EEM Options History — October 2009 In October 2009, EEM traded between $37.57 and $41.55. ATM implied volatility averaged 29.8%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 6.1% (HV 20d: 23.7%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.69.
Notable Days 2009-10-30 : Highest Volume — 315,646 contracts2009-10-30 : Largest IV spike — 16.7% change2009-10-30 : Highest IV Rank — 15.4%2009-10-30 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $39.84 $37.57 $41.55 $37.85 $37.57 Max Pain $39.73 $38.00 $41.00 $38.00 $41.00 ATM IV 29.8% 24.8% 38.4% 31.9% 38.4% Expected Move 8.9% 7.9% 11.0% 9.2% 11.0% HV 20d 23.7% 21.4% 36.0% 22.4% 36.0% HV 60d 25.1% 23.1% 28.2% 26.6% 28.2% IV Rank 4.5% 0.0% 15.4% 3.5% 15.4% IV Percentile 8.7% 0.0% 37.7% 12.3% 37.7% Term Structure 1.6% -0.1% 3.2% 1.9% 0.4% VWIV 32.2% 27.8% 38.0% 32.7% 38.0% Skew 25d 6.7% 5.7% 8.2% 6.5% 8.2% Skew 10d 13.8% 11.6% 16.7% 13.3% 16.7% Call IV 25d 28.1% 24.4% 35.1% 29.5% 35.1% Put IV 25d 34.8% 31.1% 43.3% 36.1% 43.3% Bid-Ask Spread % 8.51 4.96 52.89 5.72 8.40 Gamma HHI 0.09 0.08 0.10 0.09 0.09 Net GEX -11.5M -66.8M 40.5M -51.1M -66.8M Net DEX -2.64B -4.24B -181.8M -1.57B -181.8M Net VEX -23.8M -26.8M -21.9M -23.6M -26.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.69 0.64 3.53 2.77 1.63 Total Volume 186,018.682 85,282 315,646 180,060 315,646 Total OI 4,989,662.091 4,578,953 5,488,154 4,578,953 5,488,154
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 2009-10-01 $37.85 $38.00 31.9% 9.2% 22.4% 3.5% 32.7% 6.5% 1.9% -51.1M -1.57B -23.6M 2.77 5.72 47,753 132,307 1,791,499 2,787,454 2009-10-02 $37.86 $38.00 31.4% 9.0% 21.7% 3.0% 32.8% 6.3% 2.0% -51.0M -1.55B -23.9M 3.53 6.10 30,322 106,914 1,818,141 2,818,980 2009-10-05 $38.74 $39.00 29.1% 9.1% 22.1% 1.0% 32.9% 7.8% 0.9% -30.7M -2.18B -23.4M 1.71 5.28 33,385 56,984 1,827,302 2,866,251 2009-10-06 $39.38 $39.00 30.7% 9.3% 21.7% 2.4% 32.6% 7.6% 0.4% -14.0M -2.66B -23.1M 1.09 6.27 71,513 77,830 1,847,922 2,882,908 2009-10-07 $39.34 $39.00 28.8% 8.9% 21.7% 0.8% 32.1% 7.7% 0.9% -10.9M -2.68B -23.0M 1.46 7.43 65,913 96,050 1,881,858 2,890,741 2009-10-08 $39.82 $39.00 26.5% 8.7% 21.7% 0.0% 33.6% 7.2% 1.0% -3.1M -2.94B -23.3M 1.68 5.49 42,275 71,143 1,913,172 2,954,105 2009-10-09 $39.85 $39.00 24.8% 8.5% 21.7% 0.0% 31.9% 6.9% 1.7% 1.0M -3.04B -22.9M 1.09 6.45 58,540 63,669 1,925,826 2,974,419 2009-10-12 $40.18 $39.00 27.9% 8.6% 21.6% 2.6% 32.9% 6.6% 1.6% 15.1M -3.29B -22.6M 1.85 5.72 29,965 55,317 1,955,131 3,010,735 2009-10-13 $40.25 $39.00 26.7% 8.7% 21.4% 1.6% 32.8% 6.6% 1.5% 19.0M -3.34B -22.4M 2.65 5.77 47,806 126,480 1,955,093 3,023,062 2009-10-14 $41.55 $39.00 26.4% 8.3% 22.4% 1.3% 30.6% 6.3% 1.5% 40.5M -4.24B -21.9M 0.66 8.06 114,530 76,151 1,970,058 3,104,298 2009-10-15 $41.32 $39.00 29.4% 8.4% 22.5% 3.8% 31.7% 6.0% 1.8% 38.9M -4.15B -22.2M 2.48 7.06 46,454 114,984 2,026,633 3,141,964 2009-10-16 $40.75 $40.00 29.3% 8.4% 23.2% 5.1% 30.3% 6.2% 2.1% 17.1M -3.61B -23.0M 1.79 6.12 86,905 155,889 2,050,104 3,209,441 2009-10-19 $41.53 $40.00 27.8% 8.0% 23.6% 3.5% 29.2% 5.9% 2.4% 3.1M -3.55B -22.6M 1.45 6.52 110,002 159,492 1,866,252 2,750,213 2009-10-20 $40.98 $40.00 29.1% 8.3% 23.9% 4.9% 31.5% 6.4% 2.5% -2.8M -3.14B -23.4M 0.74 5.20 127,415 94,802 1,902,735 2,803,910 2009-10-21 $40.76 $40.00 27.7% 7.9% 23.2% 3.3% 27.8% 7.4% 3.2% -1.8M -2.98B -23.8M 1.17 52.89 128,586 150,898 1,975,389 2,849,029 2009-10-22 $41.10 $41.00 28.1% 8.1% 21.7% 3.8% 29.2% 5.7% 2.5% 291.3K -3.28B -24.1M 1.26 4.96 68,683 86,288 2,052,121 2,949,138 2009-10-23 $40.76 $41.00 28.9% 8.3% 22.1% 4.7% 30.1% 6.0% 2.2% -8.0M -2.98B -24.8M 0.64 7.08 90,734 57,822 2,076,875 2,996,947 2009-10-26 $40.25 $41.00 32.5% 9.3% 22.5% 8.8% 32.5% 6.5% 1.3% -13.5M -2.64B -25.0M 1.02 9.17 109,195 111,558 2,131,866 3,019,041 2009-10-27 $39.55 $41.00 31.9% 9.1% 23.6% 8.1% 33.5% 6.3% 1.1% -28.5M -2.06B -25.8M 1.83 5.88 53,912 98,619 2,209,838 3,174,915 2009-10-28 $37.74 $41.00 36.0% 10.3% 29.0% 12.7% 36.7% 7.1% -0.1% -63.2M -413.5M -26.1M 2.95 5.79 74,508 219,786 2,243,210 3,225,079 2009-10-29 $39.41 $41.00 32.9% 9.4% 31.3% 9.2% 33.9% 6.5% 1.5% -43.1M -1.66B -26.2M 1.70 5.88 83,546 141,840 2,212,671 3,218,086 2009-10-30 $37.57 $41.00 38.4% 11.0% 36.0% 15.4% 38.0% 8.2% 0.4% -66.8M -181.8M -26.8M 1.63 8.40 119,857 195,789 2,249,399 3,238,755
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