EEM Options History — August 2008

In August 2008, EEM traded between $39.26 and $42.52. ATM implied volatility averaged 31.6%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 0.4% (HV 20d: 31.2%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.30.

Notable Days

  • 2008-08-12: Highest Volume — 271,240 contracts
  • 2008-08-04: Largest IV spike — 18.3% change
  • 2008-08-04: Highest IV Rank — 39.8%
  • 2008-08-12: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.56$39.26$42.52$42.46$40.05
Max Pain$42.57$41.00$44.00$43.00$43.00
ATM IV31.6%27.4%36.7%31.0%29.8%
Expected Move8.9%7.9%9.7%8.9%8.5%
HV 20d31.2%25.2%34.1%29.8%26.4%
HV 60d27.5%26.6%28.2%26.6%28.2%
IV Rank24.6%11.8%39.8%22.7%19.0%
IV Percentile25.8%6.0%52.4%21.4%15.5%
Term Structure0.2%-1.6%1.6%-0.6%0.7%
VWIV31.7%23.0%37.2%32.5%29.8%
Skew 25d6.5%4.2%7.9%6.3%4.2%
Skew 10d12.5%8.3%16.0%13.0%8.3%
Call IV 25d28.0%25.9%30.2%27.5%27.8%
Put IV 25d34.5%31.5%37.7%33.8%32.0%
Bid-Ask Spread %5.313.167.565.893.64
Gamma HHI0.150.100.300.180.11
Net GEX-49.4M-84.4M-6.6M-6.6M-81.0M
Net DEX831.1M61.1M1.76B61.1M1.56B
Net VEX-4.9M-8.6M-754.1K-754.1K-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.300.499.892.460.53
Total Volume113,843.95232,062271,24032,062112,505
Total OI911,847.19128,5381,755,230128,5381,755,230

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$42.46$43.0031.0%8.9%29.8%22.7%32.5%6.3%-0.6%-6.6M61.1M-754.1K2.465.899,26022,80248,71679,822
2008-08-04$41.16$43.0036.7%9.6%31.7%39.8%36.6%7.9%-1.6%-8.2M133.9M-966.7K4.946.8619,48696,17656,529100,533
2008-08-05$41.69$43.0033.2%9.1%32.1%29.3%35.4%7.8%-0.8%-14.9M173.4M-1.6M9.896.887,60775,25275,022187,231
2008-08-06$42.52$43.0029.4%8.6%32.6%17.8%29.7%7.3%-0.2%-18.9M147.4M-1.8M0.496.5928,75414,05780,995223,679
2008-08-07$41.06$43.0034.0%9.2%34.1%31.8%32.9%7.1%-0.1%-17.4M248.5M-2.1M3.085.2911,75936,163104,375242,976
2008-08-08$41.16$43.0033.1%9.3%33.4%29.2%34.4%7.1%-1.0%-19.7M262.4M-2.3M2.847.5622,30163,281114,046265,016
2008-08-11$40.73$42.0036.4%9.3%33.5%38.9%32.7%7.0%-0.4%-26.4M353.0M-2.6M1.466.6914,95821,765127,991327,273
2008-08-12$40.39$42.0034.8%9.7%33.5%34.1%35.6%7.3%-0.6%-30.8M443.1M-2.7M6.025.7738,640232,600140,786342,940
2008-08-13$40.38$42.0033.8%9.4%33.1%31.1%37.2%7.6%-0.3%-46.5M748.4M-4.4M5.445.8120,193109,773171,548552,121
2008-08-14$40.91$42.0029.2%8.4%31.7%17.3%29.8%6.8%1.6%-56.3M656.5M-4.8M1.235.6024,90330,646186,835636,394
2008-08-15$40.27$42.0030.1%8.6%31.8%19.9%31.2%6.8%1.2%-70.8M792.0M-4.8M2.954.8856,433166,416205,500647,395
2008-08-18$39.59$41.0030.0%8.6%32.1%19.7%31.4%7.2%0.0%-49.8M882.3M-5.4M3.883.2733,079128,181220,689718,084
2008-08-19$39.26$41.0032.5%9.3%31.5%27.1%33.3%6.0%0.1%-61.5M1.16B-6.1M5.395.0532,878177,143243,476821,138
2008-08-20$40.26$41.0031.9%9.2%33.3%25.5%32.9%6.9%-0.3%-64.2M997.0M-6.9M3.105.7230,19693,722262,436940,840
2008-08-21$40.20$41.0030.7%8.8%33.3%21.9%23.0%5.8%1.1%-65.7M977.6M-7.2M8.864.2523,432207,526280,455976,824
2008-08-22$40.17$44.0029.9%8.6%31.8%19.5%30.4%6.0%1.2%-79.2M1.52B-7.7M1.214.2418,65222,621296,9131,157,455
2008-08-25$39.34$44.0031.0%8.9%32.2%22.7%30.5%5.3%1.0%-83.1M1.76B-7.3M1.094.83112,465122,463304,5701,155,111
2008-08-26$39.41$44.0029.8%8.5%25.2%19.0%29.5%5.0%1.4%-84.4M1.76B-8.3M2.314.7710,18623,526414,6841,269,735
2008-08-27$40.25$44.0029.3%8.4%26.9%17.7%29.3%5.9%0.4%-76.8M1.45B-8.6M1.034.6725,87526,536415,4211,276,931
2008-08-28$40.53$43.0027.4%7.9%26.2%11.8%27.4%5.6%1.4%-76.0M1.37B-8.5M1.063.1632,23834,274428,6791,292,397
2008-08-29$40.05$43.0029.8%8.5%26.4%19.0%29.8%4.2%0.7%-81.0M1.56B-8.6M0.533.6473,45039,055441,3051,313,925