EEM Options History — November 2007

In November 2007, EEM traded between $47.18 and $53.88. ATM implied volatility averaged 45.9%, placing in the 80.4% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 2.1% (HV 20d: 48.0%). Max pain ranged from $50.00 to $53.33. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.37.

Notable Days

2007-11-28: Highest Volume — 532,842 contracts
2007-11-12: Largest IV spike — 24.2% change
2007-11-05: Highest IV Rank — 100.0%
2007-11-26: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.91	$47.18	$53.88	$53.48	$51.47
Max Pain	$50.32	$50.00	$53.33	$53.33	$50.00
ATM IV	45.9%	40.5%	56.4%	40.5%	40.8%
Expected Move	13.1%	11.6%	14.9%	11.6%	11.7%
HV 20d	48.0%	33.7%	60.2%	35.5%	58.1%
HV 60d	37.6%	33.3%	41.9%	34.6%	41.9%
IV Rank	80.4%	57.2%	100.0%	81.9%	57.2%
IV Percentile	96.9%	87.4%	100.0%	94.8%	87.4%
Term Structure	-0.0%	-1.2%	3.0%	-0.7%	2.0%
VWIV	46.8%	39.7%	51.9%	42.8%	44.7%
Skew 25d	9.3%	7.6%	10.7%	9.8%	10.0%
Skew 10d	15.8%	12.3%	19.1%	16.5%	16.0%
Call IV 25d	41.0%	36.0%	47.7%	36.0%	36.4%
Put IV 25d	50.3%	44.6%	56.3%	45.8%	46.4%
Bid-Ask Spread %	15.42	10.49	25.35	18.02	14.38
Gamma HHI	0.09	0.08	0.12	0.08	0.09
Net GEX	-70.0M	-140.4M	-17.6M	-33.1M	-48.9M
Net DEX	-106.3M	-2.07B	2.31B	-1.57B	-898.0M
Net VEX	-21.8M	-23.6M	-20.0M	-21.1M	-21.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.37	0.56	4.34	1.11	1.56
Total Volume	231,204.571	42,942	532,842	249,618	127,407
Total OI	4,217,731.714	3,808,209	4,661,364	3,808,209	4,491,594

Daily Data (21 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
2007-11-01	$53.48	$53.33	40.5%	11.6%	35.5%	81.9%	42.8%	9.8%	-0.7%	-33.1M	-1.57B	-21.1M	1.11	18.02	118,044	131,574	1,327,221	2,480,988
2007-11-02	$53.78	$53.33	41.5%	11.9%	33.7%	85.9%	44.5%	7.6%	-0.1%	-23.4M	-1.91B	-22.1M	4.34	21.40	40,425	175,647	1,385,814	2,474,736
2007-11-05	$51.91	$50.00	45.8%	12.6%	35.9%	100.0%	44.0%	10.7%	-0.7%	-64.9M	-600.5M	-22.5M	1.54	13.95	115,656	178,548	1,394,073	2,564,337
2007-11-06	$53.88	$50.00	41.9%	12.3%	37.9%	85.2%	39.7%	9.9%	-1.2%	-17.6M	-2.07B	-22.0M	0.56	10.49	164,934	92,763	1,484,937	2,611,263
2007-11-07	$52.17	$50.00	44.9%	12.7%	39.7%	96.7%	45.1%	9.9%	-0.4%	-57.0M	-652.2M	-23.3M	2.38	11.96	30,360	72,345	1,619,571	2,654,637
2007-11-08	$52.43	$50.00	45.7%	12.8%	39.7%	99.7%	45.8%	9.1%	-0.0%	-46.1M	-961.6M	-22.9M	2.74	12.75	78,828	216,123	1,630,380	2,650,041
2007-11-09	$51.20	$50.00	45.4%	13.2%	39.9%	98.7%	48.2%	9.4%	-0.1%	-79.0M	68.0M	-23.6M	2.66	14.22	48,387	128,598	1,675,122	2,723,982
2007-11-12	$48.37	$50.00	56.4%	13.9%	44.4%	100.0%	49.1%	10.2%	-0.7%	-140.4M	2.31B	-22.3M	2.80	20.30	60,336	168,852	1,695,765	2,771,136
2007-11-13	$51.78	$50.00	43.5%	13.0%	50.9%	64.6%	48.4%	9.5%	-0.8%	-75.2M	-335.8M	-22.4M	2.76	12.74	103,185	285,261	1,729,923	2,768,997
2007-11-14	$51.83	$50.00	41.0%	12.7%	50.2%	57.7%	46.6%	8.6%	-0.5%	-74.6M	-520.9M	-22.5M	2.55	15.26	41,628	106,044	1,747,272	2,880,246
2007-11-15	$50.64	$50.00	46.4%	13.3%	50.7%	72.6%	47.2%	8.9%	-0.4%	-125.5M	651.0M	-22.1M	2.39	13.11	39,306	94,008	1,770,639	2,864,598
2007-11-16	$51.27	$50.00	44.4%	12.7%	48.5%	67.1%	43.8%	9.2%	0.1%	-108.4M	-22.0M	-21.7M	1.41	12.43	94,302	132,996	1,782,435	2,878,929
2007-11-19	$48.90	$50.00	51.1%	14.7%	51.3%	85.5%	51.9%	10.3%	-1.2%	-68.3M	719.0M	-21.5M	4.12	13.02	51,162	210,780	1,475,286	2,368,509
2007-11-20	$50.25	$50.00	48.5%	13.9%	51.3%	78.5%	50.5%	8.8%	-0.8%	-66.0M	224.3M	-21.9M	3.76	16.13	50,736	190,590	1,486,476	2,454,864
2007-11-21	$47.72	$50.00	50.0%	14.3%	54.2%	82.6%	48.6%	8.5%	-0.0%	-97.1M	1.58B	-21.5M	1.57	22.63	141,834	222,735	1,503,918	2,513,676
2007-11-23	$49.13	$50.00	49.8%	14.3%	55.2%	81.9%	49.0%	8.0%	-0.4%	-72.6M	691.2M	-21.8M	0.97	16.88	21,843	21,099	1,593,396	2,484,387
2007-11-26	$47.18	$50.00	51.8%	14.9%	55.3%	87.5%	50.6%	8.5%	0.8%	-96.5M	1.69B	-20.4M	3.73	25.35	30,993	115,659	1,594,053	2,482,290
2007-11-27	$48.98	$50.00	49.8%	14.3%	56.6%	81.8%	51.6%	10.3%	0.9%	-79.7M	771.1M	-20.7M	2.67	13.38	42,837	114,249	1,607,088	2,511,396
2007-11-28	$51.67	$50.00	43.7%	12.5%	60.2%	65.1%	47.6%	8.8%	1.2%	-40.6M	-800.7M	-20.0M	2.32	14.00	160,383	372,459	1,625,742	2,508,501
2007-11-29	$51.03	$50.00	41.2%	11.8%	59.6%	58.4%	43.8%	9.7%	3.0%	-56.1M	-591.2M	-20.5M	1.89	11.51	90,762	171,618	1,654,206	2,649,942
2007-11-30	$51.47	$50.00	40.8%	11.7%	58.1%	57.2%	44.7%	10.0%	2.0%	-48.9M	-898.0M	-21.7M	1.56	14.38	49,824	77,583	1,729,317	2,762,277