EEM Options History — June 2009

In June 2009, EEM traded between $30.55 and $34.64. ATM implied volatility averaged 39.3%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 3.7% (HV 20d: 35.7%). Max pain ranged from $29.00 to $33.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.66.

Notable Days

2009-06-23: Highest Volume — 413,242 contracts
2009-06-08: Largest IV spike — 11.8% change
2009-06-16: Highest IV Rank — 15.6%
2009-06-16: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.63	$30.55	$34.64	$34.64	$32.23
Max Pain	$32.09	$29.00	$33.00	$29.00	$33.00
ATM IV	39.3%	32.1%	44.4%	37.1%	33.6%
Expected Move	11.4%	9.2%	12.7%	10.6%	9.6%
HV 20d	35.7%	30.9%	42.9%	42.9%	30.9%
HV 60d	42.7%	37.8%	46.7%	45.9%	37.9%
IV Rank	11.4%	5.4%	15.6%	9.6%	6.7%
IV Percentile	29.5%	11.1%	38.5%	29.4%	15.5%
Term Structure	1.3%	-2.4%	5.1%	0.0%	4.4%
VWIV	41.7%	34.2%	48.2%	41.9%	36.3%
Skew 25d	8.5%	5.7%	10.4%	8.0%	5.9%
Skew 10d	16.0%	-3.2%	19.8%	16.7%	12.7%
Call IV 25d	36.3%	30.8%	41.0%	35.2%	31.3%
Put IV 25d	44.9%	36.6%	50.6%	43.1%	37.3%
Bid-Ask Spread %	10.85	5.92	72.79	6.13	7.25
Gamma HHI	0.09	0.07	0.19	0.09	0.10
Net GEX	-22.4M	-78.9M	26.9M	26.9M	-43.5M
Net DEX	-1.48B	-3.27B	462.5M	-3.27B	-407.6M
Net VEX	-19.3M	-22.3M	-14.8M	-14.8M	-21.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.66	0.92	6.46	1.46	3.54
Total Volume	196,926.909	88,061	413,242	301,746	123,528
Total OI	4,520,888.455	3,608,360	5,468,062	4,003,780	4,123,311

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
2009-06-01	$34.64	$29.00	37.1%	10.6%	42.9%	9.6%	41.9%	8.0%	0.0%	26.9M	-3.27B	-14.8M	1.46	6.13	122,678	179,068	1,657,481	2,346,299
2009-06-02	$34.14	$29.00	39.3%	11.3%	37.7%	11.4%	41.7%	7.8%	-0.2%	25.2M	-3.08B	-15.9M	5.64	6.43	34,960	197,210	1,744,539	2,469,626
2009-06-03	$32.93	$29.00	42.6%	12.2%	40.2%	14.1%	44.4%	9.0%	-2.4%	1.4M	-2.16B	-17.9M	1.57	6.34	87,951	138,210	1,749,699	2,617,883
2009-06-04	$33.54	$29.00	39.2%	11.2%	40.2%	11.3%	40.9%	8.5%	0.8%	8.0M	-2.53B	-18.4M	0.92	5.92	117,430	107,515	1,798,116	2,678,661
2009-06-05	$33.61	$33.00	37.8%	11.5%	38.8%	10.1%	40.6%	10.0%	1.2%	12.7M	-2.59B	-18.9M	1.70	8.83	50,928	86,397	1,878,067	2,740,748
2009-06-08	$33.09	$33.00	42.2%	12.2%	37.9%	13.8%	45.2%	10.4%	0.3%	2.8M	-2.30B	-18.4M	2.51	9.01	25,124	62,993	1,881,445	2,778,899
2009-06-09	$33.15	$33.00	39.6%	12.0%	36.7%	11.7%	48.2%	10.4%	-0.0%	907.0K	-2.27B	-18.3M	3.64	7.36	42,045	153,169	1,880,881	2,806,340
2009-06-10	$33.57	$33.00	37.5%	11.4%	36.8%	9.9%	42.6%	10.0%	1.8%	2.5M	-2.51B	-18.7M	1.10	8.10	82,742	90,694	1,892,891	2,887,811
2009-06-11	$34.29	$33.00	39.9%	11.4%	33.8%	11.9%	40.9%	9.6%	1.4%	15.1M	-3.05B	-18.3M	1.18	8.38	53,562	63,367	1,927,039	2,941,882
2009-06-12	$33.74	$33.00	39.4%	11.3%	34.7%	11.5%	42.7%	8.7%	1.8%	4.9M	-2.67B	-18.5M	6.46	17.70	23,517	152,036	1,949,668	2,984,077
2009-06-15	$32.53	$33.00	42.5%	12.2%	37.4%	14.0%	45.0%	9.8%	0.7%	-22.2M	-1.72B	-19.0M	2.73	9.03	62,483	170,871	1,952,139	3,110,516
2009-06-16	$32.04	$33.00	44.4%	12.7%	32.9%	15.6%	46.3%	9.7%	0.2%	-39.1M	-1.25B	-19.2M	3.71	7.64	46,097	171,023	1,962,948	3,172,526
2009-06-17	$31.68	$33.00	44.1%	12.7%	32.9%	15.4%	46.5%	9.6%	1.0%	-44.6M	-1.03B	-19.4M	5.19	6.79	49,298	255,674	1,977,123	3,235,156
2009-06-18	$31.59	$33.00	42.1%	12.1%	32.9%	13.7%	43.8%	9.0%	1.5%	-71.8M	-743.5M	-20.0M	2.18	7.72	72,215	157,574	1,975,688	3,415,256
2009-06-19	$31.75	$33.00	39.9%	11.4%	32.3%	11.9%	41.5%	8.8%	2.8%	-78.9M	-865.0M	-20.2M	1.19	8.61	54,724	65,276	1,997,009	3,471,053
2009-06-22	$30.60	$32.00	42.4%	12.2%	34.8%	14.0%	43.4%	7.0%	-1.8%	-50.6M	462.5M	-19.4M	1.88	72.79	56,825	107,065	1,324,815	2,283,545
2009-06-23	$30.55	$32.00	40.1%	11.5%	34.4%	12.1%	40.6%	8.0%	1.1%	-54.0M	428.6M	-20.3M	5.03	7.14	68,500	344,742	1,359,656	2,351,057
2009-06-24	$31.22	$32.00	39.1%	11.2%	35.3%	11.3%	39.4%	7.5%	1.8%	-57.9M	273.1M	-22.3M	1.81	6.48	60,081	108,543	1,399,565	2,583,663
2009-06-25	$32.15	$32.00	35.4%	10.2%	35.1%	8.2%	34.2%	7.4%	3.6%	-46.0M	-316.9M	-21.7M	1.61	7.49	97,572	157,302	1,432,952	2,496,224
2009-06-26	$32.32	$33.00	34.8%	10.0%	34.7%	7.7%	35.6%	6.8%	3.5%	-44.0M	-394.6M	-21.9M	2.03	7.16	47,233	96,109	1,505,398	2,609,954
2009-06-29	$32.56	$33.00	32.1%	9.2%	31.1%	5.4%	35.6%	5.7%	5.1%	-39.7M	-586.5M	-21.5M	1.47	6.50	35,585	52,476	1,520,505	2,587,435
2009-06-30	$32.23	$33.00	33.6%	9.6%	30.9%	6.7%	36.3%	5.9%	4.4%	-43.5M	-407.6M	-21.4M	3.54	7.25	27,193	96,335	1,534,723	2,588,588