Illustrator Trace Shades of Gray Leaves White Background

[KayBeeGee]

I am aware that one can click "ignore white" when tracing in Illustrator however, when I use the Shades of Gray option I cannot click "ignore white," and I am left with a white background.  How can I use the Shades of Gray option AND ignore or remove the white background to my trace? 

I am using a 3d render from 3ds Max; opening first in Photoshop to create a grayscale object, saving out as a .png. Then opening that .png in Illustrator to create a Shades of Gray trace.  I need to do this to create a vector image of my 3d render (because Max does not render vector images). 

[Monika Gause]

Can you show a screenshot of the Trace panel with your settings?