EEM Options History — February 2009

In February 2009, EEM traded between $20.99 and $24.94. ATM implied volatility averaged 58.7%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 3.3% (HV 20d: 55.4%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 2.33.

Notable Days

2009-02-18: Highest Volume — 411,963 contracts
2009-02-17: Largest IV spike — 20.6% change
2009-02-23: Highest IV Rank — 37.5%
2009-02-23: Largest Expected Move — 19.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.81	$20.99	$24.94	$22.42	$21.23
Max Pain	$24.58	$23.00	$25.00	$23.00	$25.00
ATM IV	58.7%	50.2%	69.4%	63.0%	64.6%
Expected Move	16.8%	14.4%	19.9%	18.1%	18.5%
HV 20d	55.4%	48.5%	61.7%	56.3%	48.5%
HV 60d	70.4%	55.5%	85.3%	85.3%	55.5%
IV Rank	28.7%	21.8%	37.5%	32.2%	33.6%
IV Percentile	67.1%	58.7%	77.4%	73.0%	74.2%
Term Structure	-1.9%	-7.3%	0.4%	0.3%	-4.3%
VWIV	59.4%	50.5%	72.2%	62.1%	67.0%
Skew 25d	12.8%	6.9%	19.3%	13.7%	9.5%
Skew 10d	27.4%	1.8%	38.7%	32.1%	32.6%
Call IV 25d	52.3%	45.6%	61.9%	56.1%	53.7%
Put IV 25d	65.2%	57.2%	81.2%	69.7%	63.2%
Bid-Ask Spread %	24.57	4.05	95.79	7.81	95.79
Gamma HHI	0.11	0.08	0.14	0.11	0.14
Net GEX	-22.6M	-38.2M	-1.7M	-14.5M	-32.8M
Net DEX	889.1M	-3.3M	1.59B	789.1M	1.35B
Net VEX	-10.6M	-11.5M	-9.2M	-9.2M	-10.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.33	0.40	6.85	2.73	6.85
Total Volume	185,549.684	40,492	411,963	40,492	211,270
Total OI	3,150,911.737	2,598,074	3,563,387	2,598,074	3,338,759

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
2009-02-02	$22.42	$23.00	63.0%	18.1%	56.3%	32.2%	62.1%	13.7%	0.3%	-14.5M	789.1M	-9.2M	2.73	7.81	10,845	29,647	1,067,375	1,530,699
2009-02-03	$23.09	$23.00	55.7%	16.0%	57.4%	26.3%	54.1%	12.6%	0.3%	-14.9M	702.0M	-9.3M	1.10	11.44	21,557	23,806	1,069,227	1,544,899
2009-02-04	$23.26	$23.00	58.1%	16.7%	56.6%	28.2%	51.8%	13.4%	-2.5%	-12.6M	570.3M	-9.3M	1.14	19.25	145,677	166,455	1,079,384	1,558,319
2009-02-05	$23.75	$23.00	54.9%	15.7%	54.0%	25.6%	53.7%	12.1%	-1.2%	-8.1M	375.5M	-10.6M	2.64	22.49	66,849	176,168	1,202,981	1,656,460
2009-02-06	$24.94	$25.00	50.8%	15.1%	57.2%	22.3%	56.2%	11.5%	0.4%	-1.7M	-3.3M	-11.1M	1.92	9.97	79,365	152,115	1,256,518	1,701,683
2009-02-09	$24.81	$25.00	58.2%	15.9%	56.7%	28.3%	55.8%	12.4%	-3.9%	-6.5M	159.2M	-11.2M	0.57	11.39	35,604	20,224	1,285,422	1,766,971
2009-02-10	$23.31	$25.00	61.6%	17.4%	59.0%	31.1%	59.8%	15.5%	-4.5%	-13.1M	547.0M	-10.7M	2.16	10.90	88,276	190,932	1,294,717	1,770,071
2009-02-11	$24.01	$25.00	54.4%	15.3%	59.9%	25.2%	62.2%	6.9%	-0.4%	-22.3M	631.0M	-11.2M	2.13	13.74	56,447	120,132	1,353,144	1,885,099
2009-02-12	$23.86	$25.00	54.4%	15.6%	57.1%	25.2%	55.6%	8.3%	-0.9%	-19.8M	571.1M	-11.5M	1.19	26.40	43,358	51,503	1,365,602	1,936,725
2009-02-13	$23.98	$25.00	50.2%	14.4%	57.0%	21.8%	50.5%	11.6%	0.2%	-24.2M	635.1M	-11.3M	0.71	7.37	61,693	43,548	1,363,311	1,979,516
2009-02-17	$22.45	$25.00	60.5%	17.3%	61.7%	30.2%	63.4%	15.0%	-1.8%	-30.4M	1.27B	-10.7M	2.16	7.02	38,440	83,185	1,361,516	1,990,779
2009-02-18	$22.29	$25.00	59.7%	17.1%	55.0%	29.5%	61.8%	14.9%	-2.6%	-30.5M	1.30B	-10.5M	4.88	11.11	70,034	341,929	1,379,062	2,018,653
2009-02-19	$22.08	$25.00	59.6%	17.1%	51.6%	29.5%	61.1%	14.1%	-2.8%	-34.0M	1.31B	-11.1M	2.77	87.66	54,356	150,397	1,390,425	2,163,392
2009-02-20	$21.52	$25.00	60.8%	17.4%	51.1%	30.5%	60.5%	15.6%	-1.9%	-38.2M	1.59B	-10.5M	3.69	12.95	69,090	254,961	1,411,920	2,151,467
2009-02-23	$20.99	$25.00	69.4%	19.9%	51.5%	37.5%	72.2%	19.3%	-7.3%	-29.7M	1.45B	-10.5M	2.36	5.95	78,043	183,799	1,139,175	1,999,799
2009-02-24	$22.14	$25.00	61.2%	17.5%	55.0%	30.7%	68.1%	14.8%	-1.9%	-29.0M	1.09B	-10.9M	3.05	6.80	57,861	176,431	1,190,832	2,013,854
2009-02-25	$21.76	$25.00	59.5%	17.1%	54.9%	29.4%	58.0%	9.6%	-1.4%	-32.9M	1.26B	-10.7M	1.77	94.81	35,088	62,022	1,211,121	2,117,365
2009-02-26	$21.57	$25.00	58.3%	16.7%	51.3%	28.4%	55.6%	13.3%	-0.3%	-34.2M	1.30B	-10.7M	0.40	4.05	53,018	21,319	1,216,602	2,104,479
2009-02-27	$21.23	$25.00	64.6%	18.5%	48.5%	33.6%	67.0%	9.5%	-4.3%	-32.8M	1.35B	-10.7M	6.85	95.79	26,902	184,368	1,240,381	2,098,378