EEM Options History — October 2008 In October 2008, EEM traded between $19.30 and $34.58. ATM implied volatility averaged 101.1%, placing in the 73.3% IV rank vs the trailing year. The 30-day expected move averaged 26.2%. IV traded below realized volatility by 27.5% (HV 20d: 128.6%). Max pain ranged from $27.00 to $38.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.50.
Notable Days 2008-10-22 : Highest Volume — 405,094 contracts2008-10-15 : Largest IV spike — 51.0% change2008-10-06 : Highest IV Rank — 100.0%2008-10-24 : Largest Expected Move — 32.0%Monthly Statistics Metric Avg Min Max Open Close Price $25.64 $19.30 $34.58 $34.58 $25.43 Max Pain $30.83 $27.00 $38.00 $38.00 $27.00 ATM IV 101.1% 69.0% 146.2% 69.0% 101.6% Expected Move 26.2% 19.8% 32.0% 19.8% 29.1% HV 20d 128.6% 96.7% 165.4% 96.7% 165.3% HV 60d 84.0% 59.7% 111.1% 59.7% 110.9% IV Rank 73.3% 39.9% 100.0% 58.7% 63.7% IV Percentile 97.9% 94.0% 100.0% 99.2% 95.2% Term Structure -7.9% -18.6% -1.6% -9.7% -10.0% VWIV 90.6% 72.6% 108.8% 73.3% 101.8% Skew 25d 21.9% 10.1% 35.9% 10.1% 29.5% Skew 10d 39.3% 20.3% 59.8% 20.3% 55.7% Call IV 25d 80.8% 59.7% 98.1% 67.5% 85.1% Put IV 25d 102.7% 77.6% 125.2% 77.6% 114.6% Bid-Ask Spread % 10.78 6.17 18.44 10.17 6.17 Gamma HHI 0.08 0.05 0.12 0.07 0.06 Net GEX -20.4M -37.8M -11.3M -15.0M -11.3M Net DEX 3.08B 1.44B 4.15B 2.16B 1.44B Net VEX -9.2M -15.3M -5.2M -15.3M -10.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.50 0.50 3.94 1.99 1.07 Total Volume 188,353.348 89,922 405,094 131,232 168,124 Total OI 3,907,180.217 2,897,987 4,851,176 3,989,788 3,686,282
Daily Data (23 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 2008-10-01 $34.58 $38.00 69.0% 19.8% 96.7% 58.7% 73.3% 10.1% -9.7% -15.0M 2.16B -15.3M 1.99 10.17 43,868 87,364 1,868,500 2,121,288 2008-10-02 $31.55 $38.00 87.2% 25.0% 100.5% 82.1% 85.9% 15.0% -17.3% -22.1M 3.00B -13.8M 1.04 12.39 68,431 71,220 1,886,744 2,151,060 2008-10-03 $30.72 $38.00 85.1% 24.4% 100.4% 79.4% 82.1% 11.3% -18.6% -26.5M 3.34B -12.7M 0.71 14.03 109,442 77,832 1,926,627 2,159,714 2008-10-06 $28.41 $35.00 103.5% 22.6% 102.9% 100.0% 78.8% 12.3% -3.1% -25.8M 3.79B -11.1M 3.36 15.52 81,001 271,887 2,031,488 2,216,301 2008-10-07 $26.20 $33.00 104.3% 23.3% 104.5% 100.0% 80.8% 12.1% -5.5% -27.5M 4.13B -9.1M 2.36 8.99 63,483 149,580 2,001,661 2,297,409 2008-10-08 $26.20 $33.00 106.9% 24.1% 104.1% 100.0% 82.1% 