EEM Options History — January 2007

In January 2007, EEM traded between $36.10 and $38.69. ATM implied volatility averaged 25.2%. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 1.2% (HV 20d: 26.5%). Max pain ranged from $35.00 to $38.33. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 6.33.

Notable Days

  • 2007-01-19: Highest Volume — 106,044 contracts
  • 2007-01-05: Largest IV spike — 25.9% change
  • 2007-01-09: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.41$36.10$38.69$38.38$38.10
Max Pain$37.83$35.00$38.33$35.00$38.33
ATM IV25.2%20.6%28.3%20.8%22.7%
Expected Move7.3%5.9%8.0%6.0%6.5%
HV 20d26.5%25.7%27.5%27.5%25.7%
Term Structure1.0%-0.4%2.8%1.5%2.8%
VWIV26.4%20.8%29.4%20.8%26.3%
Skew 25d6.5%4.7%7.9%4.7%5.6%
Skew 10d14.0%8.9%19.1%8.9%11.5%
Call IV 25d22.3%18.5%25.6%18.5%21.3%
Put IV 25d28.8%23.2%33.2%23.2%26.8%
Bid-Ask Spread %31.1111.8249.3141.9128.82
Gamma HHI0.240.180.360.360.27
Net GEX-11.0M-30.4M12.7M12.7M-30.4M
Net DEX-112.2M-581.2M210.4M-581.2M104.6M
Net VEX-4.5M-5.9M-2.8M-2.8M-5.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.330.8920.512.9510.34
Total Volume50,501.714,703106,04443,06255,683
Total OI929,128.5781,9021,101,753781,9021,019,634

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$38.38$35.0020.8%6.0%0.0%0.0%20.8%4.7%1.5%12.7M-581.2M-2.8M2.9541.9110,89332,169288,000493,902
2007-01-04$37.85$35.0020.6%5.9%0.0%0.0%22.2%5.6%1.9%11.6M-484.7M-2.9M4.1517.4710,13742,024293,352493,848
2007-01-05$36.74$38.3325.9%7.6%0.0%0.0%26.9%6.5%0.2%-2.0M-227.7M-3.4M9.5931.484,29941,241295,089516,303
2007-01-08$37.01$38.3327.0%7.8%0.0%0.0%28.7%7.0%-0.2%-778.1K-229.4M-3.5M20.5141.952,16944,484299,319548,802
2007-01-09$36.18$38.3328.3%8.0%0.0%0.0%28.7%6.7%0.4%-13.9M215.7K-3.8M1.6838.6919,53632,895300,096590,775
2007-01-10$36.10$38.3326.2%8.0%0.0%0.0%29.2%7.6%-0.1%-16.3M30.6M-3.9M2.8129.2121,46560,255313,806611,796
2007-01-11$36.56$38.3327.4%7.8%0.0%0.0%28.0%7.0%0.5%-10.6M-75.0M-4.0M4.3339.072,75711,946329,460635,055
2007-01-12$37.30$38.3327.3%7.8%0.0%0.0%26.4%6.5%-0.0%-1.2M-224.8M-3.9M10.1440.482,79028,302329,841633,435
2007-01-16$37.43$38.3327.8%8.0%0.0%0.0%29.4%6.3%-0.4%3.9M-255.0M-3.8M14.2049.313,73252,977331,776651,804
2007-01-17$37.28$38.3327.3%7.8%0.0%0.0%25.2%6.9%1.0%-3.3M-175.2M-4.2M0.8936.3418,57916,572333,786697,434
2007-01-18$36.88$38.3328.0%8.0%0.0%0.0%27.0%6.6%-0.2%-10.4M-96.6M-4.3M2.4131.8621,61852,008340,884700,959
2007-01-19$37.55$38.3324.2%6.9%0.0%0.0%27.0%6.7%1.7%-16.3M-191.5M-4.6M2.2539.1932,63173,413354,633747,120
2007-01-22$37.50$38.3323.1%6.6%0.0%0.0%26.4%7.0%2.2%-17.6M20.5M-5.5M4.4020.344,98321,936270,480587,847
2007-01-23$38.36$36.6722.8%6.5%0.0%0.0%24.1%5.9%2.3%-13.9M-111.6M-5.4M2.9317.006,66319,554273,672601,578
2007-01-24$38.69$38.3323.1%6.6%0.0%0.0%23.3%6.6%2.3%-11.9M-186.7M-5.3M2.8724.6412,64236,264277,344615,285
2007-01-25$37.50$36.6726.9%7.7%27.5%0.0%26.8%6.3%1.0%-20.4M53.0M-5.7M1.4411.8241,78460,270284,169629,364
2007-01-26$37.73$38.3323.9%6.9%26.7%0.0%25.9%6.1%2.0%-22.3M46.6M-5.9M6.7824.242,76918,768294,264664,824
2007-01-29$37.23$38.3327.7%8.0%26.3%0.0%27.0%6.5%0.0%-29.0M210.4M-5.6M14.0530.433,05742,957272,568675,603
2007-01-30$37.81$38.3323.9%6.9%26.3%0.0%28.7%7.9%1.8%-27.8M129.7M-5.7M7.8227.874,96838,844273,612711,051
2007-01-31$38.10$38.3322.7%6.5%25.7%0.0%26.3%5.6%2.8%-30.4M104.6M-5.7M10.3428.824,91150,772276,261743,373