EEM Options History — April 2009

In April 2009, EEM traded between $25.63 and $28.67. ATM implied volatility averaged 47.0%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 2.8% (HV 20d: 49.8%). Max pain ranged from $24.00 to $28.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.72.

Notable Days

  • 2009-04-02: Highest Volume — 262,622 contracts
  • 2009-04-08: Largest IV drop — 15.4% change
  • 2009-04-01: Highest IV Rank — 21.9%
  • 2009-04-07: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.44$25.63$28.67$25.63$28.67
Max Pain$26.33$24.00$28.00$24.00$28.00
ATM IV47.0%41.3%50.3%50.3%41.4%
Expected Move13.7%11.9%14.6%14.4%11.9%
HV 20d49.8%40.0%57.2%57.2%41.8%
HV 60d54.9%52.0%58.4%57.6%52.6%
IV Rank19.2%14.5%21.9%21.9%14.7%
IV Percentile43.8%37.7%48.0%48.0%37.7%
Term Structure0.6%-3.6%2.1%0.4%2.1%
VWIV49.4%44.3%57.2%57.2%44.5%
Skew 25d9.1%7.7%11.9%9.2%8.0%
Skew 10d18.5%15.1%27.8%19.9%17.7%
Call IV 25d43.2%38.6%47.0%47.0%38.6%
Put IV 25d52.3%46.6%56.2%56.2%46.6%
Bid-Ask Spread %14.096.6827.396.6810.24
Gamma HHI0.110.080.230.080.12
Net GEX9.4M-3.1M34.3M-931.4K14.2M
Net DEX-1.04B-1.66B-554.6M-560.7M-1.30B
Net VEX-13.1M-13.7M-12.5M-12.9M-13.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.843.662.771.31
Total Volume109,664.38155,567262,62291,56264,897
Total OI3,080,138.0482,707,5703,495,5862,875,8733,093,352

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$25.63$24.0050.3%14.4%57.2%21.9%57.2%9.2%0.4%-931.4K-560.7M-12.9M2.776.6824,31367,2491,180,1871,695,686
2009-04-02$27.02$24.0050.1%14.4%56.0%21.7%53.7%9.3%1.1%11.0M-1.13B-12.5M1.0824.85125,958136,6641,189,7541,716,499
2009-04-03$27.35$25.0045.1%13.6%56.0%17.6%48.0%8.6%1.5%13.4M-1.22B-12.9M0.8524.4391,27377,5391,275,4741,799,662
2009-04-06$27.01$26.0047.9%14.5%55.5%19.9%54.7%11.0%0.1%11.4M-1.04B-13.0M2.6913.8344,780120,5561,304,0731,824,364
2009-04-07$26.39$26.0048.8%14.6%51.3%20.7%54.6%9.4%-0.0%3.4M-807.5M-13.3M1.958.6238,58875,3411,295,7341,886,050
2009-04-08$26.78$26.0041.3%13.9%51.2%14.5%51.5%8.5%-0.1%7.4M-949.3M-13.0M1.3227.3924,89632,9401,296,8301,920,229
2009-04-09$27.95$26.0045.6%13.1%51.6%18.1%47.1%7.7%0.8%18.3M-1.39B-12.8M1.7326.6929,74851,3601,303,2701,943,571
2009-04-13$28.12$26.0047.7%13.7%51.6%19.8%49.1%8.9%0.4%22.5M-1.53B-12.6M0.8910.2537,37833,4251,312,8721,953,144
2009-04-14$27.67$26.0048.4%13.9%52.4%20.3%48.8%8.9%-0.2%19.8M-1.35B-12.8M3.669.6522,14681,0111,328,2821,977,510
2009-04-15$28.07$26.0048.1%13.8%52.2%20.1%49.0%8.5%1.9%23.5M-1.41B-13.0M0.8411.2490,99976,7471,341,1832,042,891
2009-04-16$28.31$27.0048.0%13.8%52.0%20.0%50.7%7.9%0.8%34.3M-1.66B-12.8M1.9316.4656,216108,7471,375,2062,075,266
2009-04-17$28.11$27.0045.1%12.9%52.0%17.7%45.6%8.2%1.7%14.9M-1.50B-12.9M1.548.4040,01561,8011,392,0272,103,559
2009-04-20$26.74$27.0049.2%14.1%55.4%20.9%49.9%8.0%0.7%-2.3M-554.6M-12.9M1.169.0137,62243,5771,138,5591,569,011
2009-04-21$27.31$27.0047.7%13.7%46.5%19.7%48.3%9.3%1.4%526.7K-735.8M-13.2M1.157.6154,73862,6761,152,8541,588,130
2009-04-22$27.08$27.0047.5%13.6%45.0%19.6%47.0%9.8%1.8%-1.0M-630.8M-13.4M2.0913.0632,90568,6861,188,0261,623,405
2009-04-23$27.50$27.0049.1%14.1%45.0%20.9%46.5%11.9%-3.6%-2.2M-706.5M-13.4M1.4325.6034,71249,6441,200,6521,659,408
2009-04-24$28.02$27.0044.1%12.6%44.5%16.8%44.3%10.2%1.5%4.5M-988.8M-13.6M0.978.3935,99234,8561,227,8181,702,315
2009-04-27$27.08$27.0048.9%14.0%45.0%20.7%52.5%8.6%-0.3%-2.1M-637.4M-13.7M2.8410.5416,16545,9151,241,4911,720,535
2009-04-28$26.99$27.0047.4%13.6%40.0%19.5%46.2%8.3%-0.2%-3.1M-567.4M-13.7M2.0112.2218,44237,1251,261,5211,747,680
2009-04-29$28.41$27.0045.1%12.9%42.9%17.6%47.3%9.9%1.1%9.5M-1.15B-13.5M1.9410.7239,24876,0621,278,1901,756,629
2009-04-30$28.67$28.0041.4%11.9%41.8%14.7%44.5%8.0%2.1%14.2M-1.30B-13.3M1.3110.2428,08836,8091,300,6771,792,675