EEM Options History — May 2010

In May 2010, EEM traded between $36.16 and $42.28. ATM implied volatility averaged 37.6%, placing in the 67.5% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 1.0% (HV 20d: 38.5%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 3.44.

Notable Days

  • 2010-05-20: Highest Volume — 677,647 contracts
  • 2010-05-20: Largest IV spike — 25.5% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.81$36.16$42.28$42.28$38.10
Max Pain$41.50$40.00$43.00$43.00$40.00
ATM IV37.6%27.2%50.4%27.2%38.7%
Expected Move10.7%7.8%14.5%7.8%11.1%
HV 20d38.5%21.0%48.7%21.0%48.7%
HV 60d27.3%20.6%32.3%20.6%32.3%
IV Rank67.5%33.7%100.0%33.7%64.1%
IV Percentile82.1%28.2%100.0%28.2%89.3%
Term Structure-1.6%-7.7%0.6%0.6%-1.4%
VWIV39.0%28.0%50.7%28.0%45.8%
Skew 25d10.3%6.4%15.6%6.4%9.3%
Skew 10d23.0%11.5%36.1%11.5%19.9%
Call IV 25d33.1%24.1%43.8%24.1%34.3%
Put IV 25d43.4%30.5%59.2%30.5%43.6%
Bid-Ask Spread %10.133.7268.073.726.02
Gamma HHI0.110.080.170.100.10
Net GEX-