EWZ Options History — June 2014

In June 2014, EWZ traded between $45.91 and $49.98. ATM implied volatility averaged 22.5%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 0.7% (HV 20d: 21.8%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.51.

Notable Days

2014-06-24: Highest Volume — 237,642 contracts
2014-06-25: Largest IV spike — 11.7% change
2014-06-02: Highest IV Rank — 40.3%
2014-06-30: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.48	$45.91	$49.98	$46.00	$47.78
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	22.5%	20.2%	25.1%	25.1%	22.4%
Expected Move	7.4%	7.3%	7.6%	7.4%	7.6%
HV 20d	21.8%	17.4%	24.0%	18.1%	21.4%
HV 60d	22.0%	20.7%	22.8%	22.5%	20.7%
IV Rank	28.0%	16.9%	40.3%	40.3%	27.2%
IV Percentile	16.1%	2.4%	40.9%	40.9%	15.5%
Term Structure	0.2%	-1.1%	1.4%	-0.6%	0.3%
VWIV	27.7%	24.0%	32.5%	26.5%	32.3%
Skew 25d	4.0%	1.5%	6.0%	4.8%	3.5%
Skew 10d	6.7%	2.4%	8.8%	6.7%	7.1%
Call IV 25d	20.9%	19.9%	22.7%	22.7%	21.3%
Put IV 25d	24.9%	21.9%	27.6%	27.5%	24.8%
Bid-Ask Spread %	7.11	6.21	8.57	7.40	7.34
Gamma HHI	0.08	0.06	0.13	0.06	0.07
Net GEX	-2.4M	-80.3M	55.1M	-75.1M	-25.9M
Net DEX	608.9M	-688.6M	1.89B	1.79B	1.34B
Net VEX	-25.1M	-26.3M	-23.6M	-23.6M	-25.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.51	0.55	3.67	1.48	1.86
Total Volume	81,549.048	21,352	237,642	67,234	29,905
Total OI	3,270,359.524	2,782,809	3,692,089	3,205,358	2,782,809

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
2014-06-02	$46.00	$50.00	25.1%	7.4%	18.1%	40.3%	26.5%	4.8%	-0.6%	-75.1M	1.79B	-23.6M	1.48	7.40	N/A	N/A	27,089	40,145	1,197,006	2,008,352
2014-06-03	$46.29	$50.00	24.3%	7.5%	18.3%	36.3%	26.1%	6.0%	-0.6%	-69.3M	1.65B	-23.9M	1.03	6.81	N/A	N/A	14,054	14,542	1,204,662	2,017,953
2014-06-04	$45.91	$50.00	24.5%	7.4%	17.7%	37.6%	28.1%	5.3%	-0.7%	-80.3M	1.89B	-23.7M	1.73	7.10	N/A	N/A	18,296	31,653	1,209,896	2,024,433
2014-06-05	$46.27	$50.00	23.9%	7.5%	17.4%	34.5%	28.6%	5.0%	-0.3%	-76.4M	1.71B	-23.6M	0.94	6.92	N/A	N/A	26,963	25,351	1,214,652	2,030,875
2014-06-06	$47.82	$50.00	23.0%	7.4%	21.4%	30.3%	28.2%	4.6%	-0.6%	-12.4M	639.0M	-24.5M	1.55	7.18	N/A	N/A	27,679	43,009	1,234,146	2,040,908
2014-06-09	$49.25	$50.00	22.8%	7.4%	24.0%	29.3%	25.5%	4.4%	-0.6%	32.1M	-352.5M	-24.4M	1.11	6.40	N/A	N/A	38,867	43,228	1,225,605	2,035,745
2014-06-10	$49.45	$50.00	22.6%	7.4%	23.4%	28.5%	24.5%	5.1%	0.2%	45.2M	-650.4M	-23.8M	3.67	6.66	N/A	N/A	23,430	86,016	1,242,651	2,054,636
2014-06-11	$49.73	$50.00	22.5%	7.3%	23.5%	28.0%	30.0%	4.7%	-0.7%	41.2M	-688.6M	-24.7M	0.77	7.25	N/A	N/A	69,277	53,540	1,249,675	2,133,060
2014-06-12	$49.33	$50.00	22.8%	7.4%	23.3%	29.5%	24.5%	5.3%	0.3%	43.9M	-302.9M	-25.3M	2.63	6.21	N/A	N/A	5,886	15,466	1,298,614	2,168,984
2014-06-13	$49.64	$50.00	22.3%	7.3%	22.8%	27.0%	24.0%	4.8%	-1.1%	43.8M	-577.7M	-25.5M	0.75	7.65	N/A	N/A	21,735	16,223	1,295,084	2,172,727
2014-06-16	$49.35	$50.00	22.7%	7.4%	22.8%	29.0%	27.6%	4.6%	0.1%	20.0M	-107.9M	-25.6M	2.33	6.23	N/A	N/A	31,988	74,518	1,288,798	2,153,901
2014-06-17	$48.93	$50.00	22.2%	7.4%	22.8%	26.6%	28.3%	4.8%	0.9%	5.6M	395.2M	-25.5M	1.59	6.83	N/A	N/A	33,178	52,692	1,303,591	2,215,376
2014-06-18	$49.98	$50.00	21.8%	7.5%	22.5%	24.7%	25.4%	5.0%	1.2%	38.4M	-319.4M	-25.3M	0.96	7.45	N/A	N/A	93,615	90,124	1,324,740	2,237,970
2014-06-19	$49.46	$50.00	21.0%	7.4%	22.9%	20.8%	26.4%	2.2%	0.8%	55.1M	-234.0M	-26.0M	1.70	7.34	N/A	N/A	13,924	23,729	1,395,106	2,278,128
2014-06-20	$49.56	$50.00	20.2%	7.4%	22.9%	16.9%	26.4%	1.6%	1.4%	26.9M	-292.7M	-25.5M	1.00	6.88	N/A	N/A	75,674	75,834	1,392,578	2,299,511
2014-06-23	$49.50	$50.00	21.0%	7.4%	22.7%	21.0%	26.6%	1.7%	0.7%	18.6M	730.1M	-25.1M	1.66	8.57	N/A	N/A	30,224	50,185	1,187,327	1,731,758
2014-06-24	$49.27	$50.00	20.5%	7.4%	21.8%	18.4%	30.0%	1.5%	0.7%	7.5M	1.04B	-25.6M	0.55	7.59	N/A	N/A	153,681	83,961	1,191,676	1,773,802
2014-06-25	$48.18	$50.00	22.9%	7.6%	23.2%	29.8%	30.5%	3.3%	0.7%	-23.9M	1.77B	-26.3M	1.08	6.83	N/A	N/A	37,482	40,380	1,181,733	1,826,149
2014-06-26	$48.28	$50.00	22.3%	7.6%	23.1%	26.8%	29.9%	3.3%	0.6%	-24.6M	1.65B	-26.2M	1.82	6.58	N/A	N/A	16,549	30,111	1,196,406	1,827,035
2014-06-27	$48.11	$50.00	21.9%	7.6%	21.7%	24.9%	32.5%	3.4%	0.5%	-41.7M	1.70B	-26.2M	1.46	8.14	N/A	N/A	13,162	19,165	1,196,116	1,833,376
2014-06-30	$47.78	$50.00	22.4%	7.6%	21.4%	27.2%	32.3%	3.5%	0.3%	-25.9M	1.34B	-25.6M	1.86	7.34	N/A	N/A	10,451	19,454	1,067,545	1,715,264