EEM Options History — May 2007

In May 2007, EEM traded between $40.44 and $42.37. ATM implied volatility averaged 25.9%. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 6.9% (HV 20d: 19.0%). Max pain ranged from $40.00 to $41.67. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 3.52.

Notable Days

  • 2007-05-15: Highest Volume — 278,235 contracts
  • 2007-05-02: Largest IV drop — 22.3% change
  • 2007-05-29: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.78$40.44$42.37$40.44$42.27
Max Pain$41.36$40.00$41.67$40.00$41.67
ATM IV25.9%22.1%29.3%28.4%28.4%
Expected Move7.5%6.3%8.4%8.1%8.2%
HV 20d19.0%14.8%22.3%14.8%20.1%
HV 60d26.0%19.7%28.1%27.0%19.7%
Term Structure0.2%-1.8%2.3%-0.9%-1.2%
VWIV29.0%24.5%36.0%28.4%32.3%
Skew 25d9.2%7.3%12.0%8.4%8.6%
Skew 10d18.6%15.2%24.7%17.1%19.4%
Call IV 25d22.2%19.8%24.4%23.4%22.9%
Put IV 25d31.3%27.2%36.2%31.9%31.4%
Bid-Ask Spread %23.6312.5156.7113.1816.25
Gamma HHI0.180.160.210.160.21
Net GEX-76.7M-107.7M-48.1M-90.9M-86.4M
Net DEX356.8M-25.2M934.7M911.9M271.2M
Net VEX-11.3M-13.1M-9.9M-10.4M-12.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.520.6810.149.051.65
Total Volume104,708.31821,516278,235136,80955,800
Total OI2,504,4842,150,9822,783,0102,150,9822,782,416

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$40.44$40.0028.4%8.1%14.8%0.0%28.4%8.4%-0.9%-90.9M911.9M-10.4M9.0513.1813,617123,192438,8701,712,112
2007-05-02$41.24$40.0022.1%6.3%15.5%0.0%28.8%8.7%2.3%-77.2M482.1M-9.9M2.5716.1028,00271,835448,6861,718,529
2007-05-03$41.61$40.0022.3%6.4%15.6%0.0%25.5%7.3%2.1%-63.8M306.1M-10.1M0.8517.1930,11725,467470,7391,727,214
2007-05-04$41.58$40.0022.1%6.9%15.6%0.0%24.5%8.6%0.6%-58.7M248.7M-10.3M4.5014.6828,734129,390495,0091,728,726
2007-05-07$41.85$41.6722.8%7.1%15.7%0.0%25.5%8.2%0.5%-67.7M180.9M-10.3M1.2123.1515,67818,918510,1411,813,758
2007-05-08$41.30$41.6723.9%7.2%16.5%0.0%26.8%9.4%0.1%-74.3M423.8M-10.7M2.6933.3812,13832,637518,7211,815,942
2007-05-09$41.97$41.6723.5%7.1%16.9%0.0%27.6%8.1%0.9%-65.3M132.8M-10.2M4.6523.5914,23266,183507,7111,835,004
2007-05-10$40.94$41.6726.0%7.5%18.5%0.0%29.5%9.8%-0.1%-99.3M795.2M-10.9M7.3855.6211,64685,932515,6341,866,216
2007-05-11$41.98$41.6724.9%7.2%20.4%0.0%30.8%9.3%0.6%-70.0M193.0M-10.6M2.6135.1959,064154,071523,6771,906,368
2007-05-14$41.57$41.6726.1%7.5%20.5%0.0%27.5%9.7%0.2%-74.9M414.7M-10.7M0.6812.5186,69459,196544,3531,924,752
2007-05-15$41.63$41.6727.0%7.7%20.3%0.0%33.0%11.0%-0.3%-67.0M358.7M-11.0M10.1431.4224,981253,254609,3391,931,091
2007-05-16$42.22$41.6726.5%7.6%20.7%0.0%27.2%9.6%0.5%-58.9M64.9M-11.4M0.9822.3544,92843,827618,6272,092,194
2007-05-17$42.05$41.6726.1%7.5%20.5%0.0%30.4%9.1%0.7%-48.1M118.0M-11.5M4.0724.5123,17294,338649,1852,104,668
2007-05-18$42.28$41.6727.0%7.7%20.2%0.0%28.4%8.8%0.4%-69.6M-25.2M-11.6M1.3315.1635,45147,289648,3272,134,683
2007-05-21$42.34$41.6726.9%7.7%20.0%0.0%27.7%8.6%0.5%-77.5M189.4M-11.3M1.5817.2291,143143,892571,3381,861,857
2007-05-22$42.37$41.6727.1%7.8%20.0%0.0%28.4%8.3%-0.5%-76.0M190.5M-12.4M3.0617.485,30416,212642,9031,953,747
2007-05-23$42.30$41.6726.6%7.6%19.7%0.0%27.2%8.9%-0.1%-80.1M278.2M-12.3M1.2214.7636,73844,796640,5121,950,861
2007-05-24$41.28$41.6726.5%7.6%21.7%0.0%31.4%12.0%0.6%-107.7M934.7M-13.1M3.7156.7126,46098,106668,3551,986,057
2007-05-25$41.92$41.6726.7%7.7%22.3%0.0%29.5%8.8%0.4%-89.1M435.2M-12.9M4.2622.376,92729,508685,0592,030,058
2007-05-29$41.77$41.6729.3%8.4%21.0%0.0%30.7%10.2%-1.8%-98.9M609.6M-12.4M1.4020.0325,42535,568687,1532,047,221
2007-05-30$42.20$41.6728.4%8.1%21.2%0.0%36.0%9.8%-0.8%-86.5M335.5M-12.5M7.9417.016,01247,709707,6912,073,144
2007-05-31$42.27$41.6728.4%8.2%20.1%0.0%32.3%8.6%-1.2%-86.4M271.2M-12.3M1.6516.2521,09334,707708,4052,074,011