EEM Options History — January 2008

In January 2008, EEM traded between $44.00 and $50.37. ATM implied volatility averaged 45.8%, placing in the 70.9% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 9.5% (HV 20d: 36.3%). Max pain ranged from $45.00 to $51.67. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.16.

Notable Days

2008-01-16: Highest Volume — 801,576 contracts
2008-01-22: Largest IV spike — 14.1% change
2008-01-24: Highest IV Rank — 98.4%
2008-01-24: Largest Expected Move — 16.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.86	$44.00	$50.37	$49.27	$45.63
Max Pain	$47.94	$45.00	$51.67	$50.00	$45.00
ATM IV	45.8%	37.1%	55.8%	38.8%	50.2%
Expected Move	13.2%	10.6%	16.0%	11.1%	14.4%
HV 20d	36.3%	33.5%	38.3%	38.1%	37.9%
HV 60d	45.0%	43.9%	45.9%	43.9%	44.9%
IV Rank	70.9%	47.1%	98.4%	51.9%	83.0%
IV Percentile	90.2%	75.0%	99.6%	80.9%	96.0%
Term Structure	-2.0%	-7.0%	2.1%	1.3%	-5.4%
VWIV	47.0%	37.0%	62.4%	40.0%	51.0%
Skew 25d	10.1%	5.0%	20.4%	5.3%	12.7%
Skew 10d	18.1%	9.3%	30.1%	10.3%	22.9%
Call IV 25d	41.1%	34.2%	48.2%	36.8%	43.3%
Put IV 25d	51.2%	39.8%	67.1%	42.2%	56.0%
Bid-Ask Spread %	12.98	9.18	18.44	9.18	13.45
Gamma HHI	0.17	0.10	0.70	0.12	0.12
Net GEX	-130.1M	-414.2M	-59.8M	-101.7M	-65.7M
Net DEX	1.75B	-119.3M	5.03B	794.4M	1.60B
Net VEX	-18.2M	-20.3M	-17.0M	-17.0M	-20.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.16	0.63	5.05	1.88	2.66
Total Volume	289,664.571	76,782	801,576	145,011	188,934
Total OI	3,379,549.286	2,422,503	4,401,417	3,214,284	3,259,206

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
2008-01-02	$49.27	$50.00	38.8%	11.1%	38.1%	51.9%	40.0%	5.3%	1.3%	-101.7M	794.4M	-17.0M	1.88	9.18	50,412	94,599	1,067,823	2,146,461
2008-01-03	$49.72	$50.00	37.1%	10.6%	38.3%	47.1%	37.0%	5.0%	2.1%	-100.9M	596.7M	-17.2M	1.02	11.83	117,093	119,637	1,089,927	2,217,159
2008-01-04	$48.22	$51.67	38.4%	11.3%	35.8%	50.6%	40.6%	6.4%	0.3%	-141.9M	1.49B	-17.3M	1.60	11.83	100,998	162,024	1,072,698	2,227,749
2008-01-07	$48.58	$48.33	37.6%	11.3%	35.2%	48.6%	39.7%	7.7%	0.2%	-150.4M	1.28B	-17.3M	1.07	15.90	56,778	60,840	1,132,446	2,315,043
2008-01-08	$48.20	$48.33	39.1%	11.6%	35.2%	52.5%	42.4%	6.6%	-0.1%	-152.2M	1.40B	-17.7M	3.26	18.44	36,966	120,408	1,170,648	2,326,497
2008-01-09	$49.78	$48.33	39.8%	11.6%	37.6%	54.6%	45.7%	8.8%	0.4%	-110.6M	446.6M	-17.9M	1.81	13.36	85,974	155,865	1,182,285	2,355,414
2008-01-10	$50.37	$48.33	39.6%	11.4%	34.8%	54.1%	42.7%	7.9%	1.0%	-85.9M	-119.3M	-17.8M	1.41	14.15	69,051	97,368	1,226,652	2,432,709
2008-01-11	$48.95	$48.33	40.9%	11.7%	34.2%	57.5%	42.0%	8.0%	-0.8%	-145.5M	942.6M	-17.9M	1.92	11.31	76,431	146,982	1,243,335	2,461,467
2008-01-14	$49.67	$48.33	38.1%	10.9%	33.5%	50.0%	38.0%	9.3%	0.2%	-122.0M	310.3M	-17.4M	1.33	12.23	68,712	91,185	1,269,882	2,520,066
2008-01-15	$47.42	$48.33	43.0%	12.3%	36.3%	63.2%	42.1%	7.5%	-0.5%	-214.3M	2.04B	-17.3M	5.05	14.43	124,698	629,997	1,301,496	2,521,566
2008-01-16	$45.45	$48.33	44.1%	12.6%	36.2%	66.2%	44.2%	8.2%	0.5%	-228.7M	3.65B	-17.3M	2.85	16.19	208,233	593,343	1,382,145	2,599,404
2008-01-17	$44.13	$48.33	48.1%	13.8%	35.6%	77.3%	47.2%	7.4%	-2.0%	-239.1M	5.03B	-17.5M	2.84	11.82	116,397	331,131	1,523,163	2,826,837
2008-01-18	$45.13	$48.33	46.5%	13.3%	36.7%	72.7%	48.3%	9.5%	-1.1%	-414.2M	3.96B	-18.2M	2.25	10.71	96,399	217,263	1,578,132	2,823,285
2008-01-22	$44.00	$46.67	53.0%	15.2%	37.3%	90.7%	52.8%	12.0%	-5.7%	-65.4M	2.15B	-17.5M	1.85	10.95	89,610	165,393	934,116	1,488,387
2008-01-23	$44.28	$46.67	55.2%	15.8%	35.1%	96.7%	62.4%	20.4%	-4.6%	-59.8M	2.08B	-18.1M	3.91	13.29	120,186	469,776	974,985	1,553,772
2008-01-24	$45.14	$46.67	55.8%	16.0%	36.2%	98.4%	55.3%	14.3%	-7.0%	-61.3M	1.74B	-19.5M	1.16	10.95	92,385	107,295	1,026,525	1,747,611
2008-01-25	$44.45	$46.67	54.4%	15.6%	36.0%	94.6%	56.7%	14.9%	-5.2%	-62.7M	1.92B	-19.4M	3.12	15.48	39,756	124,176	1,072,884	1,784,757
2008-01-28	$45.55	$46.67	55.7%	16.0%	37.2%	98.1%	54.7%	14.1%	-5.7%	-66.5M	1.72B	-19.7M	1.42	10.32	31,725	45,057	1,094,949	1,836,741
2008-01-29	$45.33	$46.67	54.5%	15.6%	37.1%	94.8%	53.9%	13.8%	-6.1%	-66.3M	1.71B	-19.7M	2.37	11.25	109,170	259,056	1,109,655	1,855,647
2008-01-30	$44.73	$46.67	51.2%	14.7%	37.1%	85.9%	49.7%	12.3%	-4.3%	-77.8M	2.00B	-20.0M	0.63	15.56	129,903	81,750	1,172,046	2,044,965
2008-01-31	$45.63	$45.00	50.2%	14.4%	37.9%	83.0%	51.0%	12.7%	-5.4%	-65.7M	1.60B	-20.3M	2.66	13.45	51,675	137,259	1,246,698	2,012,508