EEM Options History — March 2010

In March 2010, EEM traded between $39.62 and $42.12. ATM implied volatility averaged 23.7%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.4% (HV 20d: 20.2%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.84.

Notable Days

2010-03-11: Highest Volume — 428,873 contracts
2010-03-05: Largest IV drop — 10.9% change
2010-03-15: Highest IV Rank — 14.7%
2010-03-15: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.17	$39.62	$42.12	$39.62	$42.12
Max Pain	$40.04	$40.00	$41.00	$40.00	$40.00
ATM IV	23.7%	20.4%	26.7%	26.1%	20.5%
Expected Move	6.9%	5.8%	7.7%	7.5%	5.9%
HV 20d	20.2%	15.3%	30.1%	30.1%	15.8%
HV 60d	23.9%	23.3%	24.4%	23.9%	23.3%
IV Rank	6.2%	0.0%	14.7%	10.0%	0.5%
IV Percentile	3.8%	0.0%	13.9%	6.3%	0.4%
Term Structure	2.2%	0.7%	3.9%	1.3%	3.2%
VWIV	25.8%	21.5%	30.9%	27.2%	21.7%
Skew 25d	5.3%	4.0%	6.8%	6.8%	4.7%
Skew 10d	10.8%	7.8%	14.5%	14.5%	10.7%
Call IV 25d	22.1%	18.9%	24.4%	23.9%	18.9%
Put IV 25d	27.4%	23.5%	30.7%	30.7%	23.6%
Bid-Ask Spread %	5.56	3.59	8.80	3.73	6.74
Gamma HHI	0.11	0.08	0.22	0.09	0.09
Net GEX	-21.9M	-84.6M	66.6M	-58.4M	-42.0M
Net DEX	-1.28B	-2.80B	95.4M	95.4M	-1.58B
Net VEX	-27.4M	-29.7M	-24.7M	-27.3M	-29.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.84	0.68	3.19	1.47	1.93
Total Volume	202,853.435	92,168	428,873	108,764	100,200
Total OI	4,768,818.13	3,889,939	5,532,124	4,720,929	4,403,648

