EEM Options History — May 2008

In May 2008, EEM traded between $48.90 and $51.71. ATM implied volatility averaged 27.1%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.5% (HV 20d: 21.6%). Max pain ranged from $46.67 to $50.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.01.

Notable Days

  • 2008-05-20: Highest Volume — 789,480 contracts
  • 2008-05-07: Largest IV spike — 18.9% change
  • 2008-05-21: Highest IV Rank — 31.1%
  • 2008-05-21: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.11$48.90$51.71$49.41$50.43
Max Pain$48.25$46.67$50.00$46.67$48.33
ATM IV27.1%23.4%31.3%24.7%25.7%
Expected Move7.9%7.1%9.0%7.1%7.4%
HV 20d21.6%19.9%23.4%21.5%19.9%
HV 60d33.9%32.6%34.5%34.2%32.6%
IV Rank19.6%9.6%31.1%13.0%15.6%
IV Percentile13.0%1.6%29.4%5.2%7.1%
Term Structure1.5%0.1%3.0%1.7%1.5%
VWIV29.3%25.8%35.0%26.2%25.8%
Skew 25d5.7%4.5%6.9%4.9%4.9%
Skew 10d11.5%7.8%14.7%7.8%10.1%
Call IV 25d25.4%23.0%28.3%23.8%23.3%
Put IV 25d31.1%28.2%35.1%28.7%28.2%
Bid-Ask Spread %4.473.256.883.953.25
Gamma HHI0.100.080.160.090.10
Net GEX45.6M-45.1M188.4M69.3M14.9M
Net DEX-1.14B-3.26B479.7M-1.37B-733.7M
Net VEX-28.1M-31.6M-25.3M-26.8M-29.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.533.920.840.58
Total Volume217,350.57170,728789,480167,82070,728
Total OI5,679,084.4294,960,9776,028,6505,445,1085,965,092

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$49.41$46.6724.7%7.1%21.5%13.0%26.2%4.9%1.7%69.3M-1.37B-26.8M0.843.9591,42876,3922,374,3203,070,788
2008-05-02$49.88$46.6724.7%7.1%21.5%13.1%27.8%5.3%2.5%94.0M-1.84B-26.9M2.433.3855,083133,7012,400,5073,098,094
2008-05-05$49.84$48.3325.3%8.0%21.2%14.7%29.5%4.8%1.9%83.2M-1.73B-26.8M1.604.3658,30293,2162,415,0483,139,902
2008-05-06$50.40$48.3326.0%8.0%21.2%16.5%28.8%4.5%1.8%118.5M-2.35B-27.2M2.814.5769,747196,2212,443,9593,137,994
2008-05-07$48.90$48.3330.9%8.9%23.4%29.8%31.5%6.0%0.1%16.5M-551.0M-27.8M1.824.57117,966214,2332,433,0663,244,143
2008-05-08$49.40$48.3325.7%8.2%23.2%15.8%30.9%6.2%1.6%25.8M-960.9M-28.4M3.554.0021,30975,6152,449,4253,334,194
2008-05-09$49.00$48.3330.4%8.7%22.5%28.5%30.7%6.4%0.8%4.5M-548.2M-27.8M2.523.3745,879115,7522,446,1643,334,632
2008-05-12$49.63$48.3326.2%7.6%22.7%17.2%29.0%4.9%2.1%29.3M-1.13B-26.4M0.936.8885,32978,9272,446,9173,376,023
2008-05-13$49.87$48.3324.6%7.5%22.5%12.7%29.8%5.0%2.4%44.6M-1.34B-26.2M2.664.2622,60560,0722,447,8653,390,849
2008-05-14$49.99$48.3323.4%7.2%20.3%9.6%26.8%5.4%3.0%67.5M-1.58B-25.3M2.333.8629,89869,7502,450,4933,415,332
2008-05-15$51.05$48.3325.1%7.2%21.1%14.3%26.9%5.6%2.3%161.5M-2.56B-26.1M1.436.2682,698118,6232,451,7173,475,539
2008-05-16$51.70$48.3325.3%7.2%20.9%14.5%27.2%5.4%2.2%188.4M-3.26B-26.5M0.954.79150,264143,1452,481,9963,546,654
2008-05-19$51.71$48.3326.8%7.7%20.9%18.9%27.6%5.6%0.5%79.8M-1.98B-26.6M1.696.75135,243228,8702,114,7062,846,271
2008-05-20$50.81$48.3331.0%8.9%21.7%30.2%35.0%6.9%0.2%35.3M-1.02B-28.8M3.924.26160,455629,0252,199,9932,979,594
2008-05-21$50.30$48.3331.3%9.0%21.7%31.1%31.3%6.7%0.8%8.2M-424.6M-30.9M1.194.36121,086144,2012,315,4993,227,607
2008-05-22$50.44$48.3329.5%8.5%21.0%26.1%31.3%6.7%1.7%13.1M-506.5M-31.6M1.905.4542,92481,5162,391,5763,255,852
2008-05-23$49.56$50.0028.9%8.3%22.0%24.4%30.4%6.6%1.4%-25.0M283.1M-31.4M3.514.7344,856157,6442,414,1243,312,939
2008-05-27$49.48$48.3328.7%8.2%22.0%23.9%30.4%6.3%1.4%-45.1M479.7M-30.4M3.003.7630,08790,1412,429,2923,358,953
2008-05-28$50.15$48.3327.8%8.0%21.3%21.5%28.9%5.5%1.2%-17.6M-270.6M-30.2M2.093.4725,66853,5892,435,1213,385,464
2008-05-29$50.26$48.3327.1%7.8%20.2%19.6%29.8%5.4%1.1%-9.0M-463.3M-27.9M0.533.67224,283117,8912,442,3363,380,733
2008-05-30$50.43$48.3325.7%7.4%19.9%15.6%25.8%4.9%1.5%14.9M-733.7M-29.3M0.583.2544,81725,9112,552,8113,412,281