EEM Options History — April 2010

In April 2010, EEM traded between $41.52 and $43.98. ATM implied volatility averaged 22.4%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 4.2% (HV 20d: 18.2%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.37.

Notable Days

  • 2010-04-06: Highest Volume — 490,544 contracts
  • 2010-04-15: Largest IV spike — 29.7% change
  • 2010-04-30: Highest IV Rank — 39.2%
  • 2010-04-30: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.99$41.52$43.98$43.22$42.05
Max Pain$42.62$41.00$43.00$41.00$43.00
ATM IV22.4%17.8%28.8%20.1%28.8%
Expected Move6.8%5.7%8.3%5.7%8.3%
HV 20d18.2%15.7%22.9%17.5%21.2%
HV 60d23.2%21.9%23.9%23.8%22.9%
IV Rank13.6%0.0%39.2%0.0%39.2%
IV Percentile8.2%0.0%33.7%0.0%33.7%
Term Structure2.0%0.9%3.5%3.5%1.3%
VWIV25.2%22.4%29.2%22.4%29.2%
Skew 25d5.1%3.7%6.8%3.7%6.3%
Skew 10d10.6%7.8%14.4%8.4%12.8%
Call IV 25d21.7%18.8%25.8%18.8%25.8%
Put IV 25d26.8%22.6%32.1%22.6%32.1%
Bid-Ask Spread %6.994.2214.545.847.87
Gamma HHI0.080.070.090.090.09
Net GEX-59.3M-139.1M-3.1M-11.1M-127.6M
Net DEX-1.39B-3.05B787.4M-2.60B322.1M
Net VEX-31.2M-35.5M-28.1M-28.3M-35.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.371.035.481.832.82
Total Volume220,558.61958,549490,544334,581146,459
Total OI4,865,923.5244,370,1135,347,0754,461,9345,108,697

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$43.22$41.0020.1%5.7%17.5%0.0%22.4%3.7%3.5%-11.1M-2.60B-28.3M1.835.84118,405216,1761,636,7662,825,168
2010-04-05$43.61$41.0020.3%6.5%15.7%0.9%26.6%5.1%1.3%-3.1M-3.05B-28.1M2.328.17134,237310,7911,708,3882,893,021
2010-04-06$43.74$42.0019.3%6.6%15.7%0.0%25.3%5.5%1.4%-4.5M-2.89B-28.3M1.745.56178,996311,5481,683,3382,894,375
2010-04-07$43.36$42.0022.6%7.2%16.2%10.9%25.2%5.6%0.9%-17.8M-2.35B-29.1M2.177.0071,050154,1701,742,6423,054,904
2010-04-08$43.51$42.0020.2%6.7%16.1%2.9%25.6%5.4%1.2%-10.3M-2.53B-28.7M4.404.2244,697196,8751,742,6423,054,904
2010-04-09$43.78$42.0018.1%6.6%16.2%0.0%25.6%5.0%1.3%-12.5M-2.61B-29.1M1.605.1530,13248,0791,756,1073,243,444
2010-04-12$43.43$43.0022.0%7.0%16.5%12.6%24.6%5.2%1.2%-15.3M-2.35B-28.8M2.215.9937,82583,5751,766,5373,240,206
2010-04-13$43.34$43.0021.6%7.0%16.2%11.2%25.8%5.1%1.3%-16.6M-2.25B-29.0M5.485.1652,662288,7421,779,4233,280,559
2010-04-14$43.98$43.0017.8%6.5%16.3%0.0%24.1%5.0%2.1%-5.9M-2.82B-29.4M1.035.4453,81855,5241,810,4663,402,303
2010-04-15$43.74$43.0023.1%6.6%16.3%16.9%25.4%4.9%2.1%-13.6M-2.58B-29.8M1.917.4658,742112,4271,824,9403,422,139
2010-04-16$42.46$43.0025.5%7.3%19.6%24.4%26.4%4.8%2.0%-53.2M-1.18B-31.5M1.616.50108,620175,1821,863,2833,483,792
2010-04-19$42.29$43.0024.9%7.1%19.0%22.6%24.9%4.5%2.6%-96.4M-136.8M-31.4M1.466.90124,582182,0051,555,3212,814,792
2010-04-20$42.79$43.0022.1%6.3%19.3%13.8%23.9%4.3%3.3%-81.4M-651.8M-32.4M1.386.0086,223119,4001,643,3952,888,967
2010-04-21$42.65$43.0022.3%6.4%19.3%14.2%24.0%4.1%3.2%-94.8M-435.5M-33.0M3.647.4152,328190,2711,691,1312,960,683
2010-04-22$42.83$43.0021.7%6.2%18.3%12.5%23.6%4.0%3.5%-102.0M-495.4M-33.4M2.998.7732,71697,8421,711,5283,066,054
2010-04-23$43.06$43.0021.7%6.2%18.3%12.5%23.8%4.7%2.9%-88.4M-835.7M-33.7M1.9811.5731,42162,0931,727,9973,108,966
2010-04-26$43.06$43.0021.4%6.1%18.3%11.6%22.8%4.1%2.8%-91.0M-860.5M-32.9M2.145.1018,67539,8741,729,2973,139,463
2010-04-27$41.52$43.0026.8%7.7%22.0%28.9%27.8%6.0%1.6%-136.8M787.4M-34.3M2.4714.5469,406171,3881,744,0483,157,277
2010-04-28$41.87$43.0026.2%7.5%22.1%28.3%26.4%6.8%1.3%-139.1M504.8M-34.8M2.796.4148,769136,3021,776,8283,219,450
2010-04-29$42.56$43.0024.3%7.0%22.9%23.2%25.3%6.3%1.5%-124.1M-204.6M-34.3M1.765.8265,119114,5851,767,8853,263,268
2010-04-30$42.05$43.0028.8%8.3%21.2%39.2%29.2%6.3%1.3%-127.6M322.1M-35.5M2.827.8738,300108,1591,804,9213,303,776