EEM Options History — October 2007

In October 2007, EEM traded between $50.17 and $55.73. ATM implied volatility averaged 35.3%, placing in the 61.0% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 6.5% (HV 20d: 28.8%). Max pain ranged from $46.67 to $53.33. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 2.49.

Notable Days

2007-10-03: Highest Volume — 438,651 contracts
2007-10-11: Largest IV spike — 23.5% change
2007-10-19: Highest IV Rank — 96.8%
2007-10-19: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.53	$50.17	$55.73	$51.38	$55.73
Max Pain	$50.87	$46.67	$53.33	$46.67	$53.33
ATM IV	35.3%	28.5%	44.3%	28.7%	36.3%
Expected Move	10.3%	8.2%	12.7%	8.2%	10.4%
HV 20d	28.8%	24.7%	33.3%	24.9%	31.5%
HV 60d	35.1%	33.4%	36.0%	35.1%	33.9%
IV Rank	61.0%	34.2%	96.8%	34.9%	65.0%
IV Percentile	81.5%	63.2%	99.5%	65.2%	83.3%
Term Structure	-0.4%	-3.1%	2.1%	1.6%	0.8%
VWIV	37.9%	31.0%	46.0%	36.0%	36.7%
Skew 25d	9.4%	8.2%	10.6%	9.5%	9.8%
Skew 10d	17.6%	15.5%	20.4%	20.4%	15.9%
Call IV 25d	31.5%	25.7%	38.6%	25.7%	29.4%
Put IV 25d	41.0%	35.2%	48.9%	35.2%	39.2%
Bid-Ask Spread %	17.41	8.83	30.73	30.73	22.44
Gamma HHI	0.09	0.08	0.11	0.11	0.08
Net GEX	-20.0M	-85.3M	3.4M	-9.2M	2.7M
Net DEX	-1.95B	-3.05B	-606.4M	-1.89B	-3.05B
Net VEX	-17.6M	-20.2M	-13.4M	-13.7M	-18.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.49	0.66	6.16	1.15	1.83
Total Volume	182,995.174	80,235	438,651	121,851	271,722
Total OI	3,343,321.957	2,546,838	3,931,377	2,546,838	3,666,813

