EWZ Options History — January 2014

In January 2014, EWZ traded between $39.21 and $43.43. ATM implied volatility averaged 24.6%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.6% (HV 20d: 21.0%). 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 10 of 21 days. Put/call ratio averaged 2.07.

Notable Days

2014-01-29: Highest Volume — 260,383 contracts
2014-01-24: Largest IV spike — 12.1% change
2014-01-29: Highest IV Rank — 66.7%
2014-01-31: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.67	$39.21	$43.43	$43.19	$39.24
Max Pain	$47.00	$47.00	$47.00	$47.00	$47.00
ATM IV	24.6%	22.2%	29.1%	24.7%	28.4%
Expected Move	7.2%	6.9%	7.7%	7.2%	7.7%
HV 20d	21.0%	19.8%	22.5%	21.6%	19.9%
HV 60d	21.7%	20.9%	22.3%	21.8%	22.2%
IV Rank	49.6%	40.1%	66.7%	49.9%	64.1%
IV Percentile	61.3%	42.9%	90.9%	63.1%	88.1%
Term Structure	-0.0%	-0.8%	0.7%	0.0%	-0.0%
VWIV	25.8%	23.8%	28.9%	26.0%	28.7%
Skew 25d	3.6%	2.9%	5.1%	2.9%	4.5%
Skew 10d	7.0%	5.1%	9.6%	5.2%	9.2%
Call IV 25d	23.3%	20.9%	27.1%	23.6%	26.4%
Put IV 25d	26.9%	24.1%	31.5%	26.5%	30.9%
Bid-Ask Spread %	8.98	5.26	15.17	9.32	15.17
Gamma HHI	0.15	0.11	0.35	0.13	0.11
Net GEX	-68.1M	-93.7M	-40.8M	-76.8M	-63.2M
Net DEX	2.71B	1.43B	3.48B	3.29B	2.13B
Net VEX	-11.7M	-12.2M	-10.9M	-10.9M	-12.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.07	0.50	4.70	3.03	1.13
Total Volume	95,485.762	14,069	260,383	83,284	155,755
Total OI	2,075,107.476	1,327,882	2,540,199	2,341,966	1,830,261

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
2014-01-02	$43.19	$47.00	24.7%	7.2%	21.6%	49.9%	26.0%	2.9%	0.0%	-76.8M	3.29B	-10.9M	3.03	9.32	N/A	N/A	20,653	62,631	953,599	1,388,367
2014-01-03	$43.43	$47.00	23.7%	7.2%	21.7%	46.0%	25.7%	3.2%	0.2%	-80.4M	3.32B	-11.2M	4.70	11.16	N/A	N/A	21,112	99,123	970,120	1,433,692
2014-01-06	$42.92	$47.00	24.3%	7.1%	22.0%	48.3%	26.2%	3.0%	-0.6%	-77.5M	3.33B	-11.2M	1.58	7.74	N/A	N/A	10,097	15,925	949,317	1,393,501
2014-01-07	$42.92	$47.00	23.0%	7.0%	21.2%	43.3%	25.0%	2.9%	-0.4%	-77.7M	3.29B	-11.1M	2.57	7.66	N/A	N/A	24,484	63,030	955,024	1,393,906
2014-01-08	$42.51	$47.00	23.1%	7.0%	21.1%	43.7%	24.7%	3.1%	-0.2%	-80.9M	3.38B	-11.0M	1.74	12.40	N/A	N/A	16,437	28,537	963,984	1,379,781
2014-01-09	$41.98	$47.00	24.6%	7.1%	21.2%	49.5%	24.4%	3.3%	-0.5%	-93.7M	3.48B	-11.0M	1.27	5.95	N/A	N/A	67,102	84,900	977,806	1,393,639
2014-01-10	$42.69	$47.00	23.1%	7.1%	19.8%	43.6%	25.2%	3.2%	0.1%	-69.2M	3.24B	-11.8M	0.50	9.67	N/A	N/A	51,646	25,883	1,036,821	1,437,348
2014-01-13	$42.25	$47.00	24.3%	7.0%	19.9%	48.2%	25.6%	3.3%	-0.6%	-71.2M	3.36B	-11.7M	2.53	8.64	N/A	N/A	12,178	30,852	1,068,915	1,427,769
2014-01-14	$42.66	$47.00	22.9%	7.0%	20.4%	42.7%	28.2%	3.2%	0.1%	-62.4M	3.25B	-12.0M	1.11	11.04	N/A	N/A	12,343	13,737	1,075,903	1,434,075
2014-01-15	$42.66	$47.00	22.5%	7.0%	20.3%	41.3%	24.9%	3.1%	0.3%	-60.1M	3.24B	-12.0M	1.20	5.26	N/A	N/A	6,382	7,687	1,081,527	1,435,884
2014-01-16	$42.38	$47.00	22.8%	7.1%	20.3%	42.6%	27.5%	3.0%	-0.4%	-68.0M	3.29B	-11.9M	4.19	8.87	N/A	N/A	8,000	33,557	1,083,641	1,433,251
2014-01-17	$42.21	$47.00	22.2%	7.1%	20.2%	40.1%	24.8%	3.1%	-0.4%	-80.1M	3.34B	-12.0M	2.01	5.80	N/A	N/A	27,422	55,249	1,087,627	1,452,572
2014-01-21	$41.76	$47.00	22.9%	7.0%	20.0%	42.7%	23.8%	3.7%	0.5%	-40.8M	1.48B	-11.7M	2.86	6.45	N/A	N/A	41,676	119,008	504,656	823,226
2014-01-22	$42.25	$47.00	22.4%	6.9%	20.1%	41.1%	24.5%	3.2%	0.6%	-45.7M	1.43B	-12.2M	0.85	6.69	N/A	N/A	30,415	25,798	537,290	925,007
2014-01-23	$41.19	$47.00	23.8%	7.2%	20.7%	46.4%	25.1%	3.9%	0.5%	-63.0M	1.75B	-11.8M	2.81	7.98	N/A	N/A	25,811	72,647	561,223	944,587
2014-01-24	$39.97	$47.00	26.7%	7.3%	22.4%	57.4%	25.3%	4.1%	0.4%	-64.2M	2.07B	-11.6M	1.43	6.06	N/A	N/A	47,655	67,998	579,797	994,195
2014-01-27	$39.99	$47.00	27.9%	7.3%	22.5%	62.2%	25.6%	5.1%	-0.2%	-59.7M	2.01B	-11.8M	1.42	14.03	N/A	N/A	39,459	56,055	589,237	1,009,889
2014-01-28	$40.05	$47.00	27.9%	7.3%	21.3%	62.0%	28.9%	4.3%	-0.1%	-57.2M	1.97B	-12.0M	2.82	10.82	N/A	N/A	35,498	99,982	610,308	1,022,289
2014-01-29	$39.21	$47.00	29.1%	7.5%	22.0%	66.7%	26.2%	4.4%	-0.8%	-70.5M	2.21B	-11.7M	2.39	11.20	N/A	N/A	76,777	183,606	612,622	1,062,995
2014-01-30	$39.64	$47.00	27.2%	7.4%	22.4%	59.6%	24.6%	4.6%	0.7%	-68.2M	2.03B	-12.2M	1.41	6.62	N/A	N/A	53,128	74,966	664,539	1,097,067
2014-01-31	$39.24	$47.00	28.4%	7.7%	19.9%	64.1%	28.7%	4.5%	-0.0%	-63.2M	2.13B	-12.1M	1.13	15.17	N/A	N/A	73,245	82,510	698,452	1,131,809