EWZ Options History — November 2013

In November 2013, EWZ traded between $46.34 and $50.02. ATM implied volatility averaged 24.9%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 3.5% (HV 20d: 21.5%). Max pain ranged from $47.00 to $51.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.60.

Notable Days

2013-11-22: Highest Volume — 154,756 contracts
2013-11-05: Largest IV spike — 10.4% change
2013-11-20: Highest IV Rank — 61.2%
2013-11-27: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.84	$46.34	$50.02	$49.62	$46.95
Max Pain	$47.89	$47.00	$51.00	$50.50	$47.00
ATM IV	24.9%	22.4%	26.6%	22.5%	24.6%
Expected Move	7.1%	6.4%	7.5%	6.4%	7.5%
HV 20d	21.5%	17.1%	23.5%	17.1%	23.2%
HV 60d	23.3%	22.4%	24.4%	23.1%	22.7%
IV Rank	55.5%	46.8%	61.2%	47.1%	54.5%
IV Percentile	68.8%	54.4%	80.2%	54.8%	64.3%
Term Structure	-0.6%	-1.7%	0.2%	0.2%	-0.6%
VWIV	26.1%	22.1%	29.1%	25.0%	28.0%
Skew 25d	4.5%	2.8%	5.9%	4.1%	5.9%
Skew 10d	7.8%	5.2%	9.1%	8.3%	9.1%
Call IV 25d	23.2%	21.0%	24.5%	21.0%	22.7%
Put IV 25d	27.7%	25.0%	29.3%	25.1%	28.6%
Bid-Ask Spread %	6.27	3.39	9.08	6.85	4.53
Gamma HHI	0.09	0.06	0.12	0.06	0.10
Net GEX	-62.7M	-98.6M	-24.3M	-31.6M	-69.7M
Net DEX	2.07B	1.07B	2.72B	1.23B	2.56B
Net VEX	-13.7M	-14.5M	-12.6M	-14.3M	-13.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	0.42	4.02	2.27	1.54
Total Volume	67,279.6	15,321	154,756	60,994	15,321
Total OI	2,383,587.15	2,208,168	2,546,123	2,208,168	2,546,123

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
2013-11-01	$49.62	$50.50	22.5%	6.4%	17.1%	47.1%	25.0%	4.1%	0.2%	-31.6M	1.23B	-14.3M	2.27	6.85	N/A	N/A	18,667	42,327	902,083	1,306,085
2013-11-04	$50.02	$51.00	22.4%	6.4%	17.3%	46.8%	22.1%	4.0%	-0.4%	-24.3M	1.07B	-13.9M	3.26	8.91	N/A	N/A	15,186	49,514	906,562	1,323,507
2013-11-05	$48.59	$50.50	24.8%	7.1%	20.3%	54.9%	25.3%	4.7%	-0.4%	-53.0M	1.71B	-14.2M	1.78	8.05	N/A	N/A	22,717	40,474	917,891	1,367,631
2013-11-06	$48.59	$49.00	24.6%	7.0%	20.2%	54.2%	24.8%	4.5%	-0.3%	-56.1M	1.76B	-14.0M	0.42	7.07	N/A	N/A	54,164	22,889	927,560	1,389,253
2013-11-07	$47.32	$49.00	25.9%	7.4%	21.1%	58.9%	26.5%	3.9%	-0.5%	-71.8M	2.21B	-13.5M	2.10	7.53	N/A	N/A	21,971	46,097	901,902	1,395,942
2013-11-08	$47.02	$49.00	25.9%	7.4%	20.8%	58.8%	26.2%	3.9%	-0.8%	-98.6M	2.38B	-13.4M	4.02	5.22	N/A	N/A	22,234	89,383	913,029	1,417,592
2013-11-11	$46.95	$0.00	25.3%	7.1%	19.9%	56.6%	26.0%	3.6%	-1.0%	-80.1M	2.39B	-13.0M	3.60	4.93	N/A	N/A	9,059	32,646	919,128	1,420,291
2013-11-12	$46.34	$47.00	24.9%	7.2%	20.1%	55.5%	26.3%	3.8%	-0.5%	-85.7M	2.60B	-12.6M	2.07	3.57	N/A	N/A	29,753	61,632	925,158	1,413,797
2013-11-13	$46.92	$47.00	24.4%	7.1%	20.5%	53.7%	25.1%	3.4%	-0.8%	-86.0M	2.48B	-12.9M	1.13	7.13	N/A	N/A	24,689	27,863	944,841	1,452,002
2013-11-14	$47.96	$47.00	23.5%	7.0%	22.1%	50.5%	27.4%	3.2%	-0.3%	-75.8M	2.07B	-13.6M	1.88	7.65	N/A	N/A	29,531	55,525	952,113	1,463,851
2013-11-15	$48.60	$47.00	23.6%	7.0%	22.8%	50.9%	27.2%	2.8%	-0.7%	-56.2M	1.79B	-14.2M	0.66	7.88	N/A	N/A	52,574	34,557	973,063	1,509,824
2013-11-18	$49.28	$47.00	24.4%	7.0%	23.4%	53.6%	26.9%	5.5%	-0.5%	-30.2M	1.41B	-14.5M	0.52	3.46	N/A	N/A	32,317	16,788	906,374	1,425,880
2013-11-19	$48.39	$47.00	25.4%	7.1%	23.5%	57.1%	24.4%	4.8%	-0.8%	-48.0M	1.81B	-14.3M	0.70	9.08	N/A	N/A	41,992	29,512	914,371	1,432,124
2013-11-20	$47.60	$47.00	26.6%	7.2%	22.7%	61.2%	26.4%	5.1%	-1.7%	-60.7M	2.19B	-14.0M	1.21	3.91	N/A	N/A	25,011	30,323	940,721	1,451,653
2013-11-21	$47.44	$47.00	26.5%	7.3%	22.7%	61.1%	27.4%	5.1%	-0.9%	-61.0M	2.23B	-13.9M	1.73	7.54	N/A	N/A	30,404	52,727	957,058	1,460,957
2013-11-22	$48.13	$47.00	25.7%	7.2%	23.3%	58.3%	29.1%	5.5%	-0.0%	-52.4M	1.93B	-14.4M	0.75	4.19	N/A	N/A	88,671	66,085	978,256	1,501,126
2013-11-25	$47.46	$47.00	26.2%	7.4%	22.9%	60.1%	27.9%	4.7%	-0.9%	-62.5M	2.33B	-13.8M	0.69	8.19	N/A	N/A	14,378	9,882	985,045	1,503,601
2013-11-26	$47.07	$47.00	25.9%	7.4%	22.9%	58.8%	25.3%	5.3%	-0.6%	-70.8M	2.50B	-13.5M	0.77	3.39	N/A	N/A	21,920	16,914	994,636	1,513,180
2013-11-27	$46.50	$47.00	25.7%	7.5%	23.0%	58.1%	24.1%	5.4%	-0.7%	-80.0M	2.72B	-13.4M	0.82	6.37	N/A	N/A	27,386	22,509	999,355	1,518,178
2013-11-29	$46.95	$47.00	24.6%	7.5%	23.2%	54.5%	28.0%	5.9%	-0.6%	-69.7M	2.56B	-13.4M	1.54	4.53	N/A	N/A	6,030	9,291	1,013,637	1,532,486