EEM Options History — September 2008 In September 2008, EEM traded between $31.55 and $38.84. ATM implied volatility averaged 50.2%, placing in the 66.3% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 4.2% (HV 20d: 54.4%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.56.
Notable Days 2008-09-19 : Highest Volume — 752,498 contracts2008-09-29 : Largest IV spike — 67.6% change2008-09-22 : Highest IV Rank — 100.0%2008-09-29 : Largest Expected Move — 29.0%Monthly Statistics Metric Avg Min Max Open Close Price $35.59 $31.55 $38.84 $38.84 $34.17 Max Pain $39.67 $38.00 $43.00 $43.00 $38.00 ATM IV 50.2% 32.2% 101.1% 32.3% 75.5% Expected Move 14.4% 9.2% 29.0% 9.3% 21.7% HV 20d 54.4% 26.1% 96.6% 26.3% 96.6% HV 60d 39.7% 27.1% 59.6% 27.8% 59.6% IV Rank 66.3% 26.4% 100.0% 26.7% 67.1% IV Percentile 79.2% 34.1% 100.0% 34.9% 99.6% Term Structure -6.0% -23.8% 1.3% -0.1% -9.6% VWIV 49.6% 31.5% 103.7% 31.5% 74.9% Skew 25d 8.9% 4.1% 14.4% 4.2% 13.7% Skew 10d 16.6% 7.8% 25.5% 7.8% 25.5% Call IV 25d 46.2% 30.3% 98.2% 30.4% 68.6% Put IV 25d 55.1% 34.4% 112.7% 34.5% 82.3% Bid-Ask Spread % 10.87 3.52 67.12 3.52 11.40 Gamma HHI 0.10 0.07 0.12 0.12 0.08 Net GEX -55.0M -101.9M 12.3M -86.4M -9.1M Net DEX 2.57B 372.4M 4.87B 1.93B 1.88B Net VEX -13.7M -19.3M -8.1M -8.1M -16.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.56 0.17 4.04 1.02 0.58 Total Volume 373,928.81 188,285 752,498 243,086 210,427 Total OI 3,370,782.19 1,800,920 4,480,478 1,800,920 3,925,883
Daily Data (21 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 2008-09-02 $38.84 $43.00 32.3% 9.3% 26.3% 26.7% 31.5% 4.2% -0.1% -86.4M 1.93B -8.1M 1.02 3.52 120,403 122,683 487,487 1,313,433 2008-09-03 $38.20 $43.00 32.2% 9.2% 26.1% 26.4% 32.7% 4.1% 1.3% -91.6M 2.27B -8.3M 1.09 4.04 351,708 384,111 603,153 1,378,339 2008-09-04 $36.44 $43.00 37.1% 10.6% 28.6% 41.0% 35.7% 5.7% -0.2% -86.1M 3.02B -10.0M 2.04 3.80 140,168 285,474 914,862 1,634,146 2008-09-05 $36.96 $40.00 33.5% 10.0% 27.6% 30.3% 35.0% 6.4% -0.4% -90.5M 2.87B -11.2M 1.05 4.86 137,029 143,607 978,129 1,732,089 2008-09-08 $37.42 $40.00 35.8% 10.4% 28.2% 37.1% 35.8% 6.5% -2.0% -78.1M 2.41B -12.3M 0.95 4.06 128,275 122,051 1,072,425 1,785,411 2008-09-09 $35.32 $40.00 42.0% 11.6% 33.9% 55.7% 38.6% 8.3% -2.5% -80.4M 3.47B -11.8M 3.90 4.72 57,516 224,118 1,170,025 1,869,353 2008-09-10 $35.89 $40.00 38.0% 10.9% 34.9% 43.9% 39.3% 8.1% -2.5% -101.9M 3.50B -12.8M 2.31 4.82 101,546 234,103 1,216,241 2,015,236 2008-09-11 $35.36 $40.00 39.6% 11.4% 35.0% 48.8% 37.2% 8.2% -2.6% -94.4M 3.67B -13.3M 1.42 4.81 175,162 247,865 1,266,834 2,084,486 2008-09-12 $36.54 $40.00 37.8% 10.8% 37.1% 43.2% 42.5% 8.6% -2.8% -74.5M 2.76B -14.9M 1.91 7.51 123,508 236,091 1,402,116 2,092,441 2008-09-15 $33.67 $40.00 50.2% 14.4% 45.8% 80.6% 47.7% 10.0% -7.8% -68.6M 3.96B -13.0M 1.34 6.07 163,326 218,973 1,482,183 2,173,267 2008-09-16 $33.96 $40.00 41.8% 12.0% 46.1% 55.1% 42.5% 8.5% -3.4% -78.6M 4.10B -13.1M 0.86 9.00 183,579 157,817 1,580,496 2,256,222 2008-09-17 $31.55 $39.00 51.9% 14.9% 51.7% 85.6% 49.7% 10.1% -8.8% -57.6M 4.87B -10.7M 2.85 11.77 61,450 175,352 1,690,424 2,280,294 2008-09-18 $34.21 $39.00 53.0% 15.2% 60.0% 89.1% 53.6% 9.7% -9.5% -69.1M 3.80B -14.5M 4.04 14.81 118,003 476,989 1,722,323 2,374,742 2008-09-19 $38.47 $38.00 54.1% 15.5% 74.8% 92.2% 50.4% 6.4% -10.2% -24.2M 372.4M -19.3M 1.41 67.12 312,221 440,277 1,821,804 2,658,674 2008-09-22 $35.96 $38.00 58.7% 16.8% 78.3% 100.0% 58.3% 10.6% -9.0% -29.1M 1.45B -17.7M 0.84 17.24 217,363 182,751 1,417,053 2,015,251 2008-09-23 $34.84 $39.00 63.0% 18.1% 78.7% 100.0% 62.5% 11.1% -9.0% -20.9M 1.81B -16.7M 1.00 10.60 241,829 241,093 1,516,529 2,009,146 2008-09-24 $35.24 $39.00 61.4% 17.6% 78.9% 95.8% 57.8% 12.5% -8.2% -16.7M 1.69B -16.1M 0.31 10.95 275,751 86,074 1,524,432 1,978,233 2008-09-25 $37.05 $38.00 54.9% 15.7% 80.8% 79.5% 54.0% 8.9% -6.3% 12.3M 540.5M -17.2M 0.17 7.82 280,594 47,863 1,710,577 2,005,982 2008-09-26 $35.79 $38.00 60.3% 17.3% 81.4% 93.2% 58.7% 10.9% -8.9% 3.7M 1.16B -16.7M 0.48 8.87 159,952 77,118 1,756,290 2,010,750 2008-09-29 $31.61 $38.00 101.1% 29.0% 91.6% 100.0% 103.7% 14.4% -23.8% -13.9M 2.47B -14.7M 3.17 10.46 45,186 143,099 1,810,641 2,049,024 2008-09-30 $34.17 $38.00 75.5% 21.7% 96.6% 67.1% 74.9% 13.7% -9.6% -9.1M 1.88B -16.1M 0.58 11.40 133,448 76,979 1,807,131 2,118,752
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