EWZ Options History — December 2014

In December 2014, EWZ traded between $33.76 and $40.21. ATM implied volatility averaged 32.7%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 6.7% (HV 20d: 39.3%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.42.

Notable Days

2014-12-17: Highest Volume — 324,366 contracts
2014-12-15: Largest IV spike — 13.3% change
2014-12-15: Highest IV Rank — 34.1%
2014-12-16: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.03	$33.76	$40.21	$40.21	$36.57
Max Pain	$40.91	$40.00	$43.00	$43.00	$40.00
ATM IV	32.7%	29.1%	38.0%	34.1%	32.4%
Expected Move	9.0%	8.2%	10.4%	8.6%	9.1%
HV 20d	39.3%	30.1%	45.2%	42.2%	30.1%
HV 60d	46.6%	43.2%	47.8%	47.5%	43.2%
IV Rank	25.6%	19.9%	34.1%	27.8%	25.1%
IV Percentile	79.6%	70.2%	90.1%	86.1%	78.2%
Term Structure	-0.2%	-1.4%	0.9%	-0.8%	0.0%
VWIV	31.5%	28.2%	36.7%	30.2%	31.6%
Skew 25d	3.4%	0.2%	5.5%	3.3%	4.0%
Skew 10d	6.3%	-0.1%	12.0%	5.0%	9.1%
Call IV 25d	31.1%	27.8%	36.5%	31.6%	30.6%
Put IV 25d	34.5%	30.7%	40.9%	35.0%	34.6%
Bid-Ask Spread %	11.66	6.53	16.29	13.46	9.35
Gamma HHI	0.12	0.09	0.27	0.09	0.13
Net GEX	-64.9M	-84.7M	-44.0M	-66.1M	-45.2M
Net DEX	5.53B	4.34B	6.74B	4.65B	4.38B
Net VEX	-11.7M	-15.7M	-9.0M	-15.7M	-10.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.42	0.66	2.62	0.95	2.31
Total Volume	130,583.636	12,996	324,366	115,266	12,996
Total OI	4,247,303.364	3,451,259	5,063,820	4,326,811	3,453,358

