998.7K	756.1M	-14.7M	0.34	6.85	N/A	N/A	46,054	15,838	824,180	1,172,348
2013-09-25	$48.25	$48.00	23.8%	6.8%	26.7%	51.6%	23.5%	4.0%	0.3%	-16.4M	1.08B	-14.5M	1.22	8.18	N/A	N/A	31,075	37,843	796,532	1,176,739
2013-09-26	$48.20	$48.00	23.6%	6.8%	26.6%	50.8%	23.2%	3.5%	0.4%	-19.7M	1.11B	-14.6M	3.58	4.85	N/A	N/A	10,966	39,240	815,003	1,210,390
2013-09-27	$47.94	$48.00	24.2%	6.9%	26.8%	52.8%	26.0%	3.7%	0.2%	-23.3M	1.25B	-14.6M	2.28	7.35	N/A	N/A	7,492	17,099	821,961	1,223,481
2013-09-30	$47.91	$48.00	28.8%	7.5%	26.9%	68.9%	25.4%	4.5%	-0.7%	-20.4M	1.26B	-14.5M	1.22	6.68	N/A	N/A	32,023	38,946	815,274	1,215,697