EEM Options History — July 2008

In July 2008, EEM traded between $42.00 and $44.43. ATM implied volatility averaged 31.7%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 5.4% (HV 20d: 26.3%). Max pain ranged from $40.00 to $48.33. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.58.

Notable Days

  • 2008-07-08: Highest Volume — 669,771 contracts
  • 2008-07-29: Largest IV drop — 22.8% change
  • 2008-07-15: Highest IV Rank — 39.3%
  • 2008-07-15: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.25$42.00$44.43$44.43$42.75
Max Pain$44.05$40.00$48.33$48.33$42.00
ATM IV31.7%25.5%36.5%31.5%30.9%
Expected Move9.2%7.3%10.5%9.0%8.9%
HV 20d26.3%23.2%31.4%27.8%31.4%
HV 60d24.4%23.5%26.8%23.7%26.8%
IV Rank26.3%6.3%39.3%31.5%22.5%
IV Percentile26.2%2.8%50.4%27.4%21.0%
Term Structure-0.0%-1.5%3.2%1.3%-1.3%
VWIV33.3%27.6%38.2%31.1%31.2%
Skew 25d6.6%3.5%8.6%4.9%6.5%
Skew 10d13.0%7.6%17.0%9.8%12.2%
Call IV 25d29.3%25.5%32.6%29.9%28.1%
Put IV 25d35.9%29.0%40.6%34.9%34.6%
Bid-Ask Spread %8.053.9241.296.546.32
Gamma HHI0.210.110.860.140.19
Net GEX-201.9M-675.5M0-227.0M-4.0M
Net DEX3.71B-8.0M6.26B4.28B33.4M
Net VEX-23.2M-32.5M0-29.7M-595.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.580.498.003.991.56
Total Volume247,241.76215,429669,771418,48530,178
Total OI4,549,959.76206,710,5055,241,03999,784

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$44.43$48.3331.5%9.0%27.8%31.5%31.1%4.9%1.3%-227.0M4.28B-29.7M3.996.5483,817334,6681,830,4713,410,568
2008-07-02$43.17$48.3333.6%9.6%29.1%37.2%33.1%5.4%1.0%-241.5M5.51B-30.2M0.598.77345,684205,6411,915,3353,645,792
2008-07-03$43.04$48.3332.0%9.2%25.6%32.8%31.3%5.5%1.7%-250.4M5.61B-30.3M0.814.4680,22964,9051,917,5643,687,069
2008-07-07$42.89$45.0032.6%9.7%23.2%34.4%35.1%7.4%-0.0%-236.4M5.49B-29.1M3.156.1860,627190,7881,973,2773,619,872
2008-07-08$43.42$45.0030.3%9.2%24.0%23.4%36.3%8.1%-0.1%-252.2M5.23B-29.1M8.004.7874,394595,3771,985,2593,643,923
2008-07-09$42.54$45.0031.2%9.5%23.7%23.2%37.2%7.8%-0.7%-279.8M6.26B-29.8M5.584.8054,483303,7652,000,6253,998,655
2008-07-10$43.31$45.0034.5%9.9%24.8%33.3%36.5%8.6%-0.9%-266.0M5.29B-31.7M1.624.4593,615152,0822,029,2813,997,809
2008-07-11$43.02$43.3335.7%10.2%24.5%37.0%36.7%8.4%-1.5%-262.4M5.45B-32.5M2.285.1892,691211,2842,092,0954,104,603
2008-07-14$42.97$43.3334.8%10.0%23.9%34.3%34.6%7.6%-1.4%-273.3M5.11B-24.8M0.676.05150,393100,6381,765,5003,683,547
2008-07-15$42.25$43.3336.5%10.5%24.1%39.3%38.2%7.5%-1.5%-278.0M6.25B-31.6M5.186.2969,342358,8632,273,2204,173,591
2008-07-16$43.47$43.3332.0%9.2%26.8%25.8%31.5%6.9%-0.1%-301.2M5.08B-31.4M0.495.44272,226133,9022,250,5464,254,996
2008-07-17$43.67$43.3332.3%9.3%27.0%26.7%32.5%6.9%-0.7%-227.0M4.33B-31.7M0.848.40171,462143,7902,476,4164,140,537
2008-07-18$43.30$43.3331.9%9.1%27.0%25.3%33.1%6.9%-0.3%-675.5M4.87B-31.9M1.477.8565,22396,0662,548,8064,161,699
2008-07-21$43.83$43.3330.5%8.7%25.3%21.1%32.7%6.0%0.3%-158.4M3.15B-30.7M1.833.9244,69181,6512,184,7263,663,783
2008-07-22$43.86$43.3330.7%8.8%25.3%21.9%30.9%6.4%-0.2%-152.3M3.01B-30.8M1.054.5391,31195,6252,205,4293,685,818
2008-07-23$43.92$43.3329.7%8.5%25.3%18.8%32.1%6.3%0.5%-146.1M2.87B-30.6M4.405.6743,035189,3692,263,1013,725,637
2008-07-25$42.59$0.0027.7%7.9%26.9%12.8%33.7%7.1%1.8%0006.1541.292,15713,27200
2008-07-28$42.00$40.0033.1%9.5%24.7%29.0%33.3%5.2%-1.2%-1.3M14.7M-85.7K1.1012.7417,06718,8342,07411,805
2008-07-29$44.19$42.0025.5%7.3%31.0%6.3%27.6%3.5%3.2%-4.3M-8.0M-239.0K1.797.7911,50620,59717,92130,473
2008-07-30$43.73$42.0028.6%8.2%31.0%15.6%30.1%6.4%-1.0%-2.6M1.4M-465.5K1.657.5410,13216,69729,02448,524
2008-07-31$42.75$42.0030.9%8.9%31.4%22.5%31.2%6.5%-1.3%-4.0M33.4M-595.9K1.566.3211,77718,40137,44062,344