EEM Options History — February 2007 In February 2007, EEM traded between $35.97 and $39.54. ATM implied volatility averaged 23.9%. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.9% (HV 20d: 22.0%). Max pain ranged from $36.67 to $38.33. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 7.92.
Notable Days 2007-02-22 : Highest Volume — 344,043 contracts2007-02-27 : Largest IV spike — 38.8% change2007-02-27 : Largest Expected Move — 10.1%Monthly Statistics Metric Avg Min Max Open Close Price $38.58 $35.97 $39.54 $38.57 $36.58 Max Pain $37.11 $36.67 $38.33 $38.33 $38.33 ATM IV 23.9% 20.2% 35.3% 22.2% 33.5% Expected Move 6.9% 5.0% 10.1% 6.4% 9.6% HV 20d 22.0% 15.0% 34.1% 25.4% 34.1% Term Structure 1.4% -6.1% 8.5% 2.8% -6.1% VWIV 26.3% 15.7% 37.4% 23.5% 33.7% Skew 25d 6.7% 4.6% 12.4% 5.6% 8.6% Skew 10d 14.3% 11.7% 22.9% 14.9% 17.1% Call IV 25d 21.3% 11.0% 32.0% 19.9% 29.2% Put IV 25d 28.0% 15.5% 44.4% 25.5% 37.8% Bid-Ask Spread % 23.76 8.93 95.37 11.11 43.69 Gamma HHI 0.29 0.22 0.36 0.24 0.27 Net GEX -54.4M -102.2M -24.5M -24.5M -102.2M Net DEX 238.5M -78.8M 1.45B -9.4M 1.23B Net VEX -6.6M -7.9M -5.7M -5.7M -7.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 7.92 0.84 26.62 9.03 3.63 Total Volume 92,209.737 18,114 344,043 98,322 143,208 Total OI 1,345,903.421 1,044,780 1,573,260 1,044,780 1,573,260
Daily Data (19 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 Vol Put Vol Call OI Put OI 2007-02-01 $38.57 $38.33 22.2% 6.4% 25.4% 0.0% 23.5% 5.6% 2.8% -24.5M -9.4M -5.7M 9.03 11.11 9,798 88,524 277,908 766,872 2007-02-02 $38.45 $36.67 21.6% 7.0% 24.9% 0.0% 30.9% 6.8% 1.7% -27.6M 40.9M -6.1M 13.41 26.58 8,301 111,333 284,304 810,300 2007-02-05 $38.49 $36.67 22.2% 5.0% 22.2% 0.0% 15.7% 4.6% 8.5% -33.8M 481.0K -5.9M 6.08 95.37 7,065 42,954 287,226 896,253 2007-02-06 $38.87 $36.67 21.3% 6.9% 22.3% 0.0% 26.0% 5.5% 2.2% -31.0M -17.7M -6.0M 13.18 28.47 9,381 123,642 289,734 901,977 2007-02-07 $38.72 $36.67 20.2% 7.0% 20.4% 0.0% 26.1% 6.8% 1.5% -42.8M 78.5M -6.3M 3.16 15.53 18,309 57,855 289,113 971,475 2007-02-08 $38.51 $36.67 24.0% 6.9% 20.5% 0.0% 26.7% 6.4% 2.2% -50.2M 174.4M -6.6M 5.52 14.22 2,778 15,336 298,194 1,004,145 2007-02-09 $38.05 $36.67 24.4% 7.0% 20.9% 0.0% 25.8% 6.6% 1.7% -61.4M 351.8M -6.8M 25.89 19.98 849 21,978 299,442 1,016,847 2007-02-12 $37.79 $36.67 24.8% 7.1% 20.0% 0.0% 26.4% 6.9% 1.5% -70.0M 467.4M -6.7M 3.42 17.99 9,198 31,425 300,099 1,029,621 2007-02-13 $38.39 $36.67 24.3% 7.0% 20.7% 0.0% 25.5% 6.5% 1.4% -61.0M 252.1M -6.6M 1.22 13.29 18,024 22,020 306,735 1,045,896 2007-02-14 $39.22 $36.67 21.4% 6.2% 21.7% 0.0% 26.5% 6.2% 3.4% -36.7M -48.4M -6.3M 10.51 14.04 16,035 168,570 314,187 1,054,596 2007-02-15 $39.24 $36.67 21.2% 6.1% 21.2% 0.0% 23.4% 6.0% 3.1% -47.4M 16.2M -6.6M 2.73 12.86 5,994 16,386 322,251 1,137,648 2007-02-16 $39.33 $36.67 21.1% 6.1% 20.5% 0.0% 22.4% 6.0% 3.5% -45.7M -78.8M -6.3M 0.84 11.62 43,779 36,879 325,185 1,107,522 2007-02-20 $39.43 $36.67 22.3% 6.4% 20.4% 0.0% 25.1% 6.3% 0.6% -47.3M -14.7M -6.2M 7.38 9.76 11,181 82,557 299,907 1,013,466 2007-02-21 $39.54 $36.67 21.6% 6.2% 19.0% 0.0% 27.6% 6.9% 1.5% -49.7M 13.3M -6.5M 12.82 8.93 2,379 30,498 305,748 1,073,877 2007-02-22 $39.50 $36.67 21.9% 6.3% 18.9% 0.0% 26.7% 6.6% 1.3% -50.9M 10.7M -6.5M 26.62 24.24 12,456 331,587 307,287 1,086,195 2007-02-23 $39.17 $38.33 25.3% 7.2% 15.0% 0.0% 25.2% 6.8% 0.5% -84.0M 329.8M -7.5M 2.17 18.09 19,920 43,152 317,226 1,229,064 2007-02-26 $39.15 $38.33 25.4% 7.3% 15.0% 0.0% 25.6% 6.4% 0.3% -78.8M 284.4M -7.3M 0.88 14.19 15,717 13,785 331,593 1,179,003 2007-02-27 $35.97 $38.33 35.3% 10.1% 34.0% 0.0% 37.4% 12.4% -4.4% -88.6M 1.45B -7.8M 1.90 51.42 54,879 104,253 336,627 1,181,382 2007-02-28 $36.58 $38.33 33.5% 9.6% 34.1% 0.0% 33.7% 8.6% -6.1% -102.2M 1.23B -7.9M 3.63 43.69 30,927 112,281 348,639 1,224,621
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