EEM Options History — June 2007

In June 2007, EEM traded between $41.30 and $44.40. ATM implied volatility averaged 27.8%. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 5.0% (HV 20d: 22.8%). Max pain ranged from $41.67 to $43.33. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.18.

Notable Days

  • 2007-06-06: Highest Volume — 413,109 contracts
  • 2007-06-06: Largest IV spike — 23.6% change
  • 2007-06-12: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.20$41.30$44.40$43.38$43.88
Max Pain$42.46$41.67$43.33$41.67$43.33
ATM IV27.8%24.6%33.2%25.1%26.7%
Expected Move8.1%7.1%9.1%7.2%7.7%
HV 20d22.8%20.8%24.3%21.8%21.4%
HV 60d19.7%19.5%20.6%20.2%19.5%
Term Structure0.7%-0.7%2.0%0.9%1.6%
VWIV31.1%26.9%34.9%30.8%27.5%
Skew 25d8.5%6.9%11.0%7.9%7.8%
Skew 10d16.7%13.4%20.7%19.4%15.6%
Call IV 25d24.4%22.5%28.3%23.0%22.5%
Put IV 25d32.9%30.1%38.4%30.9%30.3%
Bid-Ask Spread %18.839.7136.5136.5117.80
Gamma HHI0.160.120.240.180.13
Net GEX-62.1M-147.1M-7.3M-56.4M-49.2M
Net DEX82.7M-1.07B1.17B-395.3M99.4M
Net VEX-13.5M-14.1M-11.8M-11.8M-13.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.181.009.073.001.17
Total Volume134,448.71438,334413,109153,867156,474
Total OI2,672,613.4291,964,3763,471,3302,816,4782,226,777

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$43.38$41.6725.1%7.2%21.8%0.0%30.8%7.9%0.9%-56.4M-395.3M-11.8M3.0036.5138,442115,425719,2292,097,249
2007-06-04$43.18$41.6726.8%7.8%21.9%0.0%34.9%9.8%0.9%-60.7M-292.7M-12.1M5.049.7128,200142,134728,6372,137,458
2007-06-05$43.03$41.6726.9%8.1%21.9%0.0%32.7%9.3%0.4%-76.9M-121.6M-12.4M2.9415.9322,44366,015743,7602,221,287
2007-06-06$41.95$41.6733.2%8.9%23.4%0.0%33.5%11.0%-0.7%-107.0M484.4M-13.1M9.0711.4341,028372,081759,5132,270,982
2007-06-07$41.30$41.6732.3%9.1%23.4%0.0%34.8%10.1%-0.1%-147.1M1.17B-13.9M7.3617.9139,666291,834782,5292,398,455
2007-06-08$42.03$41.6728.2%8.8%22.4%0.0%32.2%9.3%0.0%-107.9M468.3M-13.9M1.7412.6153,22692,685787,6412,440,491
2007-06-11$42.39$41.6730.9%9.0%20.8%0.0%34.3%8.9%-0.4%-81.6M145.1M-13.7M1.5415.6132,40349,890827,5892,492,613
2007-06-12$41.68$41.6730.0%9.1%21.4%0.0%34.8%8.9%-0.6%-133.4M722.6M-13.6M4.4317.6420,88092,544828,0212,490,522
2007-06-13$42.49$41.6725.5%8.7%22.5%0.0%31.4%9.4%0.4%-68.3M74.1M-13.5M4.2021.8731,104130,767823,5392,543,901
2007-06-14$43.16$41.6727.9%8.0%22.6%0.0%31.2%9.0%1.2%-12.1M-416.0M-13.5M2.4223.3266,168160,236823,1312,547,555
2007-06-15$44.14$41.6728.2%8.1%23.7%0.0%29.0%7.2%0.3%-7.3M-1.07B-13.4M1.6120.83105,150169,227858,3332,612,997
2007-06-18$44.18$43.3326.3%7.5%23.7%0.0%33.3%8.5%1.2%-35.1M6.4M-13.8M1.5614.2031,46749,212579,8911,384,485
2007-06-19$44.23$43.3325.9%7.4%23.7%0.0%29.7%8.1%1.2%-33.8M-66.8M-13.8M1.8234.1016,78230,534596,4871,423,551
2007-06-20$43.85$43.3327.8%8.0%24.0%0.0%29.2%8.0%1.1%-43.0M113.1M-14.1M1.4825.0624,56436,327619,1761,457,088
2007-06-21$44.40$43.3324.6%7.1%24.3%0.0%28.6%7.1%2.0%-32.0M-157.6M-13.9M2.8416.2013,77639,096632,7601,476,594
2007-06-22$43.81$43.3327.0%7.8%22.9%0.0%27.9%7.5%1.6%-43.4M111.7M-14.1M1.9015.6813,19725,137631,4401,471,407
2007-06-25$43.48$43.3327.5%7.9%22.7%0.0%29.6%6.9%0.9%-54.2M266.3M-13.8M4.4216.0314,19662,811638,6971,479,573
2007-06-26$43.10$43.3327.7%8.0%23.0%0.0%30.0%8.5%1.0%-55.0M306.0M-14.1M1.4118.2217,64624,906649,7071,517,676
2007-06-27$43.70$43.3327.7%7.9%23.2%0.0%30.6%7.4%1.1%-49.4M168.2M-14.1M5.8822.045,59532,904662,5171,535,589
2007-06-28$43.72$43.3327.6%7.9%23.2%0.0%26.9%7.5%1.2%-49.7M121.6M-14.0M1.0012.6533,56133,690663,5491,542,486
2007-06-29$43.88$43.3326.7%7.7%21.4%0.0%27.5%7.8%1.6%-49.2M99.4M-13.9M1.1717.8072,27384,201662,4391,564,338