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
2007-10-01	$51.38	$46.67	28.7%	8.2%	24.9%	34.9%	36.0%	9.5%	1.6%	-9.2M	-1.89B	-13.7M	1.15	30.73	56,754	65,097	808,854	1,737,984
2007-10-02	$51.73	$48.33	29.7%	8.5%	24.7%	38.7%	31.7%	8.8%	2.1%	-7.5M	-2.03B	-13.4M	1.74	15.75	78,129	135,615	819,930	1,762,692
2007-10-03	$50.17	$48.33	33.9%	9.7%	27.0%	55.6%	36.9%	8.3%	1.2%	-30.2M	-1.33B	-15.4M	0.85	8.83	236,895	201,756	870,405	1,889,682
2007-10-04	$50.67	$48.33	34.6%	9.9%	27.0%	58.3%	35.2%	8.6%	0.9%	-25.2M	-1.50B	-17.1M	1.93	13.27	45,714	88,350	1,054,632	2,022,306
2007-10-05	$52.36	$50.00	30.7%	9.7%	26.4%	43.0%	36.4%	9.5%	-1.2%	-6.1M	-2.29B	-16.1M	1.23	16.04	35,997	44,238	1,086,516	2,070,132
2007-10-08	$51.80	$50.00	32.4%	10.1%	27.1%	49.5%	37.0%	9.5%	-1.7%	-8.0M	-2.07B	-16.5M	6.16	20.13	21,150	130,185	1,118,397	2,081,232
2007-10-09	$52.61	$50.00	28.5%	9.1%	26.9%	34.2%	31.0%	9.7%	0.1%	-5.8M	-2.34B	-16.6M	3.42	19.63	21,099	72,087	1,113,453	2,200,215
2007-10-10	$52.68	$50.00	29.0%	9.1%	27.0%	36.0%	32.6%	9.6%	-0.1%	-2.5M	-2.42B	-16.4M	1.90	18.47	54,123	102,594	1,123,359	2,198,022
2007-10-11	$52.21	$51.67	35.8%	10.3%	27.6%	62.9%	36.5%	9.9%	-2.7%	-19.1M	-2.05B	-17.3M	2.66	20.86	46,326	123,144	1,168,533	2,289,888
2007-10-12	$53.17	$51.67	33.9%	9.7%	27.8%	55.6%	33.6%	9.5%	-1.3%	-10.8M	-2.50B	-17.2M	2.22	17.74	29,607	65,871	1,187,205	2,335,524
2007-10-15	$52.52	$51.67	35.5%	10.2%	28.3%	61.9%	37.8%	10.5%	-2.2%	-21.3M	-2.19B	-17.2M	0.80	18.84	173,976	139,827	1,205,160	2,360,571
2007-10-16	$51.54	$51.67	39.3%	11.3%	25.4%	77.0%	42.7%	9.4%	-2.3%	-56.7M	-1.45B	-18.3M	2.37	14.04	38,664	91,533	1,206,996	2,443,425
2007-10-17	$52.73	$51.67	37.5%	10.7%	26.3%	69.8%	39.4%	10.6%	-1.0%	-24.3M	-2.22B	-17.9M	2.04	18.21	51,081	104,169	1,227,690	2,473,152
2007-10-18	$53.00	$51.67	38.0%	10.9%	26.1%	71.6%	41.6%	10.1%	-1.8%	-9.2M	-2.43B	-18.6M	4.15	15.17	51,057	211,977	1,270,509	2,549,265
2007-10-19	$50.73	$51.67	44.3%	12.7%	31.2%	96.8%	46.0%	10.3%	-3.1%	-85.3M	-702.8M	-20.2M	3.56	15.98	55,917	199,290	1,295,682	2,635,695
2007-10-22	$51.10	$51.67	42.6%	12.2%	31.0%	90.3%	44.8%	9.0%	-2.5%	-42.1M	-606.4M	-20.0M	4.40	11.63	29,979	131,859	1,145,721	2,036,085
2007-10-23	$52.52	$51.67	36.7%	10.5%	32.2%	66.6%	38.4%	9.6%	-0.1%	-24.2M	-1.44B	-19.0M	1.32	13.82	89,697	118,842	1,143,570	2,060,568
2007-10-24	$52.17	$51.67	39.3%	11.3%	32.2%	77.1%	41.6%	9.0%	0.2%	-32.0M	-1.15B	-20.0M	2.46	17.35	39,024	96,174	1,198,413	2,144,547
2007-10-25	$52.84	$51.67	36.8%	10.5%	32.1%	67.0%	39.4%	8.2%	0.5%	-32.4M	-1.39B	-19.8M	2.45	15.02	40,230	98,637	1,194,642	2,180,682
2007-10-26	$54.33	$51.67	33.9%	9.7%	33.1%	55.6%	37.1%	8.3%	2.0%	-7.7M	-2.36B	-18.7M	2.96	14.77	47,196	139,485	1,213,638	2,229,213
2007-10-29	$55.58	$51.67	35.7%	10.2%	32.3%	62.8%	38.4%	9.1%	0.7%	3.4M	-2.97B	-17.5M	0.66	28.02	107,430	70,839	1,214,247	2,229,612
2007-10-30	$54.53	$53.33	38.1%	10.9%	33.3%	72.1%	41.2%	10.1%	-0.0%	-6.4M	-2.40B	-19.7M	4.92	13.64	26,298	129,255	1,303,269	2,328,279
2007-10-31	$55.73	$53.33	36.3%	10.4%	31.5%	65.0%	36.7%	9.8%	0.8%	2.7M	-3.05B	-18.5M	1.83	22.44	96,084	175,638	1,270,158	2,396,655