EEM Options History — March 2007

In March 2007, EEM traded between $35.10 and $39.01. ATM implied volatility averaged 30.7%. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 6.8% (HV 20d: 37.5%). Max pain ranged from $36.67 to $38.33. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 4.31.

Notable Days

  • 2007-03-14: Highest Volume — 314,448 contracts
  • 2007-03-13: Largest IV spike — 42.2% change
  • 2007-03-05: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.51$35.10$39.01$36.34$38.83
Max Pain$36.82$36.67$38.33$38.33$36.67
ATM IV30.7%24.4%43.4%33.6%25.7%
Expected Move8.6%7.0%10.8%9.6%7.4%
HV 20d37.5%28.7%42.6%34.0%29.0%
HV 60d30.4%29.4%31.2%30.9%29.4%
Term Structure-0.4%-4.7%3.5%-2.9%2.6%
VWIV32.5%24.1%38.7%37.6%30.2%
Skew 25d11.3%8.1%14.1%12.4%8.8%
Skew 10d22.2%13.8%29.0%23.0%15.3%
Call IV 25d25.4%19.4%33.4%29.8%21.3%
Put IV 25d36.8%28.5%46.7%42.2%30.2%
Bid-Ask Spread %14.187.1523.0913.4018.63
Gamma HHI0.270.200.820.260.22
Net GEX-103.5M-434.7M-46.1M-101.1M-64.0M
Net DEX1.06B379.1M2.14B1.45B620.6M
Net VEX-8.9M-10.1M-7.9M-8.1M-9.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.311.4510.514.286.79
Total Volume130,743.68236,393314,448180,219112,716
Total OI1,851,769.0911,449,5222,281,0981,601,0671,876,683

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$36.34$38.3333.6%9.6%34.0%0.0%37.6%12.4%-2.9%-101.1M1.45B-8.1M4.2813.4034,140146,079363,9211,237,146
2007-03-02$35.99$38.3336.4%10.4%33.6%0.0%38.1%13.3%-4.1%-100.8M1.66B-8.3M6.1721.1928,521176,052386,0191,314,387
2007-03-05$35.10$36.6743.4%10.8%34.5%0.0%37.8%14.1%-4.7%-96.7M2.14B-7.9M4.6713.2251,231239,289407,5471,367,847
2007-03-06$36.62$36.6736.1%9.5%38.3%0.0%36.7%12.8%-2.7%-113.1M1.46B-8.6M5.5514.0319,722109,521439,6021,429,950
2007-03-07$36.37$36.6735.4%9.8%38.0%0.0%35.4%12.0%-3.2%-111.2M1.67B-8.5M2.0623.0918,53138,133449,9071,433,574
2007-03-08$37.26$36.6737.0%9.5%39.3%0.0%31.3%13.0%-2.5%-112.3M1.08B-8.6M2.079.9340,27883,370464,2711,440,441
2007-03-09$37.40$36.6733.9%9.3%39.3%0.0%34.5%12.5%-2.1%-126.0M1.04B-8.7M2.1712.4029,89564,971489,9331,489,023
2007-03-12$37.59$36.6727.2%8.3%39.2%0.0%31.2%12.2%-0.9%-131.4M855.8M-8.5M2.1215.5942,60990,309507,6211,505,970
2007-03-13$36.37$36.6738.7%10.0%40.8%0.0%36.6%13.9%-3.7%-112.1M1.60B-8.5M3.468.7334,260118,482530,7271,519,065
2007-03-14$36.79$36.6731.4%9.7%40.6%0.0%38.7%13.5%-2.7%-119.0M1.38B-8.5M6.437.1542,312272,136545,1631,572,030
2007-03-15$37.09$36.6733.2%9.5%39.8%0.0%34.4%12.3%-1.7%-117.9M1.25B-8.9M1.9010.0631,02358,914553,9861,715,814
2007-03-16$36.75$36.6733.1%9.5%39.9%0.0%36.1%12.0%-1.3%-434.7M1.36B-8.8M3.488.2924,48685,272547,3861,733,712
2007-03-19$37.60$36.6728.5%8.2%40.9%0.0%32.0%12.0%0.6%-57.4M807.2M-8.8M5.4310.8318,18698,778336,6031,112,919
2007-03-20$37.78$36.6725.8%7.4%41.0%0.0%31.8%11.0%2.8%-56.7M767.8M-9.1M10.5120.629,43599,183344,4271,193,748
2007-03-21$38.96$36.6725.5%7.3%42.6%0.0%30.1%9.0%2.4%-46.1M379.1M-8.8M4.5313.3545,558206,526348,9751,254,630
2007-03-22$38.79$36.6724.4%7.0%42.6%0.0%26.9%9.6%3.5%-55.7M519.2M-9.4M2.8914.5214,55342,096365,6461,372,035
2007-03-23$39.01$36.6724.4%7.0%42.6%0.0%26.2%9.2%3.0%-54.3M475.3M-9.2M3.1115.2313,86343,155361,0981,383,210
2007-03-26$38.88$36.6725.4%7.3%42.6%0.0%25.9%9.7%2.3%-55.6M532.6M-9.4M1.4515.8928,75241,736368,0761,405,458
2007-03-27$38.78$36.6724.9%7.1%28.7%0.0%24.1%8.1%2.4%-68.9M593.5M-9.3M6.2415.9213,26982,758388,4491,425,654
2007-03-28$38.16$36.6725.8%7.4%29.0%0.0%27.4%9.4%2.6%-78.4M940.6M-10.1M2.2816.7811,08825,305390,7621,501,731
2007-03-29$38.84$36.6726.3%7.5%29.3%0.0%31.9%8.7%2.2%-63.6M648.0M-9.6M7.2913.0110,84279,026393,9481,469,826
2007-03-30$38.83$36.6725.7%7.4%29.0%0.0%30.2%8.8%2.6%-64.0M620.6M-9.5M6.7918.6314,46998,247401,0581,475,625