EEM Options History — December 2007

In December 2007, EEM traded between $47.84 and $53.98. ATM implied volatility averaged 38.6%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 10.8% (HV 20d: 49.4%). Max pain ranged from $46.67 to $50.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.78.

Notable Days

2007-12-21: Highest Volume — 2,547,534 contracts
2007-12-05: Largest IV drop — 8.8% change
2007-12-17: Highest IV Rank — 62.8%
2007-12-17: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.13	$47.84	$53.98	$51.02	$50.10
Max Pain	$48.92	$46.67	$50.00	$50.00	$50.00
ATM IV	38.6%	35.2%	42.8%	40.5%	39.1%
Expected Move	11.2%	10.2%	12.3%	11.6%	11.2%
HV 20d	49.4%	37.7%	58.1%	58.1%	37.8%
HV 60d	43.6%	41.6%	44.9%	41.6%	44.3%
IV Rank	51.3%	41.8%	62.8%	56.5%	52.6%
IV Percentile	80.5%	68.3%	92.1%	86.1%	82.0%
Term Structure	0.8%	-1.3%	3.1%	2.1%	-0.4%
VWIV	41.8%	36.4%	60.4%	45.0%	40.7%
Skew 25d	7.3%	4.4%	9.0%	9.0%	4.9%
Skew 10d	13.2%	10.0%	17.6%	16.3%	10.0%
Call IV 25d	36.0%	31.9%	39.7%	37.1%	35.9%
Put IV 25d	43.3%	38.4%	47.0%	46.1%	40.7%
Bid-Ask Spread %	14.45	10.05	20.42	11.29	14.65
Gamma HHI	0.13	0.10	0.19	0.10	0.11
Net GEX	-73.6M	-207.2M	37.6M	-62.8M	-75.5M
Net DEX	-552.7M	-3.03B	2.25B	-725.0M	281.3M
Net VEX	-18.8M	-20.8M	-17.4M	-20.8M	-17.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.78	0.04	22.95	0.86	1.89
Total Volume	319,016.25	26,157	2,547,534	108,855	26,157
Total OI	4,481,374.35	3,053,997	5,338,104	4,516,380	3,214,056

Daily Data (20 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
2007-12-03	$51.02	$50.00	40.5%	11.6%	58.1%	56.5%	45.0%	9.0%	2.1%	-62.8M	-725.0M	-20.8M	0.86	11.29	58,659	50,196	1,742,298	2,774,082
2007-12-04	$50.89	$50.00	40.1%	11.5%	56.8%	55.2%	46.1%	8.8%	3.1%	-61.1M	-720.3M	-20.7M	4.18	11.96	23,454	98,151	1,785,474	2,772,366
2007-12-05	$53.15	$50.00	36.5%	10.5%	57.3%	45.6%	38.0%	8.5%	2.2%	3.1M	-2.30B	-19.0M	0.71	13.94	107,202	75,759	1,772,964	2,803,974
2007-12-06	$53.98	$50.00	35.8%	10.3%	56.4%	43.4%	36.4%	7.6%	2.9%	37.6M	-3.03B	-19.0M	0.75	13.46	123,330	92,907	1,820,601	2,827,785
2007-12-07	$53.34	$46.67	35.2%	11.0%	56.5%	41.8%	37.1%	8.9%	1.0%	19.3M	-2.61B	-19.5M	1.27	17.67	39,711	50,418	1,879,284	2,857,365
2007-12-10	$53.36	$46.67	36.4%	10.9%	55.8%	45.3%	44.1%	8.8%	0.9%	24.1M	-2.69B	-18.5M	22.95	15.86	22,224	509,997	1,883,970	2,863,743
2007-12-11	$51.10	$48.33	39.0%	11.5%	54.1%	52.2%	41.7%	8.6%	-0.9%	-73.1M	-857.8M	-19.5M	2.33	20.42	48,816	113,970	1,846,662	3,180,003
2007-12-12	$52.63	$48.33	37.5%	10.7%	49.4%	48.1%	40.9%	7.4%	1.6%	-24.7M	-1.88B	-19.2M	1.12	18.80	70,326	78,531	1,898,985	3,149,655
2007-12-13	$51.19	$48.33	40.2%	11.5%	50.4%	55.7%	44.0%	7.2%	-0.2%	-72.0M	-846.0M	-19.0M	3.54	16.00	47,379	167,763	1,917,753	3,142,311
2007-12-14	$49.97	$48.33	40.7%	11.7%	50.5%	57.0%	39.7%	8.5%	0.0%	-126.6M	286.8M	-19.2M	1.51	16.44	122,685	185,076	1,940,070	3,182,877
2007-12-17	$47.84	$48.33	42.8%	12.3%	52.4%	62.8%	43.6%	7.1%	-1.3%	-207.2M	2.25B	-18.2M	2.28	10.05	129,117	294,900	1,945,581	3,103,608
2007-12-18	$49.15	$48.33	42.3%	12.1%	50.8%	61.5%	43.7%	8.0%	-0.2%	-191.0M	1.25B	-18.4M	3.64	11.17	78,918	287,025	1,944,336	3,190,542
2007-12-19	$49.47	$48.33	41.6%	11.9%	49.9%	59.4%	41.4%	7.9%	-0.0%	-180.3M	1.13B	-19.0M	1.40	16.33	95,430	133,284	1,948,290	3,238,974
2007-12-20	$49.74	$48.33	40.4%	11.6%	46.1%	56.1%	40.9%	7.6%	0.2%	-191.1M	853.1M	-18.9M	1.80	15.25	92,484	166,785	1,961,604	3,284,259
2007-12-21	$51.24	$48.33	36.9%	10.6%	46.2%	46.5%	60.4%	6.5%	1.1%	-94.4M	-664.6M	-18.9M	0.04	14.44	2,456,820	90,714	2,003,103	3,335,001
2007-12-24	$51.45	$50.00	35.5%	10.2%	43.4%	42.7%	36.5%	5.2%	1.4%	-37.9M	-420.4M	-17.9M	1.52	12.44	35,631	54,117	1,033,011	2,020,986
2007-12-26	$51.71	$50.00	36.0%	10.3%	41.5%	44.1%	38.5%	4.4%	0.5%	-35.4M	-470.0M	-17.5M	1.37	13.17	26,538	36,441	1,018,134	2,048,742
2007-12-27	$50.52	$50.00	38.7%	11.1%	37.9%	51.4%	39.7%	5.7%	0.2%	-60.2M	96.0M	-17.5M	1.29	11.12	91,122	117,117	1,025,625	2,058,543
2007-12-28	$50.71	$50.00	37.4%	10.7%	37.7%	48.1%	37.2%	5.8%	1.6%	-62.0M	21.4M	-17.7M	1.14	14.57	37,929	43,242	1,071,309	2,139,561
2007-12-31	$50.10	$50.00	39.1%	11.2%	37.8%	52.6%	40.7%	4.9%	-0.4%	-75.5M	281.3M	-17.4M	1.89	14.65	9,048	17,109	1,077,981	2,136,075