EWZ Options History — April 2014

In April 2014, EWZ traded between $45.15 and $47.50. ATM implied volatility averaged 27.2%, placing in the 59.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.9% (HV 20d: 23.3%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.93.

Notable Days

2014-04-08: Highest Volume — 232,642 contracts
2014-04-24: Largest IV drop — 4.9% change
2014-04-15: Highest IV Rank — 69.8%
2014-04-15: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.84	$45.15	$47.50	$45.15	$47.04
Max Pain	$47.00	$47.00	$47.00	$47.00	$47.00
ATM IV	27.2%	24.7%	29.9%	24.7%	25.1%
Expected Move	7.5%	7.3%	7.7%	7.3%	7.6%
HV 20d	23.3%	21.0%	25.6%	24.0%	21.2%
HV 60d	26.1%	24.4%	27.1%	25.8%	24.4%
IV Rank	59.3%	49.9%	69.8%	49.9%	51.5%
IV Percentile	67.8%	41.3%	89.3%	44.8%	41.3%
Term Structure	-0.3%	-0.7%	0.4%	-0.3%	0.1%
VWIV	28.1%	23.7%	36.0%	24.9%	36.0%
Skew 25d	4.1%	3.6%	4.7%	3.8%	3.7%
Skew 10d	8.3%	6.4%	10.3%	8.2%	8.1%
Call IV 25d	25.5%	23.3%	27.9%	23.3%	23.6%
Put IV 25d	29.6%	26.9%	32.1%	27.1%	27.4%
Bid-Ask Spread %	7.03	5.77	12.68	6.00	7.11
Gamma HHI	0.06	0.05	0.08	0.07	0.06
Net GEX	-21.6M	-47.0M	12.9M	9.3M	-33.0M
Net DEX	332.2M	-281.6M	1.01B	359.7M	748.4M
Net VEX	-22.6M	-24.4M	-19.0M	-19.0M	-24.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.93	0.80	3.19	1.60	1.70
Total Volume	117,172.333	36,297	232,642	87,436	36,533
Total OI	2,740,145.81	2,329,854	3,041,584	2,329,854	2,895,263

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
2014-04-01	$45.15	$47.00	24.7%	7.3%	24.0%	49.9%	24.9%	3.8%	-0.3%	9.3M	359.7M	-19.0M	1.60	6.00	N/A	N/A	33,641	53,795	932,755	1,397,099
2014-04-02	$46.24	$47.00	24.8%	7.3%	24.9%	50.0%	27.1%	3.6%	-0.2%	12.9M	-3.3M	-19.5M	3.19	6.93	N/A	N/A	40,980	130,659	943,357	1,408,825
2014-04-03	$45.68	$47.00	25.5%	7.3%	25.6%	52.8%	24.6%	3.9%	-0.5%	373.8K	289.9M	-19.8M	1.75	6.28	N/A	N/A	34,613	60,570	954,718	1,495,939
2014-04-04	$46.15	$47.00	26.3%	7.4%	23.3%	56.1%	23.7%	3.7%	-0.5%	-53.5K	81.6M	-20.6M	1.83	8.02	N/A	N/A	60,920	111,299	982,099	1,539,842
2014-04-07	$47.39	$47.00	27.5%	7.5%	22.5%	60.6%	28.1%	3.7%	-0.3%	-1.5M	-281.6M	-21.0M	1.38	5.94	N/A	N/A	69,377	95,395	975,265	1,562,986
2014-04-08	$47.29	$47.00	27.7%	7.6%	22.2%	61.3%	28.2%	4.3%	-0.7%	-3.0M	-164.5M	-21.2M	3.05	6.49	N/A	N/A	57,392	175,250	1,008,709	1,628,616
2014-04-09	$47.15	$47.00	27.8%	7.5%	22.6%	61.6%	34.1%	4.1%	-0.4%	-24.3M	23.2M	-22.8M	2.87	7.46	N/A	N/A	28,722	82,300	1,030,120	1,746,573
2014-04-10	$46.92	$47.00	28.4%	7.6%	21.9%	64.2%	32.8%	3.7%	-0.3%	-27.5M	128.4M	-22.8M	1.75	7.46	N/A	N/A	27,773	48,636	1,043,342	1,781,919
2014-04-11	$47.39	$47.00	28.2%	7.6%	21.5%	63.5%	26.8%	3.8%	-0.4%	-23.4M	-100.0M	-22.9M	2.91	8.16	N/A	N/A	23,197	67,391	1,056,387	1,799,972
2014-04-14	$47.25	$47.00	28.8%	7.6%	21.9%	65.4%	25.1%	3.7%	0.4%	-28.1M	-5.2M	-22.6M	1.28	7.41	N/A	N/A	53,157	68,238	1,044,356	1,803,551
2014-04-15	$45.94	$47.00	29.9%	7.7%	24.8%	69.8%	30.8%	4.2%	0.1%	-47.0M	728.9M	-23.3M	3.09	7.73	N/A	N/A	46,714	144,247	1,067,800	1,855,114
2014-04-16	$46.61	$47.00	28.5%	7.5%	25.0%	64.5%	28.1%	3.9%	-0.2%	-44.1M	407.5M	-23.0M	2.29	6.54	N/A	N/A	50,471	115,413	1,068,713	1,889,066
2014-04-17	$47.50	$47.00	28.3%	7.5%	24.6%	63.8%	25.9%	4.6%	-0.2%	-32.4M	-15.7M	-23.5M	0.80	12.68	N/A	N/A	102,585	81,852	1,090,426	1,951,158
2014-04-21	$47.29	$47.00	28.0%	7.5%	24.9%	62.5%	26.3%	4.4%	-0.6%	-17.5M	472.1M	-23.9M	0.88	6.63	N/A	N/A	22,919	20,085	1,005,299	1,714,479
2014-04-22	$47.15	$47.00	28.3%	7.6%	25.1%	63.5%	26.2%	4.3%	-0.7%	-17.8M	548.5M	-23.7M	3.10	6.19	N/A	N/A	28,890	89,565	1,018,628	1,724,281
2014-04-23	$47.08	$47.00	26.9%	7.6%	25.1%	58.4%	27.2%	4.7%	-0.5%	-23.3M	675.4M	-24.4M	0.80	6.24	N/A	N/A	56,858	45,368	1,027,842	1,791,884
2014-04-24	$47.47	$47.00	25.6%	7.6%	24.9%	53.3%	28.3%	4.5%	-0.4%	-26.6M	534.4M	-23.8M	1.36	5.77	N/A	N/A	29,194	39,756	1,004,416	1,811,060
2014-04-25	$46.71	$47.00	26.8%	7.6%	21.1%	58.0%	29.3%	4.7%	-0.5%	-47.0M	1.01B	-24.2M	2.98	5.84	N/A	N/A	15,051	44,820	1,010,118	1,842,177
2014-04-28	$46.98	$47.00	26.9%	7.6%	21.0%	58.3%	28.4%	4.6%	-0.0%	-43.4M	846.5M	-24.3M	0.99	6.22	N/A	N/A	18,255	18,042	977,457	1,834,551
2014-04-29	$47.25	$47.00	26.2%	7.6%	21.1%	55.5%	28.2%	4.2%	0.1%	-36.0M	695.1M	-24.2M	1.04	6.58	N/A	N/A	64,021	66,675	987,430	1,839,470
2014-04-30	$47.04	$47.00	25.1%	7.6%	21.2%	51.5%	36.0%	3.7%	0.1%	-33.0M	748.4M	-24.2M	1.70	7.11	N/A	N/A	13,523	23,010	1,039,231	1,856,032