12.5% -6.6% -27.9M 4.12B -9.4M 0.64 10.58 78,078 50,158 2,034,684 2,362,353 2008-10-09 $24.27 $33.00 119.6% 25.8% 106.3% 100.0% 87.0% 14.9% -6.1% -21.8M 4.14B -8.0M 1.06 18.44 52,223 55,102 2,101,719 2,345,492 2008-10-10 $24.55 $33.00 132.1% 27.7% 105.2% 100.0% 89.1% 21.7% -8.0% -20.6M 4.07B -8.4M 1.10 18.40 98,148 107,599 2,136,258 2,348,834 2008-10-13 $30.14 $31.00 95.2% 20.6% 129.3% 66.0% 74.8% 23.8% -5.2% -37.8M 3.58B -11.6M 0.65 14.40 77,976 50,994 2,182,963 2,400,252 2008-10-14 $28.64 $31.00 96.8% 23.0% 130.2% 67.5% 80.8% 22.7% -9.1% -28.8M 3.84B -10.5M 0.77 11.81 76,677 58,955 2,223,618 2,347,175 2008-10-15 $24.01 $30.00 146.2% 28.9% 141.6% 100.0% 99.1% 20.2% -11.6% -18.1M 4.09B -7.8M 1.58 9.26 66,657 105,478 2,275,664 2,366,942 2008-10-16 $25.19 $29.00 95.8% 27.5% 139.1% 58.9% 101.1% 28.5% -8.2% -21.0M 4.15B -8.2M 3.94 8.22 59,278 233,349 2,286,602 2,372,691 2008-10-17 $24.40 $29.00 102.6% 29.4% 130.1% 64.5% 96.7% 27.8% -6.6% -16.9M 4.12B -8.7M 1.18 7.62 57,729 67,941 2,322,351 2,528,825 2008-10-20 $26.11 $28.00 72.5% 20.8% 132.7% 39.9% 72.6% 20.8% -1.6% -21.8M 2.30B -8.3M 0.91 10.41 49,181 44,758 1,176,500 1,721,487 2008-10-21 $24.03 $28.00 78.5% 22.5% 134.8% 44.9% 77.2% 15.2% -2.0% -19.7M 2.43B -7.3M 1.36 9.21 38,172 51,750 1,183,498 1,740,385 2008-10-22 $21.50 $28.00 109.6% 31.4% 138.1% 70.2% 106.0% 27.4% -12.6% -15.2M 2.48B -6.2M 3.46 10.94 90,769 314,325 1,201,565 1,757,749 2008-10-23 $22.10 $28.00 103.9% 29.8% 136.7% 65.6% 104.6% 35.9% -7.5% -20.3M 2.82B -6.8M 2.33 11.09 57,328 133,651 1,252,456 1,992,499 2008-10-24 $19.82 $28.00 111.5% 32.0% 139.9% 71.7% 108.6% 27.1% -5.6% -13.2M 2.42B -5.8M 0.85 10.24 156,309 132,544 1,281,149 1,846,568 2008-10-27 $19.30 $28.00 109.5% 31.4% 135.3% 70.1% 108.8% 29.5% -4.4% -12.0M 2.49B -5.2M 1.56 7.63 87,081 136,050 1,396,789 1,906,343 2008-10-28 $24.24 $28.00 87.4% 25.1% 158.8% 52.1% 87.2% 27.7% -5.6% -18.9M 2.27B -7.6M 1.11 6.67 58,660 65,138 1,452,141 1,969,745 2008-10-29 $22.60 $28.00 105.2% 30.2% 159.5% 66.6% 103.4% 27.2% -8.8% -14.3M 2.10B -8.0M 1.05 9.28 68,304 71,950 1,489,454 1,987,350 2008-10-30 $25.65 $27.00 100.6% 28.8% 165.4% 62.9% 102.6% 31.4% -7.7% -12.2M 1.47B -10.5M 0.50 6.58 191,862 95,721 1,529,323 1,996,647 2008-10-31 $25.43 $27.00 101.6% 29.1% 165.3% 63.7% 101.8% 29.5% -10.0% -11.3M 1.44B -10.7M 1.07 6.17 81,197 86,927 1,640,378 2,045,904
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