EEM Options History — December 2009

In December 2009, EEM traded between $40.25 and $41.85. ATM implied volatility averaged 28.8%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 3.9% (HV 20d: 24.9%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.44.

Notable Days

2009-12-21: Highest Volume — 2,422,258 contracts
2009-12-10: Largest IV spike — 8.7% change
2009-12-17: Highest IV Rank — 13.0%
2009-12-07: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.16	$40.25	$41.85	$41.68	$41.50
Max Pain	$37.64	$35.00	$40.00	$39.00	$40.00
ATM IV	28.8%	24.2%	32.0%	30.4%	26.4%
Expected Move	8.4%	6.9%	9.5%	8.7%	7.6%
HV 20d	24.9%	16.2%	29.7%	29.7%	16.2%
HV 60d	28.9%	27.9%	29.4%	29.3%	27.9%
IV Rank	7.3%	0.0%	13.0%	7.7%	4.4%
IV Percentile	10.4%	0.0%	25.4%	13.9%	3.2%
Term Structure	2.9%	0.9%	5.0%	1.0%	3.5%
VWIV	30.8%	24.3%	48.2%	32.5%	26.2%
Skew 25d	6.8%	4.4%	8.2%	6.2%	5.5%
Skew 10d	13.4%	10.1%	16.6%	12.6%	11.5%
Call IV 25d	26.3%	21.4%	30.1%	28.5%	23.2%
Put IV 25d	33.1%	26.8%	38.1%	34.7%	28.7%
Bid-Ask Spread %	3.84	2.66	6.42	4.63	3.74
Gamma HHI	0.10	0.08	0.12	0.11	0.11
Net GEX	35.2M	-32.6M	93.6M	80.6M	48.6M
Net DEX	-2.93B	-4.63B	-522.0M	-4.33B	-1.65B
Net VEX	-21.5M	-23.7M	-20.0M	-23.6M	-20.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.44	0.04	4.49	0.27	1.08
Total Volume	275,203.091	53,678	2,422,258	376,233	116,719
Total OI	5,567,000.909	4,264,872	6,512,467	5,900,116	4,529,364

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
2009-12-01	$41.68	$39.00	30.4%	8.7%	29.7%	7.7%	32.5%	6.2%	1.0%	80.6M	-4.33B	-23.6M	0.27	4.63	297,405	78,828	2,650,987	3,249,129
2009-12-02	$41.85	$39.00	29.9%	8.6%	29.7%	7.5%	29.9%	5.6%	1.2%	93.5M	-4.60B	-23.6M	1.18	2.80	44,700	52,803	2,685,978	3,237,480
2009-12-03	$41.46	$39.00	32.0%	9.2%	29.6%	10.6%	31.9%	6.1%	0.9%	67.9M	-4.08B	-23.7M	1.25	4.82	28,812	36,095	2,676,545	3,263,929
2009-12-04	$41.84	$35.00	30.0%	9.1%	29.0%	7.7%	33.6%	7.7%	1.8%	93.6M	-4.63B	-22.6M	2.43	3.90	45,889	111,576	2,676,646	3,270,126
2009-12-07	$41.48	$35.00	31.6%	9.5%	29.3%	11.4%	30.3%	7.9%	1.3%	73.2M	-4.15B	-22.6M	0.44	3.21	80,072	35,392	2,683,588	3,317,351
2009-12-08	$40.71	$35.00	30.6%	9.4%	27.3%	9.7%	34.3%	8.0%	1.7%	29.8M	-3.19B	-22.5M	1.35	5.11	102,301	138,394	2,689,425	3,318,056
2009-12-09	$40.96	$35.00	28.8%	9.4%	27.3%	7.3%	35.2%	8.2%	1.9%	37.6M	-3.50B	-21.8M	2.79	3.43	61,583	171,835	2,703,709	3,374,192
2009-12-10	$41.20	$36.00	31.3%	9.0%	27.2%	11.8%	34.2%	8.2%	2.6%	52.3M	-3.76B	-21.5M	4.49	3.05	46,904	210,518	2,714,469	3,436,820
2009-12-11	$41.35	$36.00	31.2%	8.9%	25.9%	11.7%	31.8%	7.6%	2.8%	43.9M	-3.70B	-22.1M	2.13	3.22	67,053	142,631	2,722,129	3,526,036
2009-12-14	$41.63	$36.00	29.0%	8.3%	25.3%	7.8%	29.9%	7.9%	3.8%	64.4M	-4.08B	-21.0M	0.52	3.94	114,322	59,089	2,755,398	3,577,490
2009-12-15	$41.20	$36.00	30.0%	8.6%	23.9%	9.4%	30.3%	7.3%	3.3%	38.7M	-3.60B	-21.4M	1.14	3.26	115,488	131,794	2,768,979	3,574,988
2009-12-16	$41.44	$37.00	29.8%	8.5%	24.0%	10.2%	31.0%	7.2%	3.1%	57.1M	-3.90B	-20.9M	2.19	3.54	62,654	137,300	2,798,331	3,636,368
2009-12-17	$40.25	$37.00	31.2%	8.9%	26.0%	13.0%	31.5%	7.6%	2.6%	-22.7M	-2.52B	-21.5M	2.14	4.30	61,621	131,851	2,796,262	3,712,880
2009-12-18	$40.36	$37.00	30.1%	8.6%	25.2%	10.9%	31.4%	8.1%	2.9%	-32.6M	-2.57B	-20.5M	1.40	4.45	87,235	122,463	2,778,963	3,733,504
2009-12-21	$40.31	$38.00	28.4%	8.2%	25.2%	7.5%	48.2%	7.7%	3.2%	-22.6M	-1.81B	-20.0M	0.04	3.65	2,334,219	88,039	2,074,075	2,553,475
2009-12-22	$40.39	$40.00	26.2%	7.5%	24.0%	2.9%	26.7%	6.2%	4.1%	-16.7M	-522.0M	-20.2M	1.59	2.66	57,008	90,632	1,675,294	2,589,578
2009-12-23	$40.79	$40.00	24.2%	6.9%	24.2%	0.0%	24.8%	4.9%	5.0%	-13.4M	-786.3M	-20.6M	0.50	3.21	170,959	84,834	1,706,265	2,635,645
2009-12-24	$41.20	$38.00	24.2%	6.9%	24.1%	0.0%	24.3%	5.5%	4.6%	24.6M	-2.96B	-21.1M	1.42	4.00	22,178	31,500	2,229,909	2,662,402
2009-12-28	$41.34	$40.00	26.2%	7.5%	19.3%	4.1%	26.8%	6.2%	3.9%	25.2M	-1.34B	-20.5M	1.25	6.42	35,699	44,541	1,815,392	2,667,609
2009-12-29	$41.18	$40.00	25.8%	7.4%	19.1%	3.2%	27.7%	5.9%	3.8%	19.1M	-1.26B	-20.5M	1.24	3.69	38,477	47,889	1,828,242	2,665,892
2009-12-30	$41.36	$40.00	25.4%	7.3%	16.2%	2.4%	25.0%	4.4%	4.4%	32.3M	-1.47B	-20.3M	0.85	3.52	62,193	52,973	1,840,805	2,670,315
2009-12-31	$41.50	$40.00	26.4%	7.6%	16.2%	4.4%	26.2%	5.5%	3.5%	48.6M	-1.65B	-20.1M	1.08	3.74	56,077	60,642	1,849,422	2,679,942