EWZ Options History — March 2014

In March 2014, EWZ traded between $39.11 and $45.04. ATM implied volatility averaged 28.4%, placing in the 64.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.6% (HV 20d: 25.8%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.63.

Notable Days

2014-03-27: Highest Volume — 292,722 contracts
2014-03-10: Largest IV spike — 7.6% change
2014-03-10: Highest IV Rank — 78.3%
2014-03-14: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.20	$39.11	$45.04	$39.95	$45.04
Max Pain	$47.00	$47.00	$47.00	$47.00	$47.00
ATM IV	28.4%	25.4%	32.1%	31.3%	25.6%
Expected Move	7.5%	7.2%	7.8%	7.5%	7.4%
HV 20d	25.8%	24.0%	30.6%	30.6%	24.2%
HV 60d	25.0%	24.3%	26.8%	24.3%	25.8%
IV Rank	64.0%	52.4%	78.3%	75.0%	53.4%
IV Percentile	77.2%	51.2%	95.2%	94.0%	52.8%
Term Structure	-0.3%	-1.9%	1.0%	-0.7%	-0.2%
VWIV	26.2%	23.2%	29.9%	26.6%	26.2%
Skew 25d	5.1%	3.7%	6.6%	5.8%	4.0%
Skew 10d	10.4%	6.8%	14.0%	11.9%	8.3%
Call IV 25d	26.4%	24.2%	29.5%	28.7%	24.2%
Put IV 25d	31.4%	28.1%	35.5%	34.5%	28.2%
Bid-Ask Spread %	8.54	5.01	29.12	6.69	5.01
Gamma HHI	0.14	0.07	0.29	0.10	0.07
Net GEX	-40.1M	-102.9M	13.0M	-38.7M	9.1M
Net DEX	1.75B	262.3M	2.77B	2.01B	347.9M
Net VEX	-16.1M	-18.6M	-14.8M	-14.9M	-18.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.63	0.76	3.50	3.32	1.28
Total Volume	114,926.762	39,085	292,722	120,622	58,753
Total OI	2,418,641.667	2,057,724	2,716,137	2,203,229	2,248,587

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
2014-03-03	$39.95	$47.00	31.3%	7.5%	30.6%	75.0%	26.6%	5.8%	-0.7%	-38.7M	2.01B	-14.9M	3.32	6.69	N/A	N/A	27,911	92,711	894,230	1,308,999
2014-03-04	$40.57	$47.00	30.3%	7.4%	28.5%	71.4%	26.3%	5.6%	-0.6%	-41.1M	1.88B	-15.4M	1.23	8.11	N/A	N/A	75,692	93,081	902,883	1,358,512
2014-03-05	$40.83	$47.00	28.1%	7.4%	26.8%	62.9%	27.1%	4.6%	-0.2%	-37.7M	1.83B	-15.9M	1.84	6.95	N/A	N/A	19,216	35,304	953,186	1,417,696
2014-03-06	$41.28	$47.00	27.8%	7.5%	26.9%	61.7%	26.7%	4.7%	0.0%	-32.8M	1.65B	-16.1M	0.95	6.80	N/A	N/A	35,333	33,393	955,260	1,443,430
2014-03-07	$40.32	$47.00	29.8%	7.6%	26.1%	69.5%	25.3%	5.0%	-0.2%	-52.5M	2.10B	-15.6M	1.10	6.12	N/A	N/A	47,571	52,198	981,920	1,458,116
2014-03-10	$39.63	$47.00	32.1%	7.6%	26.6%	78.3%	25.9%	5.5%	-1.9%	-66.9M	2.42B	-15.0M	1.50	8.89	N/A	N/A	40,592	61,052	980,796	1,469,038
2014-03-11	$39.38	$47.00	31.6%	7.7%	26.1%	76.5%	23.2%	5.7%	-0.7%	-78.9M	2.57B	-14.8M	1.66	7.39	N/A	N/A	27,190	45,107	988,949	1,510,024
2014-03-12	$39.68	$47.00	30.3%	7.6%	25.3%	71.3%	26.8%	5.4%	-1.6%	-80.6M	2.51B	-14.9M	1.57	10.46	N/A	N/A	38,747	61,019	990,186	1,528,767
2014-03-13	$39.22	$47.00	30.7%	7.7%	24.9%	73.0%	24.5%	6.3%	-1.2%	-90.4M	2.71B	-15.0M	2.58	7.16	N/A	N/A	35,157	90,881	1,017,606	1,558,160
2014-03-14	$39.11	$47.00	31.1%	7.8%	24.3%	74.3%	27.1%	6.6%	-1.5%	-80.9M	2.74B	-15.0M	2.02	10.76	N/A	N/A	25,401	51,407	1,033,784	1,563,091
2014-03-17	$39.41	$47.00	29.2%	7.8%	24.5%	67.2%	29.9%	6.0%	-0.2%	-102.9M	2.77B	-14.9M	3.50	6.43	N/A	N/A	14,155	49,596	1,028,214	1,604,459
2014-03-18	$40.37	$47.00	27.0%	7.6%	24.1%	58.8%	25.6%	5.0%	-0.2%	-80.5M	2.21B	-15.5M	2.57	5.05	N/A	N/A	72,118	185,180	1,034,116	1,617,989
2014-03-19	$40.53	$47.00	26.4%	7.5%	24.0%	56.4%	25.7%	4.9%	0.8%	-54.6M	2.10B	-15.8M	1.13	10.46	N/A	N/A	64,470	72,836	1,071,097	1,586,871
2014-03-20	$41.48	$47.00	26.8%	7.5%	25.1%	57.9%	28.2%	4.8%	-0.2%	-11.1M	1.63B	-16.6M	1.45	7.17	N/A	N/A	47,041	68,421	1,113,453	1,600,896
2014-03-21	$41.67	$47.00	26.2%	7.5%	24.7%	55.5%	25.4%	4.2%	1.0%	6.0M	1.50B	-16.6M	0.76	9.79	N/A	N/A	48,158	36,752	1,124,501	1,591,636
2014-03-24	$42.16	$47.00	27.5%	7.5%	25.0%	60.7%	26.2%	5.0%	0.0%	-14.1M	1.11B	-16.7M	1.58	9.31	N/A	N/A	47,769	75,644	805,140	1,252,584
2014-03-25	$42.68	$47.00	26.5%	7.4%	24.9%	56.9%	25.9%	4.8%	0.2%	-4.6M	917.4M	-17.2M	1.58	6.32	N/A	N/A	42,171	66,559	835,694	1,274,051
2014-03-26	$42.52	$47.00	26.3%	7.4%	25.0%	55.9%	26.1%	4.9%	0.3%	-6.6M	1.05B	-17.2M	0.87	5.40	N/A	N/A	20,883	18,202	867,213	1,310,804
2014-03-27	$44.49	$47.00	26.2%	7.2%	27.6%	55.5%	23.8%	3.7%	-0.0%	5.7M	370.5M	-18.0M	0.86	29.12	N/A	N/A	157,759	134,963	878,163	1,317,482
2014-03-28	$44.87	$47.00	25.4%	7.4%	26.7%	52.4%	26.8%	3.8%	0.2%	13.0M	262.3M	-18.6M	0.96	5.95	N/A	N/A	73,173	69,896	940,743	1,373,149
2014-03-31	$45.04	$47.00	25.6%	7.4%	24.2%	53.4%	26.2%	4.0%	-0.2%	9.1M	347.9M	-18.5M	1.28	5.01	N/A	N/A	25,745	33,008	909,851	1,338,736