EEM Options History — August 2009

In August 2009, EEM traded between $34.32 and $37.12. ATM implied volatility averaged 33.3%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 4.2% (HV 20d: 29.1%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.83.

Notable Days

2009-08-17: Highest Volume — 229,238 contracts
2009-08-17: Largest IV spike — 14.4% change
2009-08-17: Highest IV Rank — 9.3%
2009-08-17: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.99	$34.32	$37.12	$37.12	$35.31
Max Pain	$33.38	$33.00	$34.00	$33.00	$34.00
ATM IV	33.3%	30.3%	38.4%	35.4%	33.7%
Expected Move	9.6%	8.7%	11.0%	10.2%	9.7%
HV 20d	29.1%	24.3%	31.8%	31.8%	24.3%
HV 60d	31.5%	29.0%	33.8%	33.8%	29.4%
IV Rank	4.9%	2.4%	9.3%	6.8%	3.4%
IV Percentile	9.6%	0.8%	24.2%	15.5%	10.7%
Term Structure	1.7%	-0.2%	3.7%	0.7%	2.8%
VWIV	34.9%	30.6%	40.2%	37.4%	33.5%
Skew 25d	6.8%	4.7%	9.0%	6.4%	7.0%
Skew 10d	14.7%	12.1%	17.7%	15.0%	14.7%
Call IV 25d	30.7%	27.7%	34.3%	33.3%	30.2%
Put IV 25d	37.5%	33.9%	43.3%	39.7%	37.2%
Bid-Ask Spread %	6.76	3.59	35.15	7.55	4.70
Gamma HHI	0.09	0.08	0.11	0.09	0.09
Net GEX	310.2K	-37.0M	28.2M	6.2M	-19.0M
Net DEX	-2.33B	-2.99B	-1.16B	-2.99B	-1.53B
Net VEX	-20.7M	-22.1M	-20.1M	-20.1M	-22.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.83	0.56	3.51	1.28	2.31
Total Volume	136,799.429	59,415	229,238	148,646	99,874
Total OI	4,738,353.286	4,482,287	5,065,459	4,482,287	4,890,973

Daily Data (21 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
2009-08-03	$37.12	$33.00	35.4%	10.2%	31.8%	6.8%	37.4%	6.4%	0.7%	6.2M	-2.99B	-20.1M	1.28	7.55	65,112	83,534	1,645,489	2,836,798
2009-08-04	$36.78	$33.00	35.3%	10.1%	30.3%	6.7%	37.7%	6.0%	0.5%	7.5M	-2.88B	-20.6M	3.51	6.76	17,049	59,912	1,680,645	2,861,486
2009-08-05	$36.47	$34.00	33.6%	9.6%	30.0%	5.2%	34.0%	4.7%	2.8%	7.9M	-2.74B	-20.2M	2.61	35.15	16,475	42,940	1,677,691	2,869,592
2009-08-06	$36.17	$34.00	36.3%	10.4%	30.4%	7.5%	37.9%	6.0%	-0.1%	-173.0K	-2.53B	-20.2M	2.00	6.42	58,198	116,635	1,682,270	2,881,162
2009-08-07	$36.53	$33.00	33.9%	9.9%	29.5%	5.5%	40.2%	7.3%	0.2%	1.4M	-2.70B	-20.7M	1.98	5.13	37,510	74,299	1,701,275	2,950,638
2009-08-10	$36.12	$33.00	33.1%	9.9%	30.4%	4.8%	34.6%	6.8%	0.5%	2.7M	-2.57B	-20.3M	1.91	6.29	56,361	107,926	1,707,361	2,949,980
2009-08-11	$35.44	$33.00	34.7%	10.3%	31.7%	6.2%	33.8%	7.1%	0.3%	-8.4M	-2.08B	-20.9M	1.07	4.46	80,048	85,823	1,732,210	2,994,585
2009-08-12	$35.76	$33.00	31.4%	9.7%	26.6%	3.4%	35.9%	7.4%	1.5%	-1.2M	-2.25B	-21.0M	0.76	6.47	36,133	27,283	1,764,870	3,037,784
2009-08-13	$36.38	$33.00	33.0%	9.5%	27.1%	4.7%	35.5%	7.0%	2.3%	15.7M	-2.68B	-20.5M	0.56	4.99	54,830	30,528	1,766,149	3,034,175
2009-08-14	$35.72	$33.00	33.6%	9.6%	28.1%	5.2%	35.5%	6.9%	1.7%	4.8M	-2.35B	-20.6M	2.76	5.42	25,392	70,108	1,778,829	3,046,501
2009-08-17	$34.32	$33.00	38.4%	11.0%	29.4%	9.3%	39.2%	9.0%	-0.2%	-37.0M	-1.16B	-21.0M	1.61	4.95	87,712	141,526	1,766,503	3,069,586
2009-08-18	$35.07	$33.00	35.0%	10.0%	30.4%	6.4%	38.1%	7.9%	0.9%	-18.5M	-1.81B	-21.0M	2.89	4.95	40,750	117,762	1,809,459	3,112,924
2009-08-19	$35.16	$33.00	34.1%	9.8%	30.4%	5.6%	36.0%	7.9%	1.8%	-21.9M	-1.82B	-21.0M	1.40	3.59	38,216	53,579	1,817,478	3,161,596
2009-08-20	$35.77	$33.00	31.9%	9.1%	29.4%	3.8%	34.4%	6.5%	3.4%	-2.3M	-2.34B	-20.2M	1.09	5.08	76,793	83,572	1,825,439	3,167,093
2009-08-21	$36.31	$33.00	31.5%	9.0%	29.7%	3.5%	33.0%	6.8%	3.4%	28.2M	-2.85B	-20.6M	0.85	6.36	114,330	97,004	1,866,879	3,198,580
2009-08-24	$36.47	$34.00	31.9%	9.1%	29.6%	3.8%	31.7%	7.2%	1.8%	11.3M	-2.43B	-20.3M	1.09	4.24	80,853	87,858	1,674,450	2,832,340
2009-08-25	$36.39	$34.00	30.9%	8.9%	29.6%	2.9%	31.6%	6.2%	2.3%	13.1M	-2.45B	-20.2M	1.36	4.83	48,683	66,296	1,713,092	2,860,656
2009-08-26	$36.28	$34.00	30.6%	8.8%	28.3%	2.7%	32.0%	6.6%	2.6%	8.7M	-2.36B	-20.8M	2.87	5.62	51,054	146,675	1,731,709	2,888,193
2009-08-27	$36.21	$34.00	30.9%	8.9%	27.0%	2.9%	30.6%	6.3%	2.8%	8.4M	-2.29B	-21.2M	2.25	4.31	44,240	99,321	1,740,104	2,985,541
2009-08-28	$36.02	$34.00	30.3%	8.7%	27.1%	2.4%	31.0%	6.3%	3.7%	-1.0M	-2.05B	-21.6M	2.19	4.64	47,138	103,456	1,749,148	3,044,186
2009-08-31	$35.31	$34.00	33.7%	9.7%	24.3%	3.4%	33.5%	7.0%	2.8%	-19.0M	-1.53B	-22.1M	2.31	4.70	30,201	69,673	1,777,196	3,113,777