EEM Options History — February 2010

In February 2010, EEM traded between $36.83 and $39.72. ATM implied volatility averaged 29.4%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 0.1% (HV 20d: 29.3%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.81.

Notable Days

  • 2010-02-05: Highest Volume — 497,727 contracts
  • 2010-02-04: Largest IV spike — 18.4% change
  • 2010-02-08: Highest IV Rank — 27.8%
  • 2010-02-05: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.73$36.83$39.72$39.31$38.96
Max Pain$40.47$40.00$42.00$42.00$40.00
ATM IV29.4%25.2%34.7%28.8%27.0%
Expected Move8.5%7.2%10.1%8.3%7.7%
HV 20d29.3%23.2%33.8%25.9%29.8%
HV 60d25.2%24.1%25.9%24.7%24.3%
IV Rank16.8%8.1%27.8%15.6%11.7%
IV Percentile22.2%4.4%52.0%13.5%10.3%
Term Structure1.0%-1.4%2.9%1.2%0.9%
VWIV31.1%26.3%37.5%29.6%28.6%
Skew 25d6.7%4.2%8.3%6.3%6.2%
Skew 10d13.5%8.2%17.6%11.0%13.2%
Call IV 25d27.0%23.9%31.7%25.7%23.9%
Put IV 25d33.7%28.8%39.8%32.0%30.1%
Bid-Ask Spread %6.173.3226.214.8626.21
Gamma HHI0.100.080.120.090.10
Net GEX-100.2M-123.4M-58.2M-115.2M-84.8M
Net DEX1.43B419.3M2.99B1.41B915.9M
Net VEX-25.6M-27.4M-24.5M-24.8M-27.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.614.252.041.39
Total Volume225,450.21196,310497,727134,262147,028
Total OI4,252,761.8953,667,3524,663,0043,667,3524,663,004

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-02-01$39.31$42.0028.8%8.3%25.9%15.6%29.6%6.3%1.2%-115.2M1.41B-24.8M2.044.8644,12490,1381,218,7762,448,576
2010-02-02$39.63$42.0025.2%7.2%23.5%8.1%26.3%4.2%2.9%-117.4M1.18B-24.6M1.225.7443,39252,9181,238,2132,434,353
2010-02-03$39.40$42.0026.9%7.7%23.2%11.6%27.0%5.5%2.6%-113.7M1.25B-24.6M0.617.51167,024101,3491,257,4592,434,940
2010-02-04$37.62$42.0031.8%9.1%27.3%21.8%33.0%6.9%2.3%-110.5M2.43B-24.7M4.256.5764,594274,4731,383,7082,474,724
2010-02-05$37.20$41.0034.2%10.1%27.4%26.8%33.9%8.3%-1.4%-123.1M2.86B-24.6M1.256.32221,522276,2051,400,9022,567,750
2010-02-08$36.83$40.0034.7%9.9%26.8%27.8%37.5%7.8%-0.9%-123.4M2.99B-24.5M1.754.1953,27592,9631,482,7242,631,924
2010-02-09$38.03$40.0031.9%9.4%30.3%21.9%34.4%7.7%-0.5%-111.4M2.07B-25.8M1.005.01123,505123,1261,581,4502,658,721
2010-02-10$37.93$40.0030.0%9.2%30.1%18.0%34.1%7.1%0.0%-118.2M2.20B-25.9M2.144.7182,255176,0761,617,5532,709,952
2010-02-11$38.93$40.0030.2%8.7%32.0%18.5%32.7%7.5%0.8%-107.0M1.35B-26.4M3.284.1951,663169,3591,654,9662,783,948
2010-02-12$38.44$40.0031.0%8.9%32.1%20.1%32.9%7.2%1.0%-118.3M1.68B-26.1M2.874.8434,66099,3121,663,8342,846,771
2010-02-16$39.43$40.0030.1%8.6%33.8%18.2%31.0%7.1%1.0%-97.5M870.2M-25.6M1.103.4363,41369,7961,675,8172,832,327
2010-02-17$39.57$40.0028.5%8.2%32.8%15.0%31.6%7.1%1.6%-92.9M722.7M-25.7M2.444.4752,352127,6851,693,8482,867,251
2010-02-18$39.72$40.0028.3%8.1%32.0%14.6%30.1%6.9%1.6%-90.7M560.2M-25.7M1.294.8259,13876,2011,701,8662,906,531
2010-02-19$39.38$40.0029.1%8.3%30.3%16.1%29.5%6.6%0.8%-62.6M966.0M-25.2M1.374.21176,494241,9521,729,9362,916,516
2010-02-22$39.43$40.0028.6%8.2%29.3%15.1%29.7%6.6%0.5%-58.2M419.3M-25.5M1.494.3889,122132,5711,541,3082,577,667
2010-02-23$38.52$40.0028.3%8.1%30.2%14.4%29.7%6.5%1.1%-83.0M1.12B-25.9M1.613.32100,390161,6201,602,9042,656,700
2010-02-24$38.89$40.0028.0%8.0%29.6%14.0%29.7%6.4%1.1%-85.3M942.5M-26.6M1.204.94113,479136,5101,643,9722,736,729
2010-02-25$38.57$40.0026.2%7.5%29.7%10.1%29.0%5.8%2.9%-90.4M1.23B-27.1M2.047.4563,756130,1141,724,5112,840,345
2010-02-26$38.96$40.0027.0%7.7%29.8%11.7%28.6%6.2%0.9%-84.8M915.9M-27.4M1.3926.2161,50385,5251,760,0392,902,965