EEM Options History — November 2008

In November 2008, EEM traded between $18.26 and $27.50. ATM implied volatility averaged 94.4%, placing in the 57.8% IV rank vs the trailing year. The 30-day expected move averaged 26.7%. IV traded below realized volatility by 58.1% (HV 20d: 152.5%). Max pain ranged from $27.00 to $32.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.36.

Notable Days

2008-11-18: Highest Volume — 372,308 contracts
2008-11-13: Largest IV drop — 22.9% change
2008-11-20: Highest IV Rank — 73.2%
2008-11-20: Largest Expected Move — 32.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.80	$18.26	$27.50	$25.20	$22.95
Max Pain	$30.37	$27.00	$32.00	$27.00	$30.00
ATM IV	94.4%	77.2%	113.3%	89.5%	88.9%
Expected Move	26.7%	22.1%	32.5%	25.7%	25.5%
HV 20d	152.5%	122.7%	172.5%	163.3%	122.7%
HV 60d	121.9%	110.9%	130.3%	110.9%	130.1%
IV Rank	57.8%	43.8%	73.2%	53.8%	53.3%
IV Percentile	92.1%	87.3%	98.8%	92.9%	87.3%
Term Structure	-5.3%	-9.7%	0.3%	-5.4%	-2.6%
VWIV	93.6%	80.5%	109.8%	90.3%	92.4%
Skew 25d	23.2%	16.6%	32.0%	21.7%	21.9%
Skew 10d	43.4%	31.7%	58.9%	46.8%	42.0%
Call IV 25d	81.6%	65.9%	101.6%	79.0%	79.0%
Put IV 25d	104.8%	87.0%	123.7%	100.7%	101.0%
Bid-Ask Spread %	7.14	4.42	12.05	5.53	5.47
Gamma HHI	0.09	0.06	0.20	0.07	0.09
Net GEX	-13.3M	-25.0M	-9.5M	-12.8M	-9.5M
Net DEX	1.96B	1.11B	2.71B	1.65B	1.68B
Net VEX	-8.5M	-10.3M	-6.3M	-9.6M	-8.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.36	0.27	4.44	1.98	1.20
Total Volume	155,439.737	38,185	372,308	230,447	38,185
Total OI	4,015,927.842	3,696,876	4,457,484	3,696,876	3,870,914

Daily Data (19 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
2008-11-03	$25.20	$27.00	89.5%	25.7%	163.3%	53.8%	90.3%	21.7%	-5.4%	-12.8M	1.65B	-9.6M	1.98	5.53	77,424	153,023	1,656,077	2,040,799
2008-11-04	$27.50	$27.00	77.2%	22.1%	164.0%	43.8%	80.5%	21.1%	-4.2%	-11.5M	1.11B	-10.3M	0.56	5.39	183,436	103,038	1,697,807	2,039,828
2008-11-05	$24.00	$27.00	94.8%	27.2%	171.2%	58.1%	92.4%	16.6%	-9.7%	-10.5M	1.76B	-9.3M	1.12	9.46	95,054	106,342	1,791,672	2,060,386
2008-11-06	$22.79	$27.00	97.1%	27.8%	170.1%	60.0%	101.5%	32.0%	-6.5%	-12.1M	2.12B	-8.5M	1.02	5.87	86,557	88,115	1,820,950	2,104,973
2008-11-07	$24.64	$32.00	86.5%	24.0%	172.5%	51.4%	85.4%	24.5%	-6.4%	-11.0M	1.69B	-9.5M	0.36	6.02	126,824	46,169	1,846,789	2,110,164
2008-11-10	$24.87	$32.00	91.4%	24.8%	154.7%	55.4%	92.9%	25.1%	-8.1%	-10.3M	1.60B	-9.4M	2.04	4.80	36,550	74,384	1,823,716	2,101,450
2008-11-11	$23.32	$32.00	101.1%	26.8%	155.2%	63.3%	93.5%	24.1%	-8.2%	-12.9M	1.93B	-8.7M	1.67	4.61	59,351	99,404	1,849,806	2,134,401
2008-11-12	$21.59	$32.00	106.1%	27.4%	144.8%	67.3%	95.9%	25.0%	-8.7%	-13.7M	2.26B	-7.7M	0.91	5.31	67,046	61,088	1,891,303	2,157,414
2008-11-13	$24.58	$32.00	81.8%	23.5%	151.5%	47.6%	84.4%	25.9%	-3.6%	-10.3M	1.65B	-9.4M	1.24	8.51	69,509	85,905	1,936,179	2,178,149
2008-11-14	$22.22	$32.00	90.9%	26.1%	155.3%	54.9%	92.7%	23.4%	-4.5%	-13.5M	2.17B	-8.2M	2.45	4.42	37,124	91,087	1,960,390	2,202,429
2008-11-17	$21.85	$32.00	96.7%	27.7%	153.0%	59.7%	94.6%	18.3%	-6.1%	-15.3M	2.19B	-8.0M	0.88	5.39	41,281	36,197	1,980,768	2,233,650
2008-11-18	$21.53	$31.00	99.6%	28.5%	150.5%	62.0%	102.0%	24.3%	-5.6%	-15.9M	2.25B	-7.8M	4.44	5.27	68,382	303,926	2,003,593	2,245,098
2008-11-19	$19.67	$31.00	108.9%	31.2%	148.7%	69.7%	96.5%	22.9%	-6.1%	-18.4M	2.58B	-7.4M	1.91	8.37	37,820	72,352	2,023,440	2,433,592
2008-11-20	$18.26	$31.00	113.3%	32.5%	150.2%	73.2%	109.8%	22.1%	-7.8%	-15.4M	2.71B	-6.3M	1.43	8.35	50,010	71,726	2,042,718	2,369,084
2008-11-21	$20.89	$31.00	94.9%	27.2%	153.7%	58.2%	96.2%	23.1%	-3.6%	-25.0M	2.50B	-7.5M	0.92	9.08	68,676	63,119	2,066,449	2,391,035
2008-11-24	$22.16	$31.00	93.0%	26.7%	154.5%	56.6%	90.7%	23.5%	-1.5%	-12.0M	1.88B	-8.2M	0.27	12.05	68,848	18,319	1,655,042	2,060,292
2008-11-25	$21.74	$30.00	93.7%	26.9%	130.7%	57.3%	95.4%	22.7%	0.3%	-11.0M	1.89B	-7.9M	1.01	10.71	51,277	51,647	1,691,425	2,054,945
2008-11-26	$23.40	$30.00	88.1%	25.3%	131.2%	52.7%	91.9%	22.8%	-2.2%	-10.7M	1.65B	-8.6M	0.40	10.99	116,893	47,267	1,699,876	2,076,026
2008-11-28	$22.95	$30.00	88.9%	25.5%	122.7%	53.3%	92.4%	21.9%	-2.6%	-9.5M	1.68B	-8.4M	1.20	5.47	17,342	20,843	1,771,994	2,098,920