EEM Options History — June 2008

In June 2008, EEM traded between $44.47 and $50.05. ATM implied volatility averaged 30.8%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 6.3% (HV 20d: 24.5%). Max pain ranged from $48.33 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.46.

Notable Days

  • 2008-06-10: Highest Volume — 1,428,147 contracts
  • 2008-06-06: Largest IV spike — 16.8% change
  • 2008-06-20: Highest IV Rank — 36.6%
  • 2008-06-20: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.03$44.47$50.05$49.83$45.24
Max Pain$49.05$48.33$50.00$48.33$48.33
ATM IV30.8%25.9%33.4%28.1%31.7%
Expected Move8.8%7.4%9.6%8.1%9.1%
HV 20d24.5%20.2%27.8%20.2%27.8%
HV 60d26.4%22.5%31.9%31.8%23.6%
IV Rank29.6%16.3%36.6%22.3%32.0%
IV Percentile26.6%7.9%35.3%16.3%28.6%
Term Structure1.7%0.0%3.3%0.8%1.0%
VWIV31.6%27.4%34.0%30.2%31.2%
Skew 25d6.4%4.9%7.4%5.9%5.4%
Skew 10d12.0%9.0%13.9%11.5%10.3%
Call IV 25d28.0%24.4%30.8%26.0%28.8%
Put IV 25d34.4%29.3%36.4%31.9%34.2%
Bid-Ask Spread %4.953.216.953.294.40
Gamma HHI0.140.090.240.090.14
Net GEX-189.0M-331.2M-15.9M-15.9M-215.9M
Net DEX2.82B-236.6M5.31B-143.3M3.64B
Net VEX-29.5M-30.9M-26.7M-29.2M-29.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.460.6516.222.551.77
Total Volume278,634.14384,7411,428,14798,361141,504
Total OI6,149,2764,915,9327,414,5365,941,1315,176,167

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$49.83$48.3328.1%8.1%20.2%22.3%30.2%5.9%0.8%-15.9M-143.3M-29.2M2.553.2927,69070,6712,563,1793,377,952
2008-06-03$48.93$48.3331.1%8.9%21.2%30.6%30.9%6.5%0.0%-66.3M787.1M-28.9M2.864.3342,063120,3542,568,2673,401,370
2008-06-04$48.51$48.3329.9%8.6%20.9%27.3%29.4%5.1%0.2%-109.6M1.39B-28.2M1.193.2193,546111,2132,566,3923,463,536
2008-06-05$50.05$48.3325.9%7.4%21.2%16.3%27.4%4.9%2.2%-32.7M-236.6M-28.4M3.023.3622,75268,7542,562,8853,522,372
2008-06-06$48.24$50.0030.2%8.8%24.8%28.1%31.8%6.7%0.9%-129.1M1.65B-27.8M2.666.7886,967231,1472,562,1593,511,584
2008-06-09$48.11$50.0031.7%8.8%24.7%32.0%33.7%7.0%1.2%-160.3M2.05B-27.6M1.814.1287,570158,8382,560,4823,610,953
2008-06-10$47.00$50.0030.5%9.0%25.4%28.8%32.1%6.8%1.3%-226.6M3.21B-26.7M16.225.0582,9531,345,1942,574,3033,678,702
2008-06-11$46.30$50.0030.3%8.9%25.6%28.4%32.6%6.4%1.7%-274.5M4.15B-28.6M2.864.3781,789233,8622,575,5034,136,853
2008-06-12$46.57$50.0031.9%9.2%25.7%32.7%34.0%7.1%1.8%-258.5M3.86B-30.2M5.405.6632,991178,0652,619,0934,251,360
2008-06-13$47.07$50.0031.5%9.0%24.6%31.5%31.0%7.0%2.1%-239.1M3.23B-30.2M2.905.5136,705106,5722,636,2144,311,978
2008-06-16$47.23$50.0032.3%9.3%24.0%33.8%32.6%6.8%1.9%-224.3M2.94B-29.7M0.826.37193,878159,5552,651,9944,278,387
2008-06-17$47.43$50.0030.6%8.8%24.2%29.1%33.7%6.4%2.7%-226.2M2.72B-30.3M5.565.5639,837221,6402,738,3824,342,383
2008-06-18$47.20$50.0031.2%9.0%23.7%30.8%32.3%6.7%2.7%-241.7M3.10B-30.6M7.095.7243,116305,6672,796,2674,406,505
2008-06-19$47.28$48.3329.9%8.6%23.6%27.2%30.2%6.5%3.3%-247.5M3.21B-30.9M2.755.4148,672134,0042,815,5544,579,458
2008-06-20$45.73$48.3333.4%9.6%25.8%36.6%31.8%6.5%3.3%-331.2M5.31B-30.8M6.286.9565,514411,4862,836,4224,578,114
2008-06-23$45.87$48.3330.4%8.7%25.5%28.6%32.6%7.2%1.9%-191.6M3.61B-30.9M1.184.1456,04066,1891,680,7383,235,194
2008-06-24$45.66$48.3331.9%9.1%25.4%32.6%31.5%7.4%1.3%-196.5M3.69B-30.0M1.035.2766,22267,9891,704,1773,223,344
2008-06-25$46.05$48.3329.3%8.4%25.1%25.6%29.3%6.4%1.8%-183.1M3.07B-30.3M0.655.3951,38433,3571,742,7453,252,990
2008-06-26$44.47$48.3332.8%9.4%27.2%35.0%33.2%5.7%1.7%-194.5M4.06B-29.9M2.885.0681,012233,4331,758,4503,261,969
2008-06-27$44.90$48.3331.9%9.1%27.5%32.6%31.9%5.5%1.7%-203.4M3.93B-29.6M1.253.9293,948117,1741,758,4503,261,969
2008-06-30$45.24$48.3331.7%9.1%27.8%32.0%31.2%5.4%1.0%-215.9M3.64B-29.7M1.774.4051,04590,4591,807,5483,368,619