Daily Data (22 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
2014-12-01	$40.21	$43.00	34.1%	8.6%	42.2%	27.8%	30.2%	3.3%	-0.8%	-66.1M	4.65B	-15.7M	0.95	13.46	N/A	N/A	59,205	56,061	2,125,043	2,201,768
2014-12-02	$39.54	$43.00	32.7%	8.5%	41.7%	25.6%	29.7%	2.8%	-0.2%	-71.7M	5.00B	-14.6M	1.51	16.29	N/A	N/A	33,732	51,095	2,144,332	2,210,920
2014-12-03	$39.91	$43.00	30.3%	8.2%	41.7%	21.8%	28.2%	2.0%	-0.7%	-74.3M	4.90B	-14.6M	0.98	11.88	N/A	N/A	74,010	72,747	2,150,415	2,220,529
2014-12-04	$39.13	$43.00	30.0%	8.2%	42.1%	21.3%	30.2%	3.1%	-0.1%	-82.7M	5.37B	-13.3M	1.33	16.26	N/A	N/A	31,340	41,833	2,149,984	2,227,618
2014-12-05	$39.34	$43.00	29.1%	8.3%	39.7%	19.9%	28.9%	2.9%	0.2%	-83.6M	5.39B	-13.5M	2.41	12.84	N/A	N/A	44,525	107,182	2,169,871	2,262,519
2014-12-08	$37.95	$41.00	31.3%	8.6%	41.0%	23.4%	29.9%	2.1%	-0.6%	-82.7M	5.80B	-12.6M	0.89	12.72	N/A	N/A	81,981	73,300	2,159,692	2,280,978
2014-12-09	$37.95	$41.00	31.1%	8.6%	41.0%	23.0%	30.1%	2.3%	-0.1%	-84.7M	5.98B	-12.4M	1.24	13.37	N/A	N/A	48,828	60,760	2,197,114	2,309,958
2014-12-10	$37.22	$41.00	32.3%	9.0%	41.3%	25.0%	31.4%	0.2%	-0.4%	-81.2M	6.21B	-11.7M	1.02	10.17	N/A	N/A	47,823	48,759	2,213,721	2,322,556
2014-12-11	$36.72	$41.00	32.9%	9.0%	41.4%	26.0%	31.7%	0.2%	-0.8%	-77.7M	6.34B	-11.1M	2.62	13.05	N/A	N/A	42,299	110,739	2,236,474	2,331,674
2014-12-12	$35.72	$41.00	33.6%	9.1%	41.8%	27.0%	32.2%	1.2%	-0.7%	-72.3M	6.55B	-10.6M	1.16	14.28	N/A	N/A	97,495	112,692	2,249,327	2,372,230
2014-12-15	$34.41	$40.00	38.0%	10.2%	43.4%	34.1%	35.7%	3.8%	-1.3%	-55.1M	6.62B	-9.2M	1.56	12.74	N/A	N/A	93,817	146,828	2,267,262	2,355,187
2014-12-16	$33.76	$40.00	37.6%	10.4%	43.6%	33.3%	36.7%	4.4%	0.9%	-51.7M	6.74B	-9.0M	1.36	15.89	N/A	N/A	128,822	175,838	2,310,009	2,414,368
2014-12-17	$35.11	$40.00	36.3%	10.1%	45.2%	31.2%	35.9%	5.1%	-1.4%	-72.9M	6.54B	-10.8M	1.19	12.52	N/A	N/A	148,217	176,149	2,361,495	2,518,406
2014-12-18	$35.60	$40.00	34.3%	9.6%	44.1%	28.2%	34.5%	4.2%	0.4%	-63.9M	6.73B	-11.0M	1.42	9.96	N/A	N/A	59,586	84,826	2,450,256	2,602,700
2014-12-19	$36.01	$40.00	32.7%	9.3%	44.4%	25.5%	31.3%	4.1%	-0.5%	-84.6M	6.55B	-11.1M	1.17	9.52	N/A	N/A	38,421	44,945	2,461,697	2,602,123
2014-12-22	$36.60	$40.00	32.2%	9.0%	35.4%	24.8%	31.3%	4.9%	0.2%	-44.0M	4.73B	-11.2M	2.24	6.53	N/A	N/A	40,467	90,767	1,595,879	1,932,304
2014-12-23	$36.49	$40.00	31.4%	9.1%	34.4%	23.5%	30.3%	4.6%	0.7%	-48.0M	4.73B	-11.0M	1.61	8.97	N/A	N/A	34,149	54,989	1,603,181	1,929,187
2014-12-24	$36.56	$40.00	31.3%	8.8%	34.5%	23.4%	30.1%	5.5%	0.1%	-48.3M	4.81B	-11.0M	1.52	9.77	N/A	N/A	27,464	41,853	1,604,633	1,959,816
2014-12-26	$36.54	$40.00	31.9%	9.0%	33.7%	24.3%	30.4%	5.0%	-0.0%	-46.7M	4.58B	-11.1M	1.06	7.24	N/A	N/A	40,210	42,707	1,605,404	1,901,927
2014-12-29	$36.45	$40.00	32.1%	9.3%	32.5%	24.6%	33.1%	4.0%	0.5%	-45.3M	4.69B	-10.8M	1.05	10.34	N/A	N/A	33,662	35,410	1,602,150	1,921,350
2014-12-30	$36.76	$40.00	31.6%	9.0%	30.4%	23.9%	30.4%	4.4%	-0.1%	-45.0M	4.34B	-11.0M	0.66	9.48	N/A	N/A	14,655	9,656	1,610,498	1,840,761
2014-12-31	$36.57	$40.00	32.4%	9.1%	30.1%	25.1%	31.6%	4.0%	0.0%	-45.2M	4.38B	-10.7M	2.31	9.35	N/A	N/A	3,932	9,064	1,611,670	1,841,688