EEM Options History — September 2007

In September 2007, EEM traded between $44.05 and $50.13. ATM implied volatility averaged 34.0%, placing in the 56.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 0.0% (HV 20d: 34.0%). Max pain ranged from $43.33 to $46.67. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 2.95.

Notable Days

  • 2007-09-19: Highest Volume — 258,030 contracts
  • 2007-09-18: Largest IV drop — 17.3% change
  • 2007-09-07: Highest IV Rank — 77.2%
  • 2007-09-07: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.78$44.05$50.13$45.40$49.82
Max Pain$45.00$43.33$46.67$43.33$46.67
ATM IV34.0%28.1%39.4%34.4%30.2%
Expected Move9.9%8.1%11.9%9.9%8.7%
HV 20d34.0%24.2%42.5%42.1%24.3%
HV 60d34.1%33.5%34.7%33.7%34.7%
IV Rank56.1%32.7%77.2%57.4%40.9%
IV Percentile78.9%60.3%93.6%83.3%68.3%
Term Structure-0.5%-3.2%1.9%1.9%1.1%
VWIV37.7%31.0%43.7%38.0%32.3%
Skew 25d11.1%9.0%12.5%11.8%9.8%
Skew 10d20.9%18.0%25.0%24.6%20.8%
Call IV 25d29.5%25.3%34.4%28.4%26.7%
Put IV 25d40.6%34.3%46.5%40.2%36.5%
Bid-Ask Spread %20.3011.8436.0620.8619.69
Gamma HHI0.150.100.630.110.11
Net GEX-9.9M-81.9M295.3M-40.7M-21.9M
Net DEX-961.6M-2.49B450.0M-436.4M-1.32B
Net VEX-15.1M-16.3M-14.0M-15.9M-14.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.950.907.071.592.47
Total Volume128,227.10556,016258,030106,84275,702
Total OI3,211,291.2632,297,2863,898,3263,204,4982,500,806

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$45.40$43.3334.4%9.9%42.1%57.4%38.0%11.8%1.9%-40.7M-436.4M-15.9M1.5920.8641,25365,5891,036,9532,167,545
2007-09-05$44.72$43.3335.0%10.0%42.5%59.9%38.8%11.5%1.3%-67.2M29.1M-15.9M3.3416.4612,90943,1071,049,6522,194,437
2007-09-06$45.07$43.3334.9%10.0%40.9%59.6%34.1%12.0%1.6%-45.3M-333.0M-15.8M1.9917.9125,98351,7291,052,6102,185,989
2007-09-07$44.05$45.0039.4%11.9%38.8%77.2%43.3%11.5%-3.2%-74.1M450.0M-16.3M4.7418.5818,13885,9681,062,8912,222,025
2007-09-10$44.08$45.0038.9%11.8%38.2%75.5%39.4%12.3%-2.6%-81.9M429.8M-16.0M4.4120.1219,13184,3121,063,2602,270,259
2007-09-11$44.97$45.0036.1%11.0%38.6%64.2%43.7%12.0%-2.4%-61.1M-151.8M-15.7M3.0211.8427,42982,7581,070,8472,312,010
2007-09-12$45.13$45.0034.5%10.9%37.1%58.0%40.8%11.3%-2.3%-62.6M-270.6M-15.6M4.0622.9840,641164,8051,083,0452,353,302
2007-09-13$45.63$45.0037.5%10.7%33.3%69.8%42.7%11.6%-1.7%-32.9M-729.0M-15.5M5.3325.6329,883159,2251,102,1882,396,982
2007-09-14$45.72$45.0036.9%10.6%32.2%67.5%39.1%11.5%-1.2%-46.5M-729.3M-15.5M2.5315.8924,82262,7991,111,8002,479,344
2007-09-17$45.43$45.0038.3%11.0%31.3%72.9%40.0%12.5%-2.4%-50.7M-542.3M-15.0M0.9016.0083,51774,8741,115,4812,486,868
2007-09-18$47.63$45.0031.6%9.1%34.6%46.6%40.2%12.1%0.1%52.1M-2.37B-14.2M2.7027.6960,834164,0521,169,5892,536,296
2007-09-19$47.85$45.0032.8%9.4%34.3%51.2%37.3%11.4%-0.7%52.7M-2.48B-14.3M0.9721.17131,232126,7981,168,6772,598,909
2007-09-20$47.70$45.0032.8%9.4%32.1%51.1%37.6%11.2%-0.2%44.6M-2.11B-15.0M2.3219.0246,401107,4571,167,4232,668,215
2007-09-21$48.33$45.0031.7%9.1%32.2%46.6%35.1%9.9%-0.2%295.3M-2.49B-14.7M1.6020.7152,91484,7261,165,8002,732,526
2007-09-24$48.93$45.0032.2%9.2%31.6%48.9%34.3%9.9%-0.2%-9.5M-1.19B-14.3M2.4936.0628,17670,092758,8291,538,457
2007-09-25$48.75$45.0032.1%9.2%31.8%48.6%34.0%10.5%-0.7%-10.9M-1.19B-14.3M7.0725.8113,19793,318770,8981,558,554
2007-09-26$49.40$46.6728.1%8.1%26.6%32.7%31.0%9.0%1.4%-15.7M-1.31B-14.3M1.6514.7835,93459,445775,6321,638,759
2007-09-27$50.13$46.6729.4%8.4%24.2%37.8%34.1%9.8%1.3%-11.3M-1.53B-14.0M2.9314.5722,16465,001788,2351,659,441
2007-09-28$49.82$46.6730.2%8.7%24.3%40.9%32.3%9.8%1.1%-21.9M-1.32B-14.6M2.4719.6921,81353,889795,7351,705,071