EEM Options History — September 2009

In September 2009, EEM traded between $34.64 and $39.28. ATM implied volatility averaged 30.4%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 7.3% (HV 20d: 23.1%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.55.

Notable Days

  • 2009-09-16: Highest Volume — 357,985 contracts
  • 2009-09-03: Largest IV drop — 10.9% change
  • 2009-09-01: Highest IV Rank — 4.9%
  • 2009-09-01: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.80$34.64$39.28$34.64$38.91
Max Pain$36.62$34.00$38.00$34.00$38.00
ATM IV30.4%27.9%35.9%35.9%28.8%
Expected Move8.9%8.1%10.3%10.3%8.3%
HV 20d23.1%19.2%27.6%24.9%19.2%
HV 60d27.9%26.0%29.7%29.4%26.0%
IV Rank1.7%0.0%4.9%4.9%0.8%
IV Percentile3.2%0.0%16.7%16.7%0.8%
Term Structure1.7%0.4%4.5%1.5%3.0%
VWIV33.3%30.1%38.0%37.5%31.9%
Skew 25d7.1%5.8%8.7%8.7%6.3%
Skew 10d14.7%12.2%16.4%16.3%13.5%
Call IV 25d28.2%25.8%33.4%33.4%26.6%
Put IV 25d35.3%32.4%42.1%42.1%32.9%
Bid-Ask Spread %5.894.037.854.035.17
Gamma HHI0.120.070.540.090.07
Net GEX16.3M-36.2M184.6M-36.2M-17.3M
Net DEX-2.74B-4.45B-981.9M-981.9M-2.43B
Net VEX-21.3M-22.6M-19.7M-22.4M-22.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.550.418.882.648.88
Total Volume164,366.28691,352357,985175,091231,753
Total OI4,912,421.3333,968,3345,918,1234,938,0134,414,209

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$34.64$34.0035.9%10.3%24.9%4.9%37.5%8.7%1.5%-36.2M-981.9M-22.4M2.644.0348,157126,9341,785,2893,152,724
2009-09-02$35.01$34.0034.2%9.8%25.3%3.4%35.8%7.1%2.0%-31.1M-1.27B-22.1M3.115.0631,86499,0211,799,3353,202,304
2009-09-03$35.71$34.0030.4%8.7%26.3%0.1%32.3%7.5%4.5%-15.1M-1.74B-21.9M1.444.4763,27991,0851,809,2283,245,521
2009-09-04$36.40$35.0029.7%9.8%27.0%0.0%35.1%7.6%1.6%11.7M-2.36B-21.4M2.317.5450,720117,2361,832,2943,271,457
2009-09-08$37.15$35.0031.2%9.7%27.6%1.3%38.0%7.7%0.7%26.2M-2.90B-20.8M5.727.8521,991125,7531,859,9293,311,949
2009-09-09$37.35$36.0027.9%9.4%26.5%0.0%34.0%7.4%1.2%40.1M-3.16B-20.5M1.187.3487,163103,2741,867,8833,338,125
2009-09-10$37.84$36.0030.0%8.6%26.7%1.8%32.8%7.5%1.7%45.1M-3.37B-20.4M1.596.5765,411104,1321,890,0863,378,404
2009-09-11$37.86$36.0030.9%8.8%26.2%2.5%34.6%7.7%1.3%46.5M-3.40B-20.7M4.076.0436,725149,4441,942,9873,439,730
2009-09-14$37.72$37.0031.1%8.9%25.2%2.8%33.2%7.4%0.9%39.1M-3.27B-20.5M1.946.3932,90263,8291,941,5803,532,220
2009-09-15$38.17$37.0030.8%8.8%19.6%2.5%34.8%7.2%1.2%56.0M-3.72B-20.0M2.806.6544,676125,1151,958,4023,513,411
2009-09-16$39.13$37.0029.7%8.5%20.0%1.5%33.2%6.8%1.5%61.5M-4.45B-19.7M0.415.07253,869104,1161,973,7583,604,861
2009-09-17$38.92$37.0031.3%9.0%20.3%2.9%33.5%7.0%0.4%71.6M-4.42B-20.9M3.085.9754,227166,8132,177,0913,651,763
2009-09-18$39.03$37.0030.3%8.7%19.8%2.0%33.1%7.2%1.3%184.6M-4.41B-20.9M1.556.5284,156130,2792,177,4283,740,695
2009-09-21$38.69$38.0029.3%8.4%19.9%1.2%30.1%7.2%1.1%-12.6M-2.35B-20.7M0.804.0361,69149,0981,614,3322,354,002
2009-09-22$39.28$38.0029.2%8.4%20.4%1.2%30.5%6.9%0.7%-3.7M-2.71B-20.6M2.225.1533,01373,3551,649,7402,391,029
2009-09-23$38.69$38.0029.2%8.4%21.4%1.1%32.2%7.3%1.5%-13.0M-2.41B-21.3M1.787.3953,10394,5441,670,2872,439,989
2009-09-24$37.93$38.0031.2%9.0%22.8%2.9%32.0%6.9%1.3%-34.6M-1.80B-22.4M2.024.9639,16979,2301,698,8852,525,548
2009-09-25$38.09$38.0030.3%8.7%22.8%2.1%31.8%6.2%2.4%-31.7M-1.91B-22.6M1.415.1355,56278,6061,722,5402,562,976
2009-09-28$38.58$38.0028.9%8.3%22.8%0.8%31.9%5.9%3.1%-20.7M-2.22B-22.5M2.466.0626,39464,9581,758,5302,586,390
2009-09-29$38.67$38.0028.2%8.1%21.1%0.3%31.2%5.8%2.9%-23.5M-2.23B-22.3M2.186.2840,56688,4791,765,4122,608,525
2009-09-30$38.91$38.0028.8%8.3%19.2%0.8%31.9%6.3%3.0%-17.3M-2.43B-22.3M8.885.1723,462208,2911,785,3512,628,858