EEM Options History — March 2008

In March 2008, EEM traded between $42.16 and $46.79. ATM implied volatility averaged 41.6%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 0.8% (HV 20d: 40.8%). Max pain ranged from $46.67 to $48.33. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.87.

Notable Days

  • 2008-03-11: Highest Volume — 675,855 contracts
  • 2008-03-11: Largest IV drop — 24.7% change
  • 2008-03-10: Highest IV Rank — 77.9%
  • 2008-03-19: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.73$42.16$46.79$46.79$44.79
Max Pain$47.00$46.67$48.33$48.33$46.67
ATM IV41.6%36.6%48.6%42.1%37.0%
Expected Move11.9%10.6%13.9%12.1%10.6%
HV 20d40.8%27.0%51.0%32.0%48.5%
HV 60d37.5%34.8%40.1%35.9%39.7%
IV Rank59.1%45.3%77.9%60.4%46.5%
IV Percentile74.9%54.4%93.3%82.9%54.4%
Term Structure-0.5%-3.3%1.5%-0.5%1.4%
VWIV43.3%36.9%49.5%44.1%36.9%
Skew 25d10.5%6.9%12.8%12.8%10.1%
Skew 10d19.6%15.2%24.2%24.1%18.8%
Call IV 25d36.9%33.2%43.6%36.1%33.5%
Put IV 25d47.4%40.9%54.6%48.9%43.6%
Bid-Ask Spread %11.996.4519.259.026.45
Gamma HHI0.130.100.220.110.10
Net GEX-155.6M-270.9M-83.5M-108.9M-86.1M
Net DEX3.12B1.60B6.02B1.84B1.60B
Net VEX-24.7M-26.9M-22.1M-26.9M-22.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.870.588.121.420.83
Total Volume309,874.6562,370675,855225,11162,370
Total OI5,022,285.33,788,4876,097,1104,878,5884,044,357

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$46.79$48.3342.1%12.1%32.0%60.4%44.1%12.8%-0.5%-108.9M1.84B-26.9M1.429.0293,177131,9341,732,9533,145,635
2008-03-04$45.71$48.3344.6%12.8%33.1%67.1%41.8%11.9%-0.8%-136.2M2.66B-26.6M0.7810.65198,339154,1551,779,2853,203,835
2008-03-05$46.67$48.3339.2%11.2%27.0%52.5%40.0%11.1%1.5%-118.6M1.85B-26.6M2.6511.5052,464139,2691,820,0703,228,276
2008-03-06$45.07$48.3343.6%12.5%29.4%64.6%45.1%10.2%0.0%-154.3M3.16B-26.4M2.338.5041,63197,0831,844,6463,285,330
2008-03-07$44.44$46.6744.5%13.3%29.4%66.9%48.6%11.5%-3.3%-168.6M3.70B-25.9M8.1217.7257,171464,0161,856,6583,318,633
2008-03-10$43.66$46.6748.6%13.4%30.0%77.9%46.4%10.3%-2.7%-220.7M4.94B-25.8M2.1611.1278,243168,8341,867,6323,579,066
2008-03-11$46.60$46.6736.6%10.6%37.9%45.3%39.4%6.9%0.6%-147.4M2.07B-26.5M2.5319.25191,535484,3201,909,9923,597,348
2008-03-12$45.74$46.6740.6%11.5%38.2%56.4%40.3%7.7%-0.8%-162.4M2.71B-26.4M1.6716.1066,453110,7482,008,2093,572,751
2008-03-13$45.32$46.6740.5%11.6%37.4%56.1%42.4%10.2%-0.5%-176.3M3.09B-25.8M1.0111.68177,933179,4272,016,6333,524,781
2008-03-14$43.71$46.6746.9%13.5%39.2%73.5%49.5%9.8%-2.6%-196.4M4.41B-25.4M5.7313.0470,101401,9192,124,6633,543,918
2008-03-17$42.63$46.6747.9%13.7%39.9%76.2%49.5%11.0%-2.8%-270.9M6.01B-24.5M4.6112.0995,307439,0202,121,3603,813,114
2008-03-18$44.85$46.6742.5%12.2%44.1%61.6%45.4%12.3%-0.9%-172.8M3.67B-25.1M1.6510.92119,076195,9212,158,5393,720,372
2008-03-19$42.16$46.6748.3%13.9%48.7%77.3%45.9%11.9%-3.0%-246.1M6.02B-22.9M1.5112.20212,751321,5762,212,9353,704,829
2008-03-20$42.87$46.6740.1%11.5%49.2%54.9%42.7%11.9%1.0%-267.6M5.85B-23.0M1.6512.96117,321193,7012,310,0213,787,089
2008-03-24$44.51$46.6737.8%10.8%51.0%48.5%41.7%11.6%-0.5%-120.3M2.25B-23.2M7.388.8347,715351,9421,388,0252,626,437
2008-03-25$45.19$46.6738.4%11.0%50.9%50.2%41.9%10.7%0.3%-106.3M1.62B-23.3M1.9010.3852,25799,4141,428,5582,641,113
2008-03-26$44.83$46.6738.2%11.0%50.5%49.8%42.8%10.0%1.1%-83.5M1.62B-22.1M2.9716.7555,536165,1141,396,4732,392,014
2008-03-27$44.61$46.6738.1%10.9%50.3%49.5%38.1%9.6%1.1%-84.5M1.68B-22.1M0.5811.9194,17954,6571,431,1622,386,278
2008-03-28$44.53$46.6737.1%10.6%50.3%46.8%43.6%9.0%1.4%-83.9M1.70B-22.2M5.998.7623,013137,8711,504,0352,418,681
2008-03-31$44.79$46.6737.0%10.6%48.5%46.5%36.9%10.1%1.4%-86.1M1.60B-22.4M0.836.4534,00228,3681,518,2342,526,123