EEM Options History — February 2008

In February 2008, EEM traded between $43.45 and $48.99. ATM implied volatility averaged 42.2%, placing in the 60.8% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 7.3% (HV 20d: 35.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.62.

Notable Days

2008-02-12: Highest Volume — 537,402 contracts
2008-02-14: Largest IV spike — 27.1% change
2008-02-06: Highest IV Rank — 100.0%
2008-02-06: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.26	$43.45	$48.99	$46.54	$46.54
Max Pain	$48.67	$45.00	$50.00	$45.00	$48.33
ATM IV	42.2%	34.3%	56.7%	44.4%	41.6%
Expected Move	12.0%	10.2%	14.1%	12.7%	11.9%
HV 20d	35.0%	29.4%	41.9%	38.6%	32.7%
HV 60d	40.1%	34.9%	44.9%	44.6%	35.9%
IV Rank	60.8%	39.2%	100.0%	67.0%	59.0%
IV Percentile	77.6%	51.2%	100.0%	90.5%	82.1%
Term Structure	-0.3%	-3.6%	1.6%	-1.2%	0.7%
VWIV	44.0%	37.3%	49.9%	42.8%	45.4%
Skew 25d	11.2%	9.9%	12.6%	12.1%	11.2%
Skew 10d	20.9%	18.6%	23.8%	22.5%	21.0%
Call IV 25d	36.4%	29.8%	43.1%	39.2%	36.4%
Put IV 25d	47.6%	40.5%	54.3%	51.3%	47.6%
Bid-Ask Spread %	10.34	7.59	14.34	14.34	8.66
Gamma HHI	0.14	0.10	0.19	0.12	0.11
Net GEX	-86.1M	-136.5M	-36.7M	-59.1M	-106.7M
Net DEX	1.51B	-234.1M	2.84B	1.11B	1.91B
Net VEX	-22.8M	-27.4M	-19.3M	-20.7M	-27.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.62	0.48	6.18	0.48	2.33
Total Volume	303,134.85	113,919	537,402	113,919	192,222
Total OI	4,021,924.5	3,345,228	4,837,545	3,345,228	4,837,545

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
2008-02-01	$46.54	$45.00	44.4%	12.7%	38.6%	67.0%	42.8%	12.1%	-1.2%	-59.1M	1.11B	-20.7M	0.48	14.34	77,058	36,861	1,252,326	2,092,902
2008-02-04	$46.68	$50.00	46.3%	12.4%	37.3%	72.5%	43.1%	11.6%	-1.9%	-52.3M	935.6M	-20.3M	1.81	9.53	57,957	104,787	1,286,715	2,083,875
2008-02-05	$44.17	$50.00	52.5%	13.6%	41.7%	89.2%	49.2%	9.9%	-3.6%	-92.1M	2.47B	-19.6M	1.53	11.48	84,726	130,002	1,262,898	2,154,261
2008-02-06	$43.45	$50.00	56.7%	14.1%	41.9%	100.0%	49.9%	11.2%	-3.3%	-98.9M	2.84B	-19.3M	2.41	9.81	59,199	142,842	1,296,252	2,176,662
2008-02-07	$44.18	$50.00	48.6%	12.9%	40.4%	78.1%	46.4%	12.6%	-1.4%	-111.4M	2.70B	-19.4M	2.40	12.95	104,595	251,304	1,297,887	2,225,259
2008-02-08	$44.10	$50.00	47.9%	13.3%	39.9%	76.3%	44.1%	11.9%	-1.4%	-123.3M	2.80B	-20.0M	2.29	9.59	90,108	206,097	1,331,802	2,321,796
2008-02-11	$44.65	$50.00	41.6%	13.1%	39.5%	58.9%	48.1%	11.9%	-1.1%	-136.5M	2.55B	-19.9M	5.77	9.70	69,399	400,377	1,369,956	2,375,181
2008-02-12	$45.37	$48.33	42.5%	12.7%	39.6%	61.5%	48.8%	10.9%	-1.2%	-124.7M	2.15B	-21.0M	2.92	10.60	137,238	400,164	1,387,329	2,525,523
2008-02-13	$46.39	$48.33	34.3%	11.5%	37.4%	39.2%	45.4%	11.3%	1.2%	-93.2M	1.49B	-22.0M	3.23	12.28	110,715	357,189	1,422,948	2,764,821
2008-02-14	$45.79	$48.33	43.6%	12.5%	34.5%	64.4%	45.1%	10.7%	-0.1%	-122.4M	1.91B	-21.8M	3.46	12.26	55,719	192,681	1,389,570	2,759,238
2008-02-15	$46.12	$48.33	40.8%	11.7%	32.6%	56.7%	42.4%	10.3%	1.1%	-88.9M	1.78B	-21.8M	1.29	13.28	184,503	238,143	1,410,786	2,816,874
2008-02-19	$46.68	$48.33	39.9%	11.5%	32.0%	54.5%	40.7%	11.3%	0.8%	-86.7M	1.43B	-22.7M	1.05	9.94	130,944	136,968	1,240,272	2,491,074
2008-02-20	$47.11	$48.33	38.8%	11.1%	30.4%	51.2%	41.5%	11.5%	1.0%	-83.7M	1.24B	-23.4M	0.76	7.59	276,672	211,530	1,314,735	2,571,168
2008-02-21	$46.45	$48.33	39.7%	11.4%	31.0%	54.0%	41.5%	10.4%	0.5%	-85.1M	1.44B	-25.3M	4.81	9.63	48,966	235,560	1,541,109	2,678,775
2008-02-22	$47.07	$48.33	39.8%	11.4%	30.7%	54.2%	43.0%	11.7%	1.0%	-74.2M	1.12B	-26.2M	1.99	9.80	44,301	88,317	1,557,234	2,829,387
2008-02-25	$47.95	$48.33	37.5%	10.7%	30.5%	47.7%	40.6%	11.4%	0.7%	-57.0M	444.6M	-25.8M	1.55	8.23	48,114	74,376	1,582,308	2,871,168
2008-02-26	$48.58	$48.33	36.4%	10.4%	29.7%	44.9%	41.9%	10.6%	0.3%	-36.7M	-116.0M	-25.3M	6.18	10.06	66,951	413,754	1,596,126	2,866,428
2008-02-27	$48.99	$48.33	35.7%	10.2%	29.6%	42.9%	43.4%	10.7%	1.2%	-41.1M	-234.1M	-26.4M	2.89	8.53	105,339	304,059	1,639,359	3,083,301
2008-02-28	$48.47	$48.33	36.0%	10.3%	29.4%	43.9%	37.3%	11.0%	1.6%	-48.6M	170.0M	-27.0M	3.18	8.47	46,173	146,787	1,707,618	3,026,022
2008-02-29	$46.54	$48.33	41.6%	11.9%	32.7%	59.0%	45.4%	11.2%	0.7%	-106.7M	1.91B	-27.4M	2.33	8.66	57,810	134,412	1,712,265	3,125,280