EEM Options History — November 2009

In November 2009, EEM traded between $38.13 and $42.07. ATM implied volatility averaged 32.3%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 4.2% (HV 20d: 36.5%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2009-11-02: Highest Volume — 459,495 contracts
  • 2009-11-27: Largest IV spike — 30.2% change
  • 2009-11-02: Highest IV Rank — 17.4%
  • 2009-11-02: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.57$38.13$42.07$38.13$40.52
Max Pain$38.95$38.00$41.00$41.00$39.00
ATM IV32.3%27.1%40.2%40.2%33.1%
Expected Move9.4%7.8%11.5%11.5%9.5%
HV 20d36.5%28.7%38.7%35.4%28.7%
HV 60d28.2%27.2%29.2%28.3%29.0%
IV Rank8.8%3.2%17.4%17.4%11.4%
IV Percentile19.4%1.6%43.7%43.7%27.8%
Term Structure0.8%-0.9%2.3%-0.9%0.7%
VWIV33.9%28.8%40.6%39.4%34.2%
Skew 25d7.0%5.6%8.7%8.7%6.7%
Skew 10d14.8%10.4%18.2%18.2%14.0%
Call IV 25d29.6%25.0%36.6%36.6%31.2%
Put IV 25d36.7%30.6%45.3%45.3%37.9%
Bid-Ask Spread %5.303.459.449.445.42
Gamma HHI0.090.080.110.080.09
Net GEX29.2M-63.7M86.9M-63.7M36.8M
Net DEX-3.27B-5.01B-532.8M-532.8M-3.17B
Net VEX-25.3M-27.9M-23.1M-26.8M-24.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.392.340.761.40
Total Volume169,666.991,878459,495459,495200,988
Total OI5,994,201.655,567,1476,414,1505,603,8985,814,163

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$38.13$41.0040.2%11.5%35.4%17.4%39.4%8.7%-0.9%-63.7M-532.8M-26.8M0.769.44261,017198,4782,279,2953,324,603
2009-11-03$38.19$40.0039.8%11.4%34.8%17.0%40.6%7.9%-0.0%-56.0M-686.6M-27.9M0.428.36168,46571,1042,469,4713,396,745
2009-11-04$38.90$40.0036.9%10.6%35.6%13.8%38.3%7.9%1.1%-28.3M-1.58B-27.8M0.846.4358,76949,1062,568,4543,390,742
2009-11-05$39.70$40.0033.6%9.6%36.1%10.0%34.9%7.1%1.8%-11.0M-2.23B-27.6M0.395.99100,21638,7922,565,7333,395,506
2009-11-06$39.65$38.0031.9%9.7%36.1%8.1%34.7%8.3%0.8%-6.9M-2.29B-27.3M0.755.4463,89248,2002,651,8043,415,398
2009-11-09$41.11$38.0031.4%9.5%38.2%7.5%37.8%7.5%0.4%40.5M-3.89B-26.1M1.784.5579,211141,0932,615,2503,431,728
2009-11-10$40.92$38.0030.2%9.3%38.3%6.2%32.5%7.6%0.8%30.0M-3.62B-25.7M0.555.4559,43632,4422,605,7273,480,503
2009-11-11$41.27$38.0029.8%9.3%36.6%5.7%33.0%7.3%0.5%46.9M-4.03B-25.5M0.773.9457,20443,9992,631,6633,459,849
2009-11-12$40.35$38.0033.5%9.6%37.5%9.9%35.4%7.2%0.6%19.0M-3.12B-25.5M1.125.1087,66598,1372,636,5383,480,669
2009-11-13$41.04$38.0031.7%9.1%37.7%7.8%33.5%7.0%1.0%39.0M-3.79B-25.0M0.934.3291,28785,3452,623,3713,508,487
2009-11-16$42.07$39.0030.5%8.7%38.1%6.5%31.3%6.8%0.9%82.5M-5.01B-24.4M0.664.39124,83482,4322,674,9463,532,818
2009-11-17$41.92$39.0030.4%8.7%37.8%6.4%31.0%6.7%0.5%86.9M-4.92B-24.0M0.775.1265,27050,5442,697,3483,562,726
2009-11-18$41.59$39.0029.7%8.5%37.9%5.5%33.4%6.7%1.1%75.5M-4.55B-24.1M1.884.3348,96992,0612,707,7793,586,774
2009-11-19$40.82$39.0031.6%9.0%38.4%7.7%33.5%7.4%0.4%35.3M-3.55B-24.3M1.205.4090,265108,0182,725,1653,618,516
2009-11-20$40.65$39.0031.1%8.9%38.3%7.1%32.5%6.2%0.8%28.4M-3.31B-24.8M1.025.1760,29861,3602,771,6423,642,508
2009-11-23$41.50$39.0029.4%8.4%38.7%6.3%28.8%6.3%1.4%64.4M-4.06B-24.0M1.094.4064,40870,0212,526,0913,041,056
2009-11-24$41.27$39.0028.1%8.0%38.1%4.5%29.9%5.8%2.3%64.0M-3.92B-23.4M2.344.1042,33799,1942,550,7483,082,064
2009-11-25$41.75$39.0027.1%7.8%33.5%3.2%28.9%5.6%2.2%80.0M-4.41B-23.1M1.303.4568,49189,3802,551,7263,108,902
2009-11-27$40.13$39.0035.3%10.1%33.9%14.3%35.4%6.3%-0.1%21.4M-2.82B-24.7M1.625.2553,69786,9132,596,3923,161,133
2009-11-30$40.52$39.0033.1%9.5%28.7%11.4%34.2%6.7%0.7%36.8M-3.17B-24.0M1.405.4283,803117,1852,620,5373,193,626