EEM Options History — March 2009

In March 2009, EEM traded between $19.94 and $26.38. ATM implied volatility averaged 56.9%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 2.1% (HV 20d: 59.0%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.60.

Notable Days

2009-03-03: Highest Volume — 327,399 contracts
2009-03-30: Largest IV spike — 16.5% change
2009-03-02: Highest IV Rank — 37.4%
2009-03-02: Largest Expected Move — 19.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.35	$19.94	$26.38	$19.94	$24.81
Max Pain	$23.18	$22.00	$25.00	$25.00	$24.00
ATM IV	56.9%	46.2%	69.3%	69.3%	52.6%
Expected Move	16.2%	13.2%	19.9%	19.9%	15.1%
HV 20d	59.0%	52.9%	63.9%	52.9%	60.4%
HV 60d	55.6%	53.2%	57.9%	55.5%	57.2%
IV Rank	27.3%	18.5%	37.4%	37.4%	23.7%
IV Percentile	59.3%	48.0%	77.0%	77.0%	50.8%
Term Structure	-1.6%	-7.2%	3.8%	-4.4%	3.8%
VWIV	58.5%	47.7%	72.9%	72.9%	56.3%
Skew 25d	12.9%	8.2%	17.3%	17.3%	13.7%
Skew 10d	24.4%	17.4%	30.9%	30.9%	17.8%
Call IV 25d	50.7%	42.5%	62.6%	62.6%	49.0%
Put IV 25d	63.6%	53.4%	79.9%	79.9%	62.7%
Bid-Ask Spread %	13.00	5.15	53.87	5.15	19.95
Gamma HHI	0.12	0.08	0.16	0.14	0.08
Net GEX	-14.8M	-36.3M	4.9M	-33.7M	-6.2M
Net DEX	296.0M	-758.0M	1.73B	1.73B	-273.8M
Net VEX	-11.4M	-12.8M	-9.6M	-9.6M	-12.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	0.52	4.87	4.87	0.94
Total Volume	159,509.864	41,219	327,399	216,739	94,627
Total OI	3,334,722	2,436,906	4,064,003	3,367,652	2,822,246

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
2009-03-02	$19.94	$25.00	69.3%	19.9%	52.9%	37.4%	72.9%	17.3%	-4.4%	-33.7M	1.73B	-9.6M	4.87	5.15	36,932	179,807	1,257,295	2,110,357
2009-03-03	$20.22	$25.00	66.4%	19.0%	53.3%	35.0%	64.2%	15.3%	-3.7%	-36.3M	1.73B	-9.6M	2.73	8.10	87,830	239,569	1,268,303	2,086,084
2009-03-04	$21.64	$24.00	57.7%	16.6%	58.2%	27.9%	61.1%	14.2%	1.8%	-33.3M	1.20B	-10.7M	0.70	9.19	108,391	75,417	1,301,989	2,104,651
2009-03-05	$20.75	$24.00	65.6%	18.8%	59.6%	34.4%	68.5%	13.9%	-5.1%	-34.1M	1.40B	-10.4M	0.76	9.92	74,173	56,716	1,357,573	2,105,119
2009-03-06	$21.10	$22.00	63.2%	17.2%	59.4%	32.4%	71.5%	14.1%	-3.7%	-33.6M	1.31B	-10.6M	1.77	10.27	41,448	73,172	1,402,177	2,087,975
2009-03-09	$20.69	$22.00	65.8%	17.5%	55.8%	34.5%	58.6%	14.7%	-3.6%	-35.4M	1.46B	-10.2M	0.52	10.58	79,578	41,253	1,425,786	2,120,787
2009-03-10	$22.37	$22.00	61.1%	16.7%	63.9%	30.7%	60.2%	13.5%	-1.9%	-24.0M	683.4M	-11.1M	1.01	11.23	54,799	55,122	1,471,691	2,114,969
2009-03-11	$22.37	$22.00	60.1%	16.9%	60.2%	29.9%	57.2%	13.6%	-2.8%	-26.3M	735.0M	-11.2M	1.18	6.88	44,373	52,567	1,494,047	2,141,994
2009-03-12	$23.23	$22.00	55.3%	15.8%	60.9%	25.9%	57.0%	13.0%	-1.4%	-17.4M	306.6M	-11.4M	0.90	8.18	97,774	88,288	1,489,006	2,131,633
2009-03-13	$23.36	$22.00	55.0%	15.8%	60.9%	25.7%	54.0%	12.9%	-2.0%	-15.1M	204.4M	-11.2M	1.00	14.26	145,882	145,832	1,507,948	2,124,985
2009-03-16	$23.38	$22.00	56.1%	16.1%	60.9%	26.6%	56.2%	13.8%	-3.0%	-13.3M	142.8M	-11.8M	1.04	25.55	66,490	69,192	1,604,912	2,225,506
2009-03-17	$23.89	$22.00	53.0%	15.2%	56.3%	24.1%	61.4%	11.7%	-1.8%	-4.0M	-177.4M	-11.1M	3.41	8.46	58,875	200,841	1,569,633	2,189,077
2009-03-18	$24.39	$22.00	56.0%	16.0%	56.5%	26.5%	55.4%	13.1%	-2.1%	-2.8M	-307.2M	-11.4M	0.57	9.32	68,071	39,113	1,592,435	2,304,036
2009-03-19	$24.23	$23.00	54.8%	15.7%	56.4%	25.6%	62.2%	16.1%	-7.2%	4.9M	-510.8M	-11.3M	1.43	24.82	100,951	143,938	1,636,223	2,305,627
2009-03-20	$23.90	$23.00	54.8%	15.7%	55.7%	25.6%	55.7%	12.7%	-2.2%	-1.8M	-163.8M	-11.8M	1.94	7.98	78,400	152,160	1,662,690	2,401,313
2009-03-23	$26.11	$24.00	50.9%	14.6%	61.7%	22.4%	51.4%	9.5%	0.7%	313.8K	-659.2M	-11.8M	2.48	8.90	50,037	123,883	988,471	1,448,435
2009-03-24	$25.30	$24.00	51.5%	14.8%	61.4%	22.8%	47.7%	10.9%	1.9%	-4.1M	-455.5M	-12.7M	1.53	9.29	69,186	105,697	1,049,678	1,549,739
2009-03-25	$25.68	$24.00	46.2%	13.2%	60.8%	18.5%	52.3%	12.4%	2.6%	-2.3M	-509.9M	-12.8M	0.93	53.87	21,358	19,861	1,086,715	1,633,814
2009-03-26	$26.38	$24.00	49.3%	14.1%	60.7%	21.0%	48.6%	8.2%	1.5%	2.9M	-758.0M	-12.4M	1.12	9.15	54,268	60,553	1,085,492	1,573,193
2009-03-27	$25.60	$24.00	49.7%	14.2%	61.7%	21.4%	53.6%	11.0%	0.6%	-1.3M	-438.2M	-12.6M	2.02	7.53	31,439	63,383	1,128,713	1,606,169
2009-03-30	$24.28	$24.00	57.9%	16.6%	60.3%	28.0%	60.9%	8.2%	-2.1%	-8.9M	-138.5M	-12.5M	2.44	7.32	16,876	41,095	1,143,126	1,652,272
2009-03-31	$24.81	$24.00	52.6%	15.1%	60.4%	23.7%	56.3%	13.7%	3.8%	-6.2M	-273.8M	-12.4M	0.94	19.95	48,794	45,833	1,147,984	1,674,262