EEM Options History — April 2008

In April 2008, EEM traded between $46.34 and $49.13. ATM implied volatility averaged 32.4%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 1.8% (HV 20d: 34.3%). Max pain ranged from $46.67 to $46.67. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.76.

Notable Days

2008-04-14: Highest Volume — 933,603 contracts
2008-04-16: Largest IV drop — 9.8% change
2008-04-14: Highest IV Rank — 46.8%
2008-04-14: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.71	$46.34	$49.13	$46.51	$48.89
Max Pain	$46.67	$46.67	$46.67	$46.67	$46.67
ATM IV	32.4%	29.1%	37.1%	34.1%	29.6%
Expected Move	9.4%	8.3%	10.6%	9.8%	8.5%
HV 20d	34.3%	20.5%	50.4%	50.4%	21.6%
HV 60d	37.7%	35.9%	40.4%	40.4%	36.1%
IV Rank	34.1%	24.9%	46.8%	38.5%	26.3%
IV Percentile	35.2%	23.4%	55.2%	41.3%	24.6%
Term Structure	1.4%	0.6%	2.7%	1.4%	1.1%
VWIV	34.2%	28.9%	41.0%	37.2%	29.2%
Skew 25d	6.7%	5.4%	8.9%	8.9%	5.4%
Skew 10d	13.3%	10.1%	19.4%	19.4%	10.4%
Call IV 25d	29.7%	26.0%	34.0%	31.1%	26.5%
Put IV 25d	36.5%	31.8%	41.4%	40.0%	31.8%
Bid-Ask Spread %	6.92	4.25	10.84	6.54	4.53
Gamma HHI	0.09	0.08	0.11	0.10	0.08
Net GEX	14.6M	-40.3M	109.7M	-40.3M	29.9M
Net DEX	-483.3M	-1.83B	485.1M	392.6M	-706.1M
Net VEX	-26.9M	-30.8M	-22.6M	-22.6M	-27.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.76	0.39	29.85	0.64	0.58
Total Volume	299,976.682	102,801	933,603	274,110	136,446
Total OI	5,198,868.136	4,048,854	6,501,864	4,048,854	5,406,285

Daily Data (22 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
2008-04-01	$46.51	$46.67	34.1%	9.8%	50.4%	38.5%	37.2%	8.9%	1.4%	-40.3M	392.6M	-22.6M	0.64	6.54	167,268	106,842	1,540,023	2,508,831
2008-04-02	$46.55	$46.67	33.6%	9.6%	49.7%	37.2%	35.1%	8.7%	1.6%	-33.9M	254.4M	-23.5M	2.20	8.49	60,186	132,531	1,670,205	2,556,972
2008-04-03	$47.11	$46.67	34.8%	10.0%	49.3%	40.6%	33.8%	7.5%	0.8%	-25.3M	-133.6M	-23.8M	0.61	6.26	346,551	210,738	1,669,809	2,569,494
2008-04-04	$46.92	$46.67	34.9%	10.5%	47.6%	40.9%	39.1%	7.8%	0.8%	3.1M	-350.0M	-24.8M	0.39	9.27	339,423	131,547	1,955,442	2,696,124
2008-04-07	$47.55	$46.67	32.5%	10.0%	47.3%	34.1%	38.9%	7.0%	0.9%	31.5M	-880.2M	-25.5M	0.99	10.52	101,295	100,443	2,196,297	2,774,325
2008-04-08	$47.29	$46.67	33.8%	10.3%	46.8%	37.7%	36.7%	6.9%	0.6%	24.8M	-707.6M	-25.2M	3.90	7.82	62,241	242,949	2,239,311	2,811,261
2008-04-09	$46.55	$46.67	33.6%	10.3%	41.3%	37.1%	37.9%	6.7%	1.3%	-8.9M	33.2M	-25.4M	1.39	7.01	66,510	92,463	2,258,319	2,804,853
2008-04-10	$47.22	$46.67	35.1%	10.1%	41.0%	41.3%	36.9%	6.5%	1.0%	21.5M	-556.0M	-25.5M	0.73	6.89	156,357	113,463	2,284,929	2,851,521
2008-04-11	$46.45	$46.67	35.9%	10.3%	41.3%	43.5%	36.8%	6.6%	0.8%	-11.3M	115.2M	-26.1M	29.85	9.86	24,291	725,094	2,409,378	2,922,189
2008-04-14	$46.34	$46.67	37.1%	10.6%	38.9%	46.8%	41.0%	7.4%	1.0%	-32.5M	485.1M	-28.0M	0.44	10.84	647,142	286,461	2,414,073	3,159,072
2008-04-15	$46.88	$46.67	35.9%	10.3%	37.6%	43.4%	34.1%	7.0%	0.7%	-21.0M	6.2M	-29.7M	0.69	4.88	309,417	214,638	2,633,820	3,413,220
2008-04-16	$48.27	$46.67	32.3%	9.3%	34.8%	33.8%	34.2%	5.9%	1.4%	109.7M	-1.73B	-30.8M	1.56	5.13	128,604	200,904	2,883,798	3,618,066
2008-04-17	$47.92	$46.67	32.4%	9.3%	25.2%	33.9%	32.7%	6.1%	1.2%	33.8M	-1.04B	-29.1M	0.60	5.04	69,546	41,781	2,517,627	3,474,084
2008-04-18	$48.64	$46.67	30.2%	8.6%	25.1%	27.9%	31.9%	6.4%	1.8%	93.4M	-1.83B	-28.1M	1.15	9.02	135,621	155,703	2,523,708	3,466,593
2008-04-21	$48.89	$46.67	29.1%	8.3%	22.2%	24.9%	33.1%	6.3%	2.5%	37.0M	-847.7M	-28.0M	5.49	5.92	51,576	282,915	2,167,857	2,763,834
2008-04-22	$48.43	$46.67	29.7%	8.5%	22.4%	26.5%	30.7%	6.6%	1.8%	22.7M	-523.4M	-27.5M	1.79	6.38	37,137	66,378	2,163,804	2,746,269
2008-04-23	$49.13	$46.67	30.3%	8.7%	22.2%	28.3%	29.9%	6.6%	1.1%	31.8M	-876.2M	-28.2M	0.99	6.33	76,845	76,284	2,196,981	2,892,837
2008-04-24	$48.50	$46.67	30.0%	8.6%	22.9%	27.5%	32.0%	6.4%	2.7%	18.4M	-544.9M	-28.7M	1.61	5.34	64,134	103,155	2,252,400	2,933,166
2008-04-25	$48.86	$46.67	29.7%	8.5%	22.8%	26.7%	28.9%	5.8%	2.6%	26.3M	-687.8M	-28.8M	0.94	6.04	65,424	61,707	2,291,823	2,997,918
2008-04-28	$48.76	$46.67	29.9%	8.6%	22.9%	27.3%	32.0%	6.4%	1.5%	28.2M	-643.0M	-28.1M	1.18	5.94	47,979	56,697	2,337,714	3,021,333
2008-04-29	$47.90	$46.67	29.2%	8.4%	20.5%	25.4%	30.4%	5.7%	1.7%	-18.6M	135.6M	-27.1M	2.99	4.25	25,776	77,025	2,334,138	3,045,396
2008-04-30	$48.89	$46.67	29.6%	8.5%	21.6%	26.3%	29.2%	5.4%	1.1%	29.9M	-706.1M	-27.3M	0.58	4.53	86,508	49,938	2,343,795	3,062,490