EEM Options History — December 2008

In December 2008, EEM traded between $20.74 and $26.38. ATM implied volatility averaged 74.4%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded below realized volatility by 22.5% (HV 20d: 96.9%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.33.

Notable Days

2008-12-16: Highest Volume — 180,390 contracts
2008-12-05: Largest IV drop — 10.4% change
2008-12-01: Highest IV Rank — 60.8%
2008-12-01: Largest Expected Move — 28.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.02	$20.74	$26.38	$20.74	$24.97
Max Pain	$26.73	$26.00	$30.00	$30.00	$26.00
ATM IV	74.4%	57.8%	98.1%	98.1%	58.7%
Expected Move	21.4%	16.6%	28.1%	28.1%	16.8%
HV 20d	96.9%	54.7%	129.9%	127.4%	54.7%
HV 60d	129.1%	122.8%	133.1%	131.4%	122.8%
IV Rank	41.5%	28.0%	60.8%	60.8%	28.7%
IV Percentile	80.4%	73.0%	92.1%	92.1%	73.4%
Term Structure	-0.5%	-5.9%	4.6%	-0.8%	3.3%
VWIV	74.5%	57.1%	95.9%	95.9%	61.1%
Skew 25d	16.7%	12.4%	22.9%	18.7%	12.6%
Skew 10d	31.7%	23.0%	41.4%	40.0%	23.0%
Call IV 25d	66.6%	50.4%	90.5%	90.5%	53.5%
Put IV 25d	83.3%	64.6%	109.2%	109.2%	66.1%
Bid-Ask Spread %	14.37	5.36	56.09	7.63	5.36
Gamma HHI	0.11	0.08	0.20	0.10	0.16
Net GEX	-1.6M	-10.7M	8.9M	-10.7M	8.9M
Net DEX	1.09B	382.2M	2.08B	2.08B	382.2M
Net VEX	-7.3M	-8.4M	-6.0M	-7.1M	-6.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.37	3.57	0.74	1.07
Total Volume	77,909.273	9,419	180,390	48,524	41,932
Total OI	3,589,075.591	2,505,149	4,249,820	3,855,617	2,508,070

Daily Data (22 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
2008-12-01	$20.74	$30.00	98.1%	28.1%	127.4%	60.8%	95.9%	18.7%	-0.8%	-10.7M	2.08B	-7.1M	0.74	7.63	27,931	20,593	1,773,788	2,081,829
2008-12-02	$22.05	$30.00	93.0%	26.7%	129.9%	56.7%	95.1%	22.9%	-2.2%	-9.6M	1.88B	-7.6M	0.91	6.93	76,459	69,515	1,784,628	2,084,200
2008-12-03	$22.23	$30.00	89.6%	25.7%	125.2%	53.9%	90.2%	19.4%	0.6%	-8.6M	1.81B	-7.9M	0.37	11.41	59,997	22,068	1,842,627	2,125,309
2008-12-04	$21.28	$30.00	92.8%	26.6%	117.0%	56.5%	95.2%	19.1%	-1.1%	-10.0M	2.01B	-7.4M	1.63	8.82	40,057	65,187	1,855,543	2,138,338
2008-12-05	$22.54	$26.00	83.1%	24.5%	117.7%	48.6%	88.3%	20.8%	-5.9%	-9.2M	1.79B	-7.9M	3.57	9.97	18,901	67,482	1,874,454	2,171,949
2008-12-08	$23.98	$26.00	84.9%	23.6%	116.4%	50.1%	81.3%	19.1%	-4.0%	-6.9M	1.43B	-8.3M	0.65	8.40	47,657	31,152	1,880,399	2,205,073
2008-12-09	$23.65	$26.00	79.1%	23.1%	116.4%	45.3%	74.8%	20.2%	-3.2%	-6.3M	1.54B	-8.0M	2.71	10.88	39,119	105,832	1,884,795	2,201,630
2008-12-10	$25.06	$26.00	76.3%	21.8%	115.9%	43.1%	76.5%	17.9%	0.4%	-4.1M	1.11B	-8.4M	0.57	8.08	66,443	37,973	1,905,586	2,201,160
2008-12-11	$24.42	$26.00	80.0%	22.9%	112.6%	46.1%	76.5%	19.0%	-1.3%	-3.7M	1.27B	-8.2M	0.87	10.10	63,622	55,157	1,929,863	2,213,346
2008-12-12	$24.76	$26.00	78.7%	22.6%	102.8%	45.0%	78.9%	20.7%	0.6%	-4.2M	1.20B	-8.2M	1.27	10.89	17,800	22,600	1,925,171	2,226,899
2008-12-15	$24.43	$26.00	79.9%	22.9%	95.8%	46.0%	77.2%	17.8%	-1.1%	-3.0M	1.20B	-7.8M	1.59	16.33	30,274	48,265	1,933,566	2,239,312
2008-12-16	$26.38	$26.00	72.8%	20.9%	98.7%	40.2%	76.4%	16.9%	-0.6%	934.0K	607.2M	-8.0M	2.06	9.48	58,986	121,404	1,950,678	2,249,781
2008-12-17	$25.92	$26.00	69.3%	19.9%	98.8%	37.3%	71.5%	14.5%	1.4%	970.8K	813.2M	-7.7M	0.56	9.78	45,019	25,220	1,964,382	2,267,311
2008-12-18	$25.35	$26.00	66.8%	19.2%	92.5%	35.3%	66.1%	12.4%	3.6%	1.7M	807.9M	-7.3M	0.64	13.81	35,344	22,726	1,971,680	2,258,351
2008-12-19	$25.44	$26.00	62.5%	17.9%	86.7%	31.8%	63.6%	13.4%	4.6%	-5.8M	829.2M	-7.1M	1.87	18.73	47,746	89,393	1,986,328	2,263,492
2008-12-22	$24.49	$26.00	64.2%	18.4%	76.6%	33.2%	65.6%	12.8%	-1.3%	5.0M	484.4M	-6.7M	0.96	8.93	35,650	34,320	1,182,622	1,323,270
2008-12-23	$23.95	$26.00	63.7%	18.3%	74.8%	32.8%	66.4%	12.9%	-1.3%	3.1M	597.3M	-6.6M	1.57	8.65	15,581	24,470	1,177,800	1,340,902
2008-12-24	$24.12	$26.00	60.9%	17.5%	74.3%	30.5%	60.9%	12.8%	1.7%	4.2M	556.1M	-6.6M	3.11	13.30	4,387	13,659	1,179,137	1,333,246
2008-12-26	$24.04	$26.00	62.2%	17.8%	69.8%	31.5%	61.7%	14.2%	-4.8%	6.6M	551.5M	-6.2M	1.16	56.09	4,356	5,063	1,180,080	1,330,640
2008-12-29	$24.00	$26.00	63.1%	18.1%	69.4%	32.3%	57.1%	13.2%	-2.7%	7.7M	511.6M	-6.0M	0.55	49.04	24,271	13,330	1,179,993	1,325,156
2008-12-30	$24.64	$26.00	57.8%	16.6%	58.0%	28.0%	58.9%	16.1%	2.4%	7.6M	457.3M	-6.2M	0.73	13.58	9,844	7,219	1,182,648	1,324,631
2008-12-31	$24.97	$26.00	58.7%	16.8%	54.7%	28.7%	61.1%	12.6%	3.3%	8.9M	382.2M	-6.1M	1.07	5.36	20,231	21,701	1,184,228	1,323,842