EEM Options History — January 2010

In January 2010, EEM traded between $38.28 and $43.20. ATM implied volatility averaged 26.2%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 6.4% (HV 20d: 19.8%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.49.

Notable Days

  • 2010-01-15: Highest Volume — 427,789 contracts
  • 2010-01-11: Largest IV spike — 21.1% change
  • 2010-01-29: Highest IV Rank — 20.3%
  • 2010-01-29: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.42$38.28$43.20$42.71$38.28
Max Pain$41.89$41.00$42.00$41.00$42.00
ATM IV26.2%21.3%31.1%25.1%31.1%
Expected Move7.9%6.4%8.9%8.1%8.9%
HV 20d19.8%15.8%23.7%18.8%23.6%
HV 60d27.6%24.1%29.1%28.5%24.1%
IV Rank8.8%0.0%20.3%1.8%20.3%
IV Percentile8.5%0.0%31.7%1.2%31.7%
Term Structure2.2%1.3%4.4%1.6%1.5%
VWIV28.7%23.3%32.4%29.8%30.2%
Skew 25d6.1%5.0%7.3%6.9%6.7%
Skew 10d12.6%9.9%16.0%15.5%14.0%
Call IV 25d25.3%21.1%28.3%25.6%27.9%
Put IV 25d31.4%26.0%35.6%32.5%34.6%
Bid-Ask Spread %6.795.0113.366.317.65
Gamma HHI0.140.080.240.140.09
Net GEX-3.1M-111.8M135.1M97.2M-111.8M
Net DEX-901.5M-3.20B2.03B-2.58B2.03B
Net VEX-22.0M-24.5M-19.1M-19.6M-24.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.490.864.111.272.92
Total Volume237,321.158153,442427,789204,793206,674
Total OI4,134,984.8422,842,4295,358,1274,563,5643,547,330

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-01-04$42.71$41.0025.1%8.1%18.8%1.8%29.8%6.9%1.6%97.2M-2.58B-19.6M1.276.3190,398114,3951,865,5602,698,004
2010-01-05$43.02$41.0024.7%8.1%18.8%1.1%28.7%6.5%1.4%135.1M-3.10B-19.1M0.896.05129,512114,9821,891,6462,731,068
2010-01-06$43.11$42.0024.8%8.1%18.4%1.1%28.4%6.1%1.3%134.9M-3.20B-19.6M1.899.0958,456110,2461,897,9722,783,175
2010-01-07$42.86$42.0023.8%7.9%17.0%0.0%28.9%6.0%1.7%86.7M-2.59B-20.2M2.437.0772,006174,6921,907,2232,853,117
2010-01-08$43.20$42.0021.3%7.6%17.0%0.0%28.2%5.3%2.0%121.9M-3.03B-20.4M0.865.01120,292103,4801,948,6152,974,222
2010-01-11$43.11$42.0025.8%7.7%17.1%8.5%27.5%5.6%1.8%110.6M-2.89B-20.6M2.816.15102,216286,8941,985,0192,984,733
2010-01-12$42.42$42.0027.5%8.2%18.3%11.7%29.4%6.3%1.7%42.7M-2.09B-21.3M2.345.8651,851121,1041,975,3263,243,703
2010-01-13$42.55$42.0022.1%7.6%18.2%1.5%28.2%5.5%2.2%49.9M-2.30B-21.1M3.155.5736,963116,4791,974,4863,274,446
2010-01-14$42.44$42.0026.2%7.5%17.7%9.2%26.6%6.9%2.4%18.6M-2.15B-21.0M1.346.2083,228111,4411,973,2073,329,757
2010-01-15$41.95$42.0025.2%7.2%18.2%7.6%26.1%5.2%4.4%-107.0M-1.36B-21.6M2.8513.36111,062316,7271,968,8653,389,262
2010-01-19$42.80$42.0022.4%6.4%15.8%2.1%23.3%5.0%4.0%-30.6M-862.8M-22.1M1.816.0866,448120,3961,020,4071,822,022
2010-01-20$41.77$42.0024.5%7.0%18.5%6.2%26.1%5.3%3.3%-47.0M-296.5M-23.1M3.576.8664,297229,4091,048,5831,909,892
2010-01-21$40.51$42.0026.7%7.7%21.8%11.2%28.5%5.5%2.4%-74.6M521.2M-23.6M2.865.3451,643147,4821,065,3461,994,751
2010-01-22$39.61$42.0030.5%8.7%23.2%19.0%32.4%7.3%1.8%-82.1M1.06B-24.1M3.966.1554,424215,4621,080,1072,066,167
2010-01-25$39.90$42.0029.0%8.3%23.1%15.9%30.1%6.6%2.0%-91.2M958.3M-24.1M3.687.1236,361133,8201,094,2532,151,866
2010-01-26$39.07$42.0029.4%8.4%23.7%16.8%29.6%6.2%2.7%-100.8M1.45B-23.8M1.725.2873,960127,0561,103,3462,180,859
2010-01-27$38.97$42.0029.6%8.5%23.6%17.2%31.4%6.8%1.7%-101.9M1.55B-24.1M4.116.2957,993238,5731,141,4352,222,931
2010-01-28$38.70$42.0028.9%8.3%23.7%15.7%31.4%6.7%1.9%-108.8M1.75B-24.4M2.947.5065,628193,0521,151,9302,314,081
2010-01-29$38.28$42.0031.1%8.9%23.6%20.3%30.2%6.7%1.5%-111.8M2.03B-24.5M2.927.6552,762153,9121,188,7112,358,619