EEM Options History — July 2009 In July 2009, EEM traded between $30.74 and $35.78. ATM implied volatility averaged 34.6%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 3.7% (HV 20d: 30.9%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.33.
Notable Days 2009-07-29 : Highest Volume — 272,727 contracts2009-07-02 : Largest IV spike — 11.7% change2009-07-07 : Highest IV Rank — 12.8%2009-07-07 : Largest Expected Move — 12.0%Monthly Statistics Metric Avg Min Max Open Close Price $33.44 $30.74 $35.78 $32.82 $35.78 Max Pain $32.41 $31.00 $33.00 $33.00 $33.00 ATM IV 34.6% 30.7% 41.0% 32.3% 34.1% Expected Move 10.1% 8.8% 12.0% 9.3% 9.8% HV 20d 30.9% 27.4% 34.5% 29.1% 30.0% HV 60d 36.7% 33.5% 38.0% 37.9% 33.6% IV Rank 7.4% 4.3% 12.8% 5.6% 5.7% IV Percentile 15.2% 5.2% 31.0% 11.9% 13.5% Term Structure 1.8% 0.4% 3.9% 3.9% 1.9% VWIV 37.6% 32.2% 45.1% 32.6% 37.8% Skew 25d 7.3% 4.9% 9.1% 6.5% 6.3% Skew 10d 15.4% 9.6% 19.6% 12.3% 14.8% Call IV 25d 32.4% 28.7% 37.8% 30.2% 32.5% Put IV 25d 39.7% 34.3% 46.9% 36.8% 38.9% Bid-Ask Spread % 9.07 6.81 12.09 6.81 11.18 Gamma HHI 0.10 0.08 0.16 0.10 0.09 Net GEX -38.2M -96.2M -1.0M -40.3M -6.0M Net DEX -981.5M -2.34B 884.2M -703.6M -2.26B Net VEX -21.0M -22.1M -19.4M -21.6M -21.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.33 0.52 6.89 0.52 1.36 Total Volume 152,063.727 79,865 272,727 105,191 80,785 Total OI 4,387,337.182 3,903,001 4,911,453 4,184,583 4,446,292
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 2009-07-01 $32.82 $33.00 32.3% 9.3% 29.1% 5.6% 32.6% 6.5% 3.9% -40.3M -703.6M -21.6M 0.52 6.81 69,371 35,820 1,543,147 2,641,436 2009-07-02 $31.92 $33.00 36.1% 10.3% 29.8% 8.7% 36.5% 6.1% 2.4% -47.0M -186.9M -21.7M 2.75 7.45 28,878 79,324 1,585,817 2,641,446 2009-07-06 $31.85 $33.00 37.3% 11.2% 29.8% 9.7% 42.4% 8.5% 0.9% -54.7M -80.6M -21.5M 3.08 9.20 23,818 73,278 1,591,182 2,690,798 2009-07-07 $31.10 $33.00 41.0% 12.0% 30.4% 12.8% 44.8% 9.1% 0.4% -64.7M 427.0M -21.5M 6.89 8.53 31,388 216,351 1,603,558 2,729,328 2009-07-08 $30.74 $32.00 38.7% 11.7% 30.5% 10.9% 45.1% 9.0% 0.7% -80.6M 884.2M -22.1M 2.86 9.69 34,999 100,184 1,622,325 2,890,641 2009-07-09 $31.29 $32.00 36.2% 11.3% 30.9% 8.8% 40.5% 8.9% 1.1% -77.4M 548.1M -22.1M 1.25 11.14 58,971 73,487 1,631,476 2,928,754 2009-07-10 $30.92 $32.00 34.4% 11.1% 29.6% 7.3% 40.7% 8.6% 1.1% -94.8M 818.9M -22.0M 1.26 8.78 35,373 44,492 1,658,253 3,001,415 2009-07-13 $31.14 $32.00 38.0% 11.1% 29.6% 10.3% 40.7% 8.9% 1.1% -96.1M 640.7M -21.6M 1.68 8.28 42,123 70,635 1,669,016 3,013,574 2009-07-14 $31.48 $32.00 37.6% 11.0% 27.4% 10.0% 39.8% 8.7% 0.8% -96.2M 409.1M -21.5M 4.41 8.76 44,026 194,330 1,675,208 3,034,266 2009-07-15 $33.17 $32.00 36.5% 10.2% 32.9% 9.1% 39.2% 8.4% 1.8% -48.0M -1.01B -21.2M 1.32 11.86 98,569 130,149 1,693,332 3,112,369 2009-07-16 $33.23 $31.00 35.8% 10.3% 32.5% 8.5% 40.2% 8.2% 0.8% -38.1M -1.26B -21.4M 1.66 9.58 44,406 73,773 1,742,906 3,168,547 2009-07-17 $33.57 $31.00 32.1% 9.2% 32.6% 5.5% 34.2% 8.3% 2.2% -20.0M -1.69B -20.3M 1.76 9.12 60,673 106,845 1,737,919 3,080,773 2009-07-20 $34.77 $32.00 31.1% 8.9% 34.5% 4.6% 32.2% 7.4% 2.4% -14.0M -1.76B -19.4M 1.35 7.03 63,156 85,284 1,411,736 2,491,265 2009-07-21 $34.66 $32.00 31.2% 8.9% 31.0% 4.7% 34.1% 7.5% 3.3% -12.2M -1.75B -19.9M 2.10 8.34 52,414 109,915 1,453,901 2,499,398 2009-07-22 $34.59 $32.00 31.0% 8.9% 31.1% 4.5% 33.5% 4.9% 3.0% -13.3M -1.74B -20.1M 1.15 8.50 94,671 108,484 1,486,117 2,550,218 2009-07-23 $35.57 $33.00 30.7% 8.8% 31.5% 4.3% 35.6% 5.1% 2.4% -2.0M -2.29B -19.6M 2.33 12.09 60,968 141,886 1,527,888 2,568,615 2009-07-24 $35.40 $33.00 32.7% 9.4% 30.6% 6.0% 33.2% 5.6% 1.5% -2.9M -2.19B -20.1M 2.19 9.37 42,145 92,176 1,555,657 2,604,955 2009-07-27 $35.71 $33.00 32.2% 9.2% 30.6% 5.5% 36.0% 5.7% 2.4% -1.0M -2.34B -19.9M 2.62 9.32 26,924 70,405 1,578,025 2,635,736 2009-07-28 $35.55 $33.00 33.2% 9.5% 30.8% 6.3% 36.5% 6.4% 1.9% -5.5M -2.18B -20.5M 2.33 7.02 51,425 119,985 1,589,342 2,683,770 2009-07-29 $34.75 $33.00 35.0% 10.0% 31.9% 7.8% 36.8% 6.5% 1.8% -17.8M -1.71B -21.3M 5.38 7.66 42,778 229,949 1,603,200 2,746,354 2009-07-30 $35.61 $33.00 34.1% 9.8% 32.3% 5.7% 34.7% 6.3% 1.8% -7.3M -2.18B -20.9M 1.08 9.88 48,536 52,253 1,620,739 2,780,724 2009-07-31 $35.78 $33.00 34.1% 9.8% 30.0% 5.7% 37.8% 6.3% 1.9% -6.0M -2.26B -21.2M 1.36 11.18 34,194 46,591 1,632,972 2,813,320
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