EEM Options History — August 2007

In August 2007, EEM traded between $39.50 and $45.13. ATM implied volatility averaged 37.8%, placing in the 71.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 2.2% (HV 20d: 40.0%). Max pain ranged from $43.33 to $45.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 4.10.

Notable Days

2007-08-16: Highest Volume — 407,844 contracts
2007-08-09: Largest IV spike — 15.5% change
2007-08-06: Highest IV Rank — 100.0%
2007-08-06: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.71	$39.50	$45.13	$44.02	$44.65
Max Pain	$43.90	$43.33	$45.00	$45.00	$43.33
ATM IV	37.8%	31.4%	45.1%	40.9%	31.4%
Expected Move	10.8%	9.0%	12.8%	11.7%	9.0%
HV 20d	40.0%	32.7%	44.4%	32.7%	42.1%
HV 60d	30.0%	25.7%	33.9%	25.8%	33.7%
IV Rank	71.7%	45.7%	100.0%	89.3%	45.7%
IV Percentile	91.5%	75.4%	100.0%	98.6%	75.4%
Term Structure	-1.4%	-7.9%	2.5%	-4.6%	2.5%
VWIV	39.4%	34.1%	47.3%	40.7%	34.1%
Skew 25d	10.8%	8.3%	13.2%	12.2%	10.9%
Skew 10d	21.3%	17.3%	26.0%	25.0%	22.6%
Call IV 25d	32.4%	27.7%	38.1%	33.7%	27.7%
Put IV 25d	43.2%	37.4%	50.2%	45.9%	38.5%
Bid-Ask Spread %	26.43	14.99	44.72	23.51	14.99
Gamma HHI	0.13	0.12	0.18	0.12	0.12
Net GEX	-98.1M	-146.1M	-56.3M	-80.0M	-56.3M
Net DEX	1.56B	-28.5M	3.80B	997.5M	-28.5M
Net VEX	-17.1M	-18.3M	-16.0M	-17.6M	-16.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.10	0.91	17.35	6.17	1.19
Total Volume	160,477.435	59,643	407,844	193,548	117,744
Total OI	3,131,785.304	2,831,550	3,434,247	2,831,550	3,145,833

