EEM Options History — July 2007

In July 2007, EEM traded between $43.68 and $48.01. ATM implied volatility averaged 28.2%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.9% (HV 20d: 22.3%). Max pain ranged from $43.33 to $46.67. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.95.

Notable Days

  • 2007-07-26: Highest Volume — 285,174 contracts
  • 2007-07-10: Largest IV spike — 28.4% change
  • 2007-07-27: Highest IV Rank — 92.7%
  • 2007-07-27: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.04$43.68$48.01$44.77$44.19
Max Pain$44.68$43.33$46.67$43.33$45.00
ATM IV28.2%19.9%41.7%23.0%36.2%
Expected Move8.2%6.5%11.9%6.6%10.4%
HV 20d22.3%18.5%32.8%22.4%32.8%
HV 60d21.5%19.8%25.8%19.9%25.8%
IV Rank37.8%0.0%92.7%15.8%69.4%
IV Percentile67.0%0.0%99.3%31.0%95.8%
Term Structure0.1%-6.1%3.8%3.7%-0.8%
VWIV31.0%25.4%42.9%25.4%34.8%
Skew 25d8.7%6.6%13.0%7.6%13.0%
Skew 10d17.5%11.8%25.3%18.1%21.5%
Call IV 25d25.0%20.3%35.5%20.9%31.7%
Put IV 25d33.7%27.3%46.5%28.5%44.6%
Bid-Ask Spread %24.1512.0439.0512.0434.62
Gamma HHI0.130.100.430.140.11
Net GEX-25.3M-177.5M15.1M-27.6M-66.5M
Net DEX-786.1M-1.80B980.2M-360.6M685.3M
Net VEX-14.3M-17.4M-10.5M-13.7M-17.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.951.175.501.292.70
Total Volume123,46123,028285,17423,02896,069
Total OI2,571,622.8572,293,3022,926,5242,299,5782,776,935

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$44.77$43.3323.0%6.6%22.4%0.0%25.4%7.6%3.7%-27.6M-360.6M-13.7M1.2912.0410,05012,978708,1891,591,389
2007-07-03$45.12$43.3322.8%6.5%22.4%0.0%27.2%6.6%3.8%-13.7M-605.6M-13.4M1.1727.0236,94243,188714,6031,596,504
2007-07-05$45.32$43.3323.9%6.8%19.8%15.8%28.2%8.1%1.9%-6.7M-734.7M-13.5M1.2030.8262,09474,619744,9091,625,355
2007-07-06$46.10$43.3319.9%6.8%18.9%0.0%27.3%7.7%1.6%11.8M-1.21B-13.3M5.5028.4315,45684,939791,9251,640,478
2007-07-09$46.55$43.3322.2%7.0%18.5%9.7%25.4%7.5%0.8%14.6M-1.42B-12.9M1.5723.6451,65780,997796,5151,701,282
2007-07-10$45.63$43.3328.5%8.3%20.4%36.5%30.0%8.3%-0.8%-2.5M-941.5M-13.8M3.6624.8130,624112,131838,6501,686,288
2007-07-11$46.01$45.0024.3%7.6%18.9%18.5%29.2%8.1%0.0%-6.2M-1.01B-14.4M4.5618.7111,32851,612852,9301,782,486
2007-07-12$47.02$45.0026.9%7.7%19.2%29.8%26.9%7.9%0.4%4.6M-1.55B-13.6M1.8612.8342,12078,162856,1251,803,000
2007-07-13$47.58$45.0025.3%7.2%19.0%22.9%29.8%7.9%0.8%15.1M-1.80B-13.6M4.7314.8413,85165,517880,4041,839,558
2007-07-16$47.11$45.0027.8%8.0%18.5%33.6%29.4%8.3%0.0%8.6M-1.36B-10.5M1.6818.7434,36557,666759,3541,620,918
2007-07-17$47.10$45.0028.2%8.1%18.5%35.5%30.9%7.8%-0.5%-4.5M-1.55B-13.9M5.4022.9612,28266,297899,7841,911,846
2007-07-18$46.52$45.0028.5%8.2%19.3%36.5%30.3%7.8%0.2%-26.0M-1.22B-14.4M2.2721.7343,88199,594905,6341,957,161
2007-07-19$46.97$45.0027.8%8.0%19.0%33.6%29.0%7.7%0.3%-21.3M-1.64B-14.2M2.1923.5621,47747,058928,1641,981,083
2007-07-20$46.66$45.0027.6%7.9%19.0%32.6%30.7%8.1%0.1%-177.5M-1.39B-14.4M2.6922.7651,546138,849937,5001,989,024
2007-07-23$48.01$45.0025.5%7.3%20.2%23.6%31.1%8.6%2.2%-2.1M-1.26B-13.8M2.5437.1439,519100,362776,8201,516,482
2007-07-24$46.37$45.0029.8%8.6%24.2%42.2%31.0%8.3%-0.5%-27.6M-478.8M-15.2M4.7413.5322,275105,555790,9111,597,554
2007-07-25$46.63$45.0029.5%8.4%23.8%40.7%31.2%8.9%0.0%-27.2M-560.7M-15.5M2.4024.8320,84750,004807,8431,645,053
2007-07-26$44.40$46.6737.7%10.8%30.0%75.7%38.5%12.5%-3.8%-53.3M614.8M-16.2M1.8339.05100,620184,554819,1321,664,469
2007-07-27$43.68$46.6741.7%11.9%30.6%92.7%41.0%11.0%-6.1%-67.0M980.2M-16.6M3.0834.4542,225129,867848,9911,755,447
2007-07-30$45.11$45.0035.9%10.3%32.7%68.3%42.9%10.7%-2.4%-57.3M313.8M-16.7M4.8120.5842,927206,577868,3591,795,026
2007-07-31$44.19$45.0036.2%10.4%32.8%69.4%34.8%13.0%-0.8%-66.5M685.3M-17.4M2.7034.6225,93270,137903,7741,873,161