EEM Options History — April 2007

In April 2007, EEM traded between $39.15 and $41.45. ATM implied volatility averaged 23.8%. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.8% (HV 20d: 17.9%). Max pain ranged from $38.33 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 3.31.

Notable Days

  • 2007-04-10: Highest Volume — 261,087 contracts
  • 2007-04-30: Largest IV spike — 23.2% change
  • 2007-04-02: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.62$39.15$41.45$39.15$40.28
Max Pain$39.58$38.33$40.00$38.33$40.00
ATM IV23.8%21.5%28.0%28.0%28.0%
Expected Move6.9%6.2%8.0%8.0%8.0%
HV 20d17.9%12.6%26.9%26.9%14.9%
HV 60d27.9%26.8%29.3%29.3%27.0%
Term Structure1.4%-0.9%4.2%0.8%-0.1%
VWIV26.8%23.2%28.9%26.6%28.4%
Skew 25d8.7%7.1%10.0%9.1%9.7%
Skew 10d16.7%14.3%19.7%17.1%15.8%
Call IV 25d21.0%18.8%23.2%22.3%23.2%
Put IV 25d29.7%25.9%32.9%31.5%32.9%
Bid-Ask Spread %17.198.0737.3521.7835.61
Gamma HHI0.170.160.200.200.16
Net GEX-55.1M-96.9M-25.0M-59.5M-96.9M
Net DEX204.7M-350.4M996.9M513.7M996.9M
Net VEX-9.1M-10.6M-7.9M-9.3M-10.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.310.6411.634.350.64
Total Volume104,858.748,450261,087132,05764,179
Total OI2,113,057.051,777,9172,408,0371,905,1832,128,869

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$39.15$38.3328.0%8.0%26.9%0.0%26.6%9.1%0.8%-59.5M513.7M-9.3M4.3521.7824,675107,382403,7191,501,464
2007-04-03$39.70$38.3322.6%6.5%23.4%0.0%27.5%8.1%3.4%-55.8M339.5M-9.3M2.639.8636,21095,412416,4421,581,447
2007-04-04$40.00$38.3322.1%6.3%23.0%0.0%24.7%8.0%3.1%-52.9M200.9M-9.1M2.608.0728,14973,251422,3491,639,800
2007-04-05$40.10$38.3321.5%6.2%21.8%0.0%23.2%7.1%4.2%-47.0M180.2M-9.2M1.829.7920,03736,453429,5521,643,949
2007-04-09$40.26$38.3323.8%7.7%21.8%0.0%28.8%9.2%0.4%-48.3M141.7M-9.0M3.4012.4715,96654,291418,1851,648,512
2007-04-10$40.45$40.0022.8%7.4%21.8%0.0%27.1%9.2%0.5%-45.7M49.1M-8.7M6.0815.6536,876224,211421,0741,676,532
2007-04-11$40.07$40.0024.1%7.6%17.8%0.0%28.1%9.3%0.7%-64.7M436.7M-9.4M1.1212.8344,93150,109427,6141,765,122
2007-04-12$40.74$40.0026.4%7.6%18.1%0.0%28.9%8.3%-0.9%-43.4M24.4M-8.9M1.7911.5718,39332,946456,7561,751,808
2007-04-13$40.99$40.0022.6%6.5%18.1%0.0%26.7%7.8%1.9%-38.6M-129.0M-8.5M8.1116.4112,813103,860461,1511,759,653
2007-04-16$41.45$40.0022.8%6.5%17.4%0.0%26.6%8.4%2.0%-25.0M-350.4M-7.9M2.1213.3245,26196,168463,1461,759,095
2007-04-17$41.21$40.0023.2%6.6%16.7%0.0%27.0%8.4%1.4%-35.6M-234.4M-8.4M0.9415.0333,24631,359482,0491,813,944
2007-04-18$40.89$40.0023.0%6.6%17.2%0.0%26.2%8.6%1.6%-37.6M-94.1M-8.5M2.1417.0832,14868,757485,1661,814,307
2007-04-19$40.57$40.0027.2%7.8%14.5%0.0%28.8%9.3%-0.4%-48.3M104.8M-9.0M1.9810.6041,19381,372505,4491,867,689
2007-04-20$41.05$40.0022.5%6.4%14.7%0.0%25.0%8.3%1.4%-58.3M-155.5M-8.9M1.3012.9926,62834,560518,4751,889,562
2007-04-23$40.84$40.0023.6%6.8%14.9%0.0%25.3%9.1%1.4%-64.2M456.0M-9.1M1.5320.3734,75553,337370,2361,407,681
2007-04-24$40.90$40.0022.8%6.5%14.8%0.0%26.8%9.4%1.8%-66.6M474.8M-9.4M11.6319.6916,749194,748388,3171,445,211
2007-04-25$41.35$40.0023.2%6.7%15.0%0.0%28.6%10.0%1.3%-64.5M317.6M-9.6M4.4537.3515,12067,347400,4911,597,152
2007-04-26$41.28$40.0023.0%6.6%13.3%0.0%26.1%8.5%1.4%-70.3M374.1M-9.8M1.6430.1218,34530,105412,8121,627,170
2007-04-27$41.09$40.0022.7%6.5%12.6%0.0%25.8%8.1%1.7%-78.4M446.9M-9.9M5.9113.2113,86981,963419,6821,639,509
2007-04-30$40.28$40.0028.0%8.0%14.9%0.0%28.4%9.7%-0.1%-96.9M996.9M-10.6M0.6435.6139,04525,134425,6551,703,214