EEM Options History — May 2009

In May 2009, EEM traded between $29.09 and $33.24. ATM implied volatility averaged 40.0%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 3.9% (HV 20d: 44.0%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.39.

Notable Days

2009-05-20: Highest Volume — 298,883 contracts
2009-05-11: Largest IV spike — 24.1% change
2009-05-11: Highest IV Rank — 18.2%
2009-05-13: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.31	$29.09	$33.24	$29.09	$33.24
Max Pain	$27.15	$26.00	$29.00	$28.00	$29.00
ATM IV	40.0%	35.7%	45.8%	41.4%	36.3%
Expected Move	11.6%	10.2%	12.9%	11.9%	10.4%
HV 20d	44.0%	38.1%	46.5%	38.1%	41.2%
HV 60d	51.1%	46.5%	54.1%	52.7%	46.5%
IV Rank	12.9%	8.4%	18.2%	14.6%	8.9%
IV Percentile	34.1%	26.2%	40.5%	37.3%	27.0%
Term Structure	-0.3%	-1.9%	2.2%	2.2%	1.0%
VWIV	42.5%	38.1%	47.1%	45.2%	38.1%
Skew 25d	8.1%	7.1%	9.4%	8.8%	7.7%
Skew 10d	16.5%	14.3%	18.3%	17.7%	17.5%
Call IV 25d	37.1%	32.4%	40.9%	37.3%	32.4%
Put IV 25d	45.3%	40.1%	49.9%	46.1%	40.1%
Bid-Ask Spread %	7.59	4.86	14.84	9.18	5.70
Gamma HHI	0.11	0.08	0.16	0.13	0.09
Net GEX	18.4M	6.9M	28.6M	17.3M	18.2M
Net DEX	-2.13B	-2.62B	-1.50B	-1.50B	-2.62B
Net VEX	-13.3M	-14.5M	-12.1M	-13.4M	-14.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	0.71	3.15	1.79	0.93
Total Volume	142,554.8	72,751	298,883	90,329	260,633
Total OI	3,377,208.6	2,926,302	3,775,375	3,143,019	3,775,375

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
2009-05-01	$29.09	$28.00	41.4%	11.9%	38.1%	14.6%	45.2%	8.8%	2.2%	17.3M	-1.50B	-13.4M	1.79	9.18	32,424	57,905	1,320,107	1,822,912
2009-05-04	$31.10	$26.00	41.0%	12.1%	44.2%	14.3%	44.4%	9.3%	-0.7%	24.7M	-2.39B	-12.1M	0.82	10.10	111,449	91,045	1,342,864	1,865,542
2009-05-05	$30.82	$26.00	38.7%	12.0%	44.0%	12.5%	42.3%	8.1%	-0.6%	28.6M	-2.29B	-13.0M	0.92	7.49	50,903	46,668	1,404,935	1,930,610
2009-05-06	$31.35	$26.00	41.8%	12.4%	42.7%	15.0%	44.9%	8.6%	-1.4%	23.9M	-2.41B	-12.9M	1.23	9.01	47,749	58,700	1,401,944	1,942,446
2009-05-07	$30.57	$26.00	43.1%	12.6%	44.2%	16.0%	44.2%	8.8%	-0.8%	23.8M	-2.10B	-13.3M	0.71	7.35	72,865	52,043	1,405,813	1,976,076
2009-05-08	$31.59	$26.00	36.9%	12.0%	43.3%	11.0%	46.7%	9.4%	-0.1%	25.2M	-2.53B	-12.8M	1.38	14.84	39,254	54,257	1,447,849	1,999,030
2009-05-11	$30.85	$26.00	45.8%	12.5%	44.6%	18.2%	47.1%	7.8%	-1.2%	26.9M	-2.27B	-12.9M	0.91	5.28	38,004	34,747	1,467,096	1,995,816
2009-05-12	$31.07	$26.00	43.0%	12.4%	43.9%	15.9%	44.9%	8.3%	-0.5%	27.7M	-2.37B	-12.9M	1.35	6.00	53,134	71,899	1,471,128	2,026,951
2009-05-13	$29.93	$27.00	42.8%	12.9%	46.3%	15.8%	44.1%	9.0%	-1.9%	25.4M	-1.81B	-13.3M	0.92	7.76	72,679	66,551	1,500,068	2,073,299
2009-05-14	$30.36	$27.00	42.5%	12.2%	46.4%	15.6%	44.1%	7.8%	-1.1%	24.0M	-2.07B	-13.0M	1.18	7.57	49,055	57,788	1,515,157	2,093,924
2009-05-15	$30.08	$27.00	41.9%	12.0%	46.5%	15.0%	42.2%	7.8%	-0.9%	9.9M	-1.95B	-13.0M	1.11	4.86	63,963	71,067	1,510,485	2,114,708
2009-05-18	$31.75	$27.00	38.6%	11.1%	45.3%	11.1%	40.3%	7.1%	-0.7%	13.8M	-2.00B	-12.5M	0.85	5.67	89,263	75,516	1,254,311	1,671,991
2009-05-19	$32.11	$27.00	38.5%	11.0%	45.1%	11.0%	39.5%	7.4%	-0.8%	16.7M	-2.15B	-12.8M	1.59	6.77	52,173	82,828	1,312,316	1,718,555
2009-05-20	$32.21	$28.00	39.2%	11.2%	44.7%	11.3%	41.5%	7.7%	-0.9%	17.0M	-2.14B	-13.5M	2.76	6.07	79,453	219,430	1,337,132	1,779,498
2009-05-21	$31.61	$28.00	40.5%	11.6%	45.7%	12.4%	43.9%	7.8%	-0.9%	8.3M	-1.86B	-14.2M	3.15	6.86	30,265	95,418	1,375,643	1,911,387
2009-05-22	$31.75	$28.00	38.2%	10.9%	45.5%	10.5%	40.7%	8.0%	0.2%	7.3M	-1.88B	-14.4M	1.51	5.50	48,551	73,251	1,375,677	1,981,228
2009-05-26	$32.13	$28.00	37.7%	10.8%	42.9%	10.1%	39.4%	7.7%	0.9%	10.2M	-2.06B	-14.2M	1.67	6.25	29,285	49,040	1,401,532	2,019,502
2009-05-27	$31.76	$28.00	37.1%	10.6%	43.3%	9.5%	38.4%	7.9%	1.1%	6.9M	-1.93B	-14.1M	1.55	7.12	76,401	118,785	1,403,037	2,037,810
2009-05-28	$32.74	$29.00	35.7%	10.2%	41.1%	8.4%	38.4%	7.7%	0.5%	12.7M	-2.33B	-13.9M	1.44	12.37	72,502	104,153	1,449,068	2,111,350
2009-05-29	$33.24	$29.00	36.3%	10.4%	41.2%	8.9%	38.1%	7.7%	1.0%	18.2M	-2.62B	-14.5M	0.93	5.70	135,115	125,518	1,541,513	2,233,862