EWZ Options History — December 2013

In December 2013, EWZ traded between $43.41 and $45.67. ATM implied volatility averaged 23.0%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 0.3% (HV 20d: 22.8%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.87.

Notable Days

2013-12-17: Highest Volume — 304,866 contracts
2013-12-06: Largest IV drop — 6.5% change
2013-12-03: Highest IV Rank — 58.2%
2013-12-11: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.57	$43.41	$45.67	$45.33	$44.68
Max Pain	$47.00	$47.00	$47.00	$47.00	$47.00
ATM IV	23.0%	20.8%	25.7%	25.2%	21.6%
Expected Move	7.5%	6.9%	7.7%	7.7%	6.9%
HV 20d	22.8%	18.6%	25.7%	25.7%	18.6%
HV 60d	21.3%	20.1%	23.4%	23.4%	20.8%
IV Rank	45.6%	34.7%	58.2%	56.3%	38.0%
IV Percentile	53.1%	40.5%	71.8%	67.5%	45.2%
Term Structure	0.9%	-0.4%	2.7%	0.8%	0.1%
VWIV	25.8%	23.1%	28.8%	26.1%	25.4%
Skew 25d	4.3%	2.2%	6.7%	5.7%	2.6%
Skew 10d	6.8%	3.4%	9.5%	7.9%	5.0%
Call IV 25d	21.8%	19.7%	24.6%	23.2%	20.8%
Put IV 25d	26.1%	22.5%	29.3%	28.9%	23.5%
Bid-Ask Spread %	8.06	6.04	9.41	6.04	8.63
Gamma HHI	0.11	0.09	0.12	0.12	0.11
Net GEX	-83.8M	-101.6M	-62.0M	-90.4M	-62.0M
Net DEX	3.41B	2.90B	4.08B	3.17B	2.90B
Net VEX	-12.2M	-13.3M	-11.2M	-12.1M	-11.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.87	0.70	4.30	1.15	2.51
Total Volume	84,314.333	3,717	304,866	111,708	18,846
Total OI	2,690,173.857	2,333,796	3,081,058	2,508,356	2,334,663

Daily Data (21 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
2013-12-02	$45.33	$47.00	25.2%	7.7%	25.7%	56.3%	26.1%	5.7%	0.8%	-90.4M	3.17B	-12.1M	1.15	6.04	N/A	N/A	52,064	59,644	993,747	1,514,609
2013-12-03	$44.72	$47.00	25.7%	7.6%	25.4%	58.2%	26.6%	5.3%	-0.4%	-94.1M	3.37B	-11.9M	1.47	7.25	N/A	N/A	76,978	112,830	1,016,195	1,533,206
2013-12-04	$44.51	$47.00	24.9%	7.6%	23.9%	55.4%	25.7%	5.9%	0.6%	-96.5M	3.55B	-12.8M	2.00	7.63	N/A	N/A	45,946	91,712	1,086,250	1,618,441
2013-12-05	$44.62	$47.00	25.1%	7.7%	24.0%	56.0%	24.8%	6.5%	1.1%	-97.2M	3.53B	-13.0M	1.51	8.93	N/A	N/A	45,834	69,383	1,110,839	1,660,649
2013-12-06	$45.22	$47.00	23.5%	7.5%	23.2%	50.4%	23.1%	5.5%	1.6%	-87.8M	3.34B	-13.3M	1.43	8.12	N/A	N/A	23,714	33,897	1,135,603	1,689,387
2013-12-09	$45.52	$47.00	22.6%	7.4%	23.4%	47.3%	24.2%	6.1%	2.0%	-80.3M	3.11B	-13.1M	3.00	7.51	N/A	N/A	6,247	18,746	1,133,582	1,647,039
2013-12-10	$45.67	$47.00	22.1%	7.5%	23.4%	45.5%	25.6%	6.7%	2.7%	-81.1M	3.06B	-13.0M	4.24	7.76	N/A	N/A	24,865	105,540	1,135,012	1,651,360
2013-12-11	$44.26	$47.00	23.2%	7.7%	25.5%	49.5%	28.5%	6.3%	1.2%	-89.6M	3.61B	-12.6M	3.50	8.31	N/A	N/A	16,990	59,487	1,147,456	1,673,310
2013-12-12	$44.46	$47.00	23.9%	7.7%	25.0%	52.0%	24.2%	5.2%	0.9%	-91.6M	3.56B	-12.7M	1.06	8.00	N/A	N/A	33,137	35,115	1,156,734	1,695,060
2013-12-13	$44.34	$47.00	23.4%	7.7%	23.3%	44.6%	25.2%	5.9%	1.6%	-89.2M	3.66B	-12.6M	4.30	7.46	N/A	N/A	16,615	71,464	1,173,350	1,711,903
2013-12-16	$44.48	$47.00	24.3%	7.7%	22.5%	48.2%	0.0%	4.3%	1.2%	-96.7M	3.61B	-12.5M	1.07	7.17	N/A	N/A	28,900	30,826	1,154,566	1,739,533
2013-12-17	$44.54	$47.00	24.3%	7.5%	21.6%	48.3%	0.0%	2.3%	0.9%	-101.6M	3.59B	-12.2M	0.70	7.68	N/A	N/A	179,718	125,148	1,174,444	1,749,473
2013-12-18	$44.69	$47.00	23.3%	7.4%	21.2%	44.5%	28.8%	2.8%	1.4%	-79.4M	3.91B	-12.6M	0.76	9.03	N/A	N/A	45,834	34,724	1,255,045	1,826,013
2013-12-19	$44.06	$47.00	22.3%	7.4%	21.0%	40.6%	24.8%	2.9%	0.5%	-96.4M	3.86B	-11.9M	0.89	7.13	N/A	N/A	44,594	39,595	1,276,109	1,747,698
2013-12-20	$43.41	$47.00	22.6%	7.4%	21.4%	41.8%	25.6%	2.8%	0.7%	-87.9M	4.08B	-11.5M	1.94	8.67	N/A	N/A	29,916	58,009	1,273,917	1,733,490
2013-12-23	$44.10	$47.00	21.6%	7.3%	21.6%	37.8%	27.5%	3.3%	0.9%	-70.6M	3.22B	-11.5M	0.85	8.69	N/A	N/A	13,623	11,629	939,408	1,407,720
2013-12-24	$44.35	$47.00	21.0%	7.2%	21.5%	35.4%	25.3%	3.3%	1.0%	-68.8M	3.14B	-11.5M	1.43	8.87	N/A	N/A	1,532	2,185	945,200	1,406,573
2013-12-26	$43.98	$47.00	21.3%	7.3%	21.5%	36.5%	26.6%	2.2%	0.5%	-72.3M	3.21B	-11.2M	3.81	9.41	N/A	N/A	8,957	34,128	945,679	1,407,024
2013-12-27	$44.69	$47.00	20.8%	7.2%	22.3%	34.7%	26.9%	2.8%	0.6%	-62.3M	3.05B	-11.4M	0.80	8.48	N/A	N/A	18,466	14,848	950,806	1,408,762
2013-12-30	$44.37	$47.00	21.5%	7.1%	22.0%	37.4%	25.4%	2.7%	0.2%	-64.7M	3.06B	-11.2M	0.90	8.52	N/A	N/A	15,216	13,699	941,277	1,392,519
2013-12-31	$44.68	$47.00	21.6%	6.9%	18.6%	38.0%	25.4%	2.6%	0.1%	-62.0M	2.90B	-11.3M	2.51	8.63	N/A	N/A	5,374	13,472	948,839	1,385,824