Daily Data (23 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
2010-03-01	$39.62	$40.00	26.1%	7.5%	30.1%	10.0%	27.2%	6.8%	1.3%	-58.4M	95.4M	-27.3M	1.47	3.73	43,985	64,779	1,783,581	2,937,348
2010-03-02	$40.07	$40.00	25.9%	7.4%	28.9%	9.7%	27.3%	6.5%	1.5%	-29.7M	-461.7M	-26.8M	1.44	3.59	60,753	87,676	1,800,704	2,948,946
2010-03-03	$40.12	$40.00	25.4%	7.3%	28.7%	9.0%	26.6%	5.4%	2.5%	-26.6M	-588.7M	-26.6M	2.31	4.54	57,021	131,811	1,813,392	2,952,941
2010-03-04	$39.91	$40.00	25.5%	7.3%	28.7%	9.3%	26.9%	5.0%	1.8%	-48.8M	-195.1M	-26.9M	2.29	3.68	53,049	121,241	1,824,580	2,978,841
2010-03-05	$40.95	$40.00	22.7%	7.3%	24.1%	3.1%	30.9%	6.0%	1.5%	-5.5M	-1.33B	-26.1M	1.24	5.65	149,826	185,468	1,835,262	3,036,124
2010-03-08	$40.98	$40.00	23.7%	7.4%	23.5%	5.4%	27.1%	5.8%	1.6%	16.2M	-1.60B	-25.5M	1.50	5.64	36,866	55,302	1,849,341	3,110,275
2010-03-09	$41.21	$40.00	23.1%	7.3%	22.8%	4.0%	26.3%	5.2%	1.3%	31.8M	-1.95B	-24.8M	0.68	6.37	145,994	99,438	1,860,674	3,141,001
2010-03-10	$41.50	$40.00	23.2%	7.5%	20.6%	4.8%	27.2%	5.4%	0.7%	31.4M	-2.19B	-24.7M	3.19	6.87	72,209	230,352	1,850,607	3,164,378
2010-03-11	$41.51	$40.00	25.1%	7.2%	20.5%	9.7%	27.8%	5.6%	1.5%	8.5M	-1.99B	-25.7M	1.23	5.41	192,171	236,702	1,865,000	3,330,434
2010-03-12	$41.37	$40.00	26.7%	7.7%	19.0%	14.7%	27.9%	6.0%	0.7%	8.7M	-1.75B	-27.2M	1.93	5.54	62,772	121,325	1,888,662	3,387,810
2010-03-15	$41.07	$40.00	26.7%	7.7%	18.5%	14.7%	28.1%	5.5%	1.0%	-12.9M	-1.37B	-27.2M	1.51	7.31	43,099	65,009	1,920,913	3,420,376
2010-03-16	$41.60	$40.00	23.8%	6.8%	17.0%	7.0%	26.1%	5.2%	2.0%	28.6M	-2.13B	-26.6M	1.10	6.95	101,303	111,914	1,926,210	3,438,832
2010-03-17	$42.05	$40.00	23.9%	6.9%	17.2%	7.1%	24.6%	5.1%	1.7%	66.6M	-2.80B	-26.1M	1.07	5.41	118,367	126,415	1,936,911	3,446,834
2010-03-18	$41.73	$40.00	23.3%	6.7%	17.6%	5.5%	25.3%	4.5%	2.2%	50.7M	-2.24B	-26.5M	2.19	6.82	104,150	227,890	1,917,625	3,488,715
2010-03-19	$41.19	$40.00	24.6%	7.0%	18.1%	8.9%	26.0%	5.8%	2.4%	-53.8M	-1.27B	-28.3M	2.27	8.80	90,184	204,423	1,901,525	3,630,599
2010-03-22	$41.34	$40.00	23.5%	6.7%	18.1%	6.0%	24.6%	5.6%	2.7%	-61.5M	-758.8M	-28.8M	1.89	4.19	72,371	136,484	1,429,571	2,460,368
2010-03-23	$41.63	$40.00	21.2%	6.1%	15.3%	0.0%	24.0%	4.0%	3.3%	-57.4M	-1.06B	-28.7M	2.06	3.84	39,512	81,346	1,470,951	2,538,149
2010-03-24	$41.01	$40.00	23.1%	6.6%	16.6%	5.3%	25.0%	5.0%	2.9%	-73.1M	-540.1M	-29.4M	2.47	5.86	42,074	103,779	1,488,993	2,563,839
2010-03-25	$40.90	$40.00	22.8%	6.5%	16.2%	4.4%	24.4%	4.5%	3.7%	-84.6M	-420.4M	-29.5M	2.69	7.23	53,285	143,434	1,508,678	2,604,992
2010-03-26	$41.10	$40.00	22.4%	6.4%	16.0%	3.3%	24.3%	4.4%	3.4%	-82.0M	-526.8M	-29.7M	3.01	4.44	37,829	113,728	1,525,245	2,679,372
2010-03-29	$41.84	$40.00	20.5%	5.9%	16.1%	0.0%	21.5%	4.2%	3.9%	-61.0M	-1.26B	-28.9M	1.39	4.08	62,746	87,178	1,545,814	2,740,605
2010-03-30	$42.00	$41.00	20.4%	5.8%	15.8%	0.0%	21.9%	4.6%	3.5%	-48.6M	-1.47B	-28.7M	1.40	5.16	79,317	110,852	1,568,576	2,765,575
2010-03-31	$42.12	$40.00	20.5%	5.9%	15.8%	0.5%	21.7%	4.7%	3.2%	-42.0M	-1.58B	-29.2M	1.93	6.74	34,153	66,047	1,623,705	2,779,943