EWZ Options History — February 2014

In February 2014, EWZ traded between $38.03 and $41.63. ATM implied volatility averaged 27.9%, placing in the 62.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.2% (HV 20d: 28.1%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.85.

Notable Days

2014-02-27: Highest Volume — 209,722 contracts
2014-02-18: Largest IV spike — 6.4% change
2014-02-03: Highest IV Rank — 72.5%
2014-02-03: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.19	$38.03	$41.63	$38.03	$41.00
Max Pain	$47.00	$47.00	$47.00	$47.00	$47.00
ATM IV	27.9%	26.4%	30.6%	30.6%	27.9%
Expected Move	7.4%	7.2%	7.8%	7.8%	7.4%
HV 20d	28.1%	21.6%	30.6%	21.6%	29.2%
HV 60d	23.9%	22.3%	24.8%	22.3%	23.9%
IV Rank	62.2%	56.5%	72.5%	72.5%	62.2%
IV Percentile	83.1%	73.4%	92.9%	92.9%	83.3%
Term Structure	-0.2%	-1.0%	0.8%	-0.8%	0.1%
VWIV	27.0%	25.2%	30.4%	26.8%	25.2%
Skew 25d	4.9%	4.1%	5.5%	5.5%	4.7%
Skew 10d	10.0%	8.1%	11.3%	10.3%	10.4%
Call IV 25d	26.0%	24.5%	28.1%	28.1%	26.1%
Put IV 25d	30.9%	28.9%	33.6%	33.6%	30.8%
Bid-Ask Spread %	7.04	5.34	9.96	9.96	6.54
Gamma HHI	0.11	0.08	0.14	0.10	0.10
Net GEX	-52.4M	-82.0M	-17.5M	-65.7M	-29.5M
Net DEX	1.91B	1.36B	2.45B	2.45B	1.64B
Net VEX	-14.1M	-15.6M	-11.6M	-11.6M	-15.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.85	0.64	5.40	4.44	0.75
Total Volume	92,788.421	45,961	209,722	128,693	45,961
Total OI	2,147,336.632	1,835,128	2,382,545	1,835,128	2,223,104

Daily Data (19 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
2014-02-03	$38.03	$47.00	30.6%	7.8%	21.6%	72.5%	26.8%	5.5%	-0.8%	-65.7M	2.45B	-11.6M	4.44	9.96	N/A	N/A	23,638	105,055	683,713	1,151,415
2014-02-04	$39.16	$47.00	29.8%	7.6%	24.9%	69.4%	27.5%	5.0%	-0.7%	-70.9M	2.26B	-13.0M	1.07	9.52	N/A	N/A	60,898	65,299	698,408	1,233,716
2014-02-05	$39.08	$47.00	29.5%	7.6%	24.9%	68.4%	27.0%	4.8%	-1.0%	-69.3M	2.29B	-13.3M	2.22	5.75	N/A	N/A	31,285	69,330	746,463	1,269,569
2014-02-06	$40.36	$47.00	27.9%	7.5%	28.0%	62.2%	25.9%	4.8%	0.3%	-54.4M	1.86B	-14.5M	1.71	6.75	N/A	N/A	55,026	94,052	755,833	1,306,886
2014-02-07	$40.64	$47.00	26.9%	7.3%	28.0%	58.1%	26.6%	4.4%	0.1%	-53.1M	1.80B	-14.8M	0.88	5.82	N/A	N/A	29,280	25,812	795,364	1,379,017
2014-02-10	$39.99	$47.00	27.5%	7.3%	27.5%	60.6%	27.5%	4.9%	-0.5%	-66.9M	2.10B	-14.1M	5.40	6.95	N/A	N/A	12,269	66,222	787,993	1,372,764
2014-02-11	$40.75	$47.00	26.4%	7.3%	28.5%	56.5%	27.9%	4.4%	-1.0%	-51.9M	1.77B	-14.3M	0.64	6.97	N/A	N/A	30,752	19,811	793,065	1,372,979
2014-02-12	$40.02	$47.00	27.5%	7.4%	28.7%	60.7%	26.6%	4.9%	-0.5%	-69.8M	2.09B	-14.0M	2.22	7.78	N/A	N/A	36,458	80,810	804,000	1,379,706
2014-02-13	$40.52	$47.00	26.5%	7.2%	29.2%	56.9%	25.5%	4.6%	-0.9%	-56.1M	1.85B	-14.2M	1.46	6.31	N/A	N/A	35,262	51,541	833,301	1,404,279
2014-02-14	$40.64	$47.00	26.7%	7.3%	29.2%	57.4%	25.6%	4.1%	-0.6%	-51.3M	1.74B	-14.6M	0.82	5.34	N/A	N/A	68,223	55,988	851,715	1,421,099
2014-02-18	$39.53	$47.00	28.4%	7.5%	30.6%	64.0%	27.1%	5.4%	0.8%	-82.0M	2.26B	-13.7M	2.79	9.52	N/A	N/A	25,239	70,521	880,954	1,416,389
2014-02-19	$39.78	$47.00	28.3%	7.4%	30.6%	63.6%	25.6%	5.1%	0.2%	-79.7M	2.18B	-14.1M	2.90	8.04	N/A	N/A	15,248	44,250	894,912	1,463,460
2014-02-20	$40.22	$47.00	28.0%	7.4%	30.6%	62.7%	30.3%	5.1%	0.3%	-64.8M	1.93B	-14.2M	1.46	6.05	N/A	N/A	39,005	57,083	898,831	1,459,789
2014-02-21	$40.76	$47.00	26.9%	7.3%	29.8%	58.4%	30.4%	4.8%	0.4%	-17.5M	1.64B	-14.6M	1.76	5.34	N/A	N/A	26,813	47,295	906,544	1,476,001
2014-02-24	$40.75	$47.00	27.9%	7.3%	27.7%	61.9%	27.3%	5.2%	-0.0%	-25.9M	1.56B	-14.4M	1.70	8.10	N/A	N/A	20,245	34,369	788,146	1,220,798
2014-02-25	$40.40	$47.00	28.4%	7.4%	27.9%	64.1%	27.9%	5.1%	-0.2%	-32.3M	1.74B	-14.1M	1.27	7.65	N/A	N/A	20,452	26,030	787,729	1,231,243
2014-02-26	$40.37	$47.00	28.2%	7.5%	27.9%	63.4%	25.9%	5.0%	-0.4%	-33.2M	1.78B	-14.1M	0.89	5.68	N/A	N/A	33,795	29,941	799,231	1,251,517
2014-02-27	$41.63	$47.00	27.2%	7.3%	28.7%	59.4%	25.8%	4.8%	0.2%	-21.6M	1.36B	-14.8M	0.67	5.70	N/A	N/A	125,312	84,410	795,490	1,263,973
2014-02-28	$41.00	$47.00	27.9%	7.4%	29.2%	62.2%	25.2%	4.7%	0.1%	-29.5M	1.64B	-15.6M	0.75	6.54	N/A	N/A	26,314	19,647	900,016	1,323,088