EEM Options History — January 2009

In January 2009, EEM traded between $21.52 and $27.10. ATM implied volatility averaged 61.2%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 8.7% (HV 20d: 52.5%). Max pain ranged from $23.00 to $27.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.67.

Notable Days

2009-01-14: Highest Volume — 242,158 contracts
2009-01-14: Largest IV spike — 43.9% change
2009-01-14: Highest IV Rank — 41.2%
2009-01-20: Largest Expected Move — 20.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.78	$21.52	$27.10	$26.16	$22.65
Max Pain	$24.85	$23.00	$27.00	$26.00	$23.00
ATM IV	61.2%	51.4%	74.0%	55.2%	57.3%
Expected Move	17.7%	15.8%	20.9%	15.8%	16.4%
HV 20d	52.5%	43.2%	59.8%	56.5%	59.5%
HV 60d	105.4%	86.7%	122.1%	122.1%	87.3%
IV Rank	30.8%	22.8%	41.2%	25.8%	27.5%
IV Percentile	72.3%	64.7%	79.0%	70.6%	66.7%
Term Structure	2.6%	-1.6%	9.7%	5.4%	3.3%
VWIV	62.7%	53.4%	74.1%	56.4%	60.5%
Skew 25d	14.4%	5.4%	17.3%	5.4%	15.2%
Skew 10d	28.5%	19.9%	34.8%	23.8%	33.3%
Call IV 25d	55.0%	48.9%	65.9%	55.4%	53.6%
Put IV 25d	69.5%	60.9%	82.4%	60.9%	68.7%
Bid-Ask Spread %	22.45	9.51	74.75	14.47	13.03
Gamma HHI	0.11	0.07	0.19	0.18	0.10
Net GEX	1.2M	-13.2M	17.6M	15.2M	-12.8M
Net DEX	500.8M	-272.7M	968.6M	46.9M	700.0M
Net VEX	-7.2M	-9.6M	-5.8M	-6.3M	-9.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.67	0.23	3.81	2.76	1.06
Total Volume	142,110.6	54,193	242,158	96,391	54,193
Total OI	2,517,163.95	1,673,946	3,027,349	2,533,526	2,582,707

Daily Data (20 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
2009-01-02	$26.16	$26.00	55.2%	15.8%	56.5%	25.8%	56.4%	5.4%	5.4%	15.2M	46.9M	-6.3M	2.76	14.47	25,608	70,783	1,194,431	1,339,095
2009-01-05	$26.50	$25.00	55.7%	17.0%	53.1%	26.3%	53.4%	15.6%	0.5%	16.7M	-31.0M	-6.9M	0.34	22.78	89,934	30,939	1,199,225	1,400,692
2009-01-06	$27.10	$26.00	52.0%	15.8%	50.4%	23.3%	54.1%	11.5%	2.4%	17.2M	-272.7M	-6.9M	0.40	15.75	80,601	32,184	1,213,980	1,377,135
2009-01-07	$25.54	$27.00	59.1%	17.4%	51.9%	29.0%	57.1%	11.6%	0.5%	15.3M	124.1M	-6.8M	0.23	16.47	110,063	24,885	1,254,477	1,401,157
2009-01-08	$25.43	$26.00	60.6%	17.6%	51.6%	30.3%	58.4%	11.6%	-0.1%	17.6M	144.3M	-6.9M	0.55	46.43	65,769	36,309	1,314,475	1,416,154
2009-01-09	$24.88	$26.00	61.3%	17.2%	48.1%	30.8%	58.6%	12.1%	0.6%	16.2M	303.9M	-6.7M	1.06	19.50	52,476	55,589	1,358,084	1,435,214
2009-01-12	$23.83	$25.00	66.2%	18.0%	49.7%	34.8%	71.7%	14.8%	-0.6%	7.8M	674.2M	-6.3M	1.27	18.76	34,923	44,481	1,367,491	1,474,131
2009-01-13	$23.90	$25.00	51.4%	18.0%	49.4%	22.8%	61.8%	14.5%	-1.6%	6.7M	609.7M	-6.2M	2.24	27.73	18,054	40,386	1,371,061	1,485,268
2009-01-14	$22.74	$25.00	74.0%	20.0%	52.2%	41.2%	66.5%	17.3%	-0.0%	-196.8K	968.6M	-5.9M	1.32	19.53	104,509	137,649	1,367,814	1,481,130
2009-01-15	$23.00	$25.00	67.3%	19.3%	43.2%	35.8%	68.2%	16.3%	4.8%	-382.9K	919.8M	-6.4M	3.50	74.75	53,395	187,019	1,401,789	1,563,315
2009-01-16	$23.25	$25.00	60.6%	17.4%	43.4%	30.3%	62.1%	14.9%	3.6%	639.0K	897.6M	-6.3M	2.06	22.16	56,240	115,677	1,418,202	1,609,147
2009-01-20	$21.52	$25.00	73.0%	20.9%	50.2%	40.4%	73.0%	16.5%	1.0%	-5.6M	611.8M	-5.8M	1.54	21.87	61,010	93,935	763,652	910,294
2009-01-21	$22.69	$25.00	63.5%	18.2%	54.6%	32.6%	67.2%	16.8%	7.1%	-6.1M	545.3M	-6.6M	3.00	25.03	58,190	174,341	804,933	975,845
2009-01-22	$21.94	$25.00	66.9%	19.2%	54.2%	35.4%	68.2%	15.5%	3.0%	-8.5M	682.9M	-6.8M	3.81	10.75	46,925	178,618	839,985	1,085,563
2009-01-23	$22.22	$24.00	65.6%	18.8%	54.2%	34.4%	74.1%	16.8%	1.7%	-10.6M	624.8M	-8.0M	1.41	15.76	66,467	93,753	945,600	1,290,210
2009-01-26	$22.48	$24.00	61.1%	17.5%	54.4%	30.7%	65.6%	16.9%	9.7%	-10.9M	688.6M	-8.1M	3.13	28.29	50,370	157,537	934,589	1,325,794
2009-01-27	$22.88	$24.00	56.6%	16.2%	54.9%	27.0%	57.3%	15.7%	5.0%	-13.2M	693.1M	-8.9M	1.54	13.37	46,762	71,801	972,033	1,427,609
2009-01-28	$24.04	$23.00	58.0%	16.6%	57.9%	28.2%	59.7%	15.4%	1.1%	-9.5M	413.7M	-9.6M	0.78	9.51	82,907	64,655	1,007,600	1,476,747
2009-01-29	$22.82	$23.00	58.5%	16.8%	59.8%	28.6%	60.9%	14.6%	4.3%	-12.3M	669.3M	-9.6M	1.51	13.17	29,148	44,127	1,053,384	1,503,267
2009-01-30	$22.65	$23.00	57.3%	16.4%	59.5%	27.5%	60.5%	15.2%	3.3%	-12.8M	700.0M	-9.5M	1.06	13.03	26,366	27,827	1,063,540	1,519,167