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2007-08-01	$44.02	$45.00	40.9%	11.7%	32.7%	89.3%	40.7%	12.2%	-4.6%	-80.0M	997.5M	-17.6M	6.17	23.51	26,988	166,560	907,725	1,923,825
2007-08-02	$44.50	$45.00	35.1%	10.1%	32.9%	64.6%	36.8%	11.1%	0.4%	-84.4M	847.6M	-17.8M	17.35	25.88	12,567	218,088	904,206	2,019,243
2007-08-03	$42.58	$45.00	40.4%	11.6%	35.6%	87.1%	42.7%	11.3%	-0.3%	-104.0M	2.06B	-17.8M	4.63	44.72	27,645	127,860	908,466	2,082,225
2007-08-06	$43.34	$45.00	45.1%	12.8%	36.1%	100.0%	47.3%	12.1%	-7.9%	-100.3M	1.57B	-18.3M	6.73	18.50	19,788	133,110	916,767	2,135,715
2007-08-07	$43.67	$45.00	38.5%	10.9%	35.7%	73.6%	40.2%	8.3%	-2.6%	-113.2M	1.44B	-18.0M	2.43	34.03	81,123	197,064	913,080	2,180,118
2007-08-08	$45.13	$44.00	32.9%	9.8%	37.7%	51.4%	35.4%	9.2%	-0.7%	-90.3M	465.7M	-17.8M	2.25	31.20	51,309	115,479	975,348	2,182,002
2007-08-09	$43.27	$44.00	38.0%	11.0%	39.4%	71.7%	39.1%	10.4%	-2.2%	-115.2M	1.66B	-18.0M	1.52	26.56	59,958	91,233	999,705	2,183,664
2007-08-10	$42.52	$44.00	36.7%	11.1%	39.2%	66.6%	39.2%	11.1%	-2.9%	-115.0M	1.66B	-18.3M	2.16	29.20	62,835	135,624	1,047,885	2,223,735
2007-08-13	$42.94	$44.00	37.8%	10.7%	39.5%	71.2%	36.9%	11.0%	-2.1%	-124.3M	1.83B	-18.0M	1.97	28.03	32,382	63,735	1,079,829	2,275,623
2007-08-14	$41.83	$44.00	39.7%	10.8%	40.2%	78.6%	34.6%	10.0%	-3.5%	-146.0M	2.65B	-17.1M	0.91	22.92	107,277	97,281	1,072,371	2,261,487
2007-08-15	$40.18	$44.00	44.3%	11.2%	42.0%	96.8%	39.6%	10.2%	-3.3%	-146.1M	3.60B	-16.0M	2.92	27.05	69,834	203,952	1,156,242	2,274,054
2007-08-16	$39.50	$44.00	42.5%	12.2%	41.6%	89.6%	42.0%	13.2%	-5.7%	-136.8M	3.80B	-16.1M	3.41	30.29	92,415	315,429	1,137,969	2,296,278
2007-08-17	$40.75	$43.33	40.6%	11.6%	44.0%	82.1%	40.3%	12.2%	-3.9%	-119.9M	2.97B	-16.6M	1.49	27.25	60,444	90,108	1,109,766	2,317,602
2007-08-20	$40.83	$43.33	40.9%	11.7%	42.1%	83.4%	39.9%	10.5%	-3.4%	-92.9M	2.10B	-16.4M	1.06	32.42	53,262	56,376	957,858	1,986,567
2007-08-21	$40.68	$43.33	40.9%	11.7%	40.9%	83.2%	39.2%	11.0%	-1.0%	-94.4M	2.16B	-16.2M	2.45	16.37	17,301	42,342	977,412	2,017,002
2007-08-22	$42.43	$43.33	36.9%	10.6%	44.3%	67.3%	39.7%	11.0%	0.1%	-81.4M	1.21B	-17.1M	4.19	22.14	26,238	109,854	985,335	2,034,183
2007-08-23	$42.65	$43.33	33.7%	9.7%	41.1%	54.7%	42.7%	10.4%	0.9%	-79.8M	1.12B	-17.1M	5.85	27.27	19,935	116,553	988,944	2,040,717
2007-08-24	$43.67	$43.33	33.7%	9.7%	41.7%	54.8%	37.7%	10.5%	1.6%	-65.6M	523.2M	-17.1M	2.17	27.93	38,898	84,405	995,727	2,042,034
2007-08-27	$43.87	$43.33	32.6%	9.3%	40.0%	50.4%	35.8%	9.6%	2.1%	-65.3M	421.6M	-16.6M	1.59	21.77	24,738	39,363	1,011,699	2,041,578
2007-08-28	$42.08	$43.33	37.5%	10.7%	42.0%	69.8%	39.1%	9.6%	0.6%	-95.8M	1.50B	-16.3M	3.99	29.70	22,302	88,923	1,001,262	2,056,632
2007-08-29	$43.75	$43.33	34.3%	9.8%	44.4%	57.2%	35.7%	10.8%	1.2%	-73.5M	533.6M	-16.7M	1.08	28.12	40,488	43,809	1,005,357	2,114,766
2007-08-30	$43.53	$43.33	35.2%	10.1%	44.3%	60.9%	46.3%	10.8%	1.4%	-75.9M	684.7M	-16.6M	16.88	18.14	4,941	83,421	1,022,397	2,120,829
2007-08-31	$44.65	$43.33	31.4%	9.0%	42.1%	45.7%	34.1%	10.9%	2.5%	-56.3M	-28.5M	-16.4M	1.19	14.99	53,784	63,960	1,012,971	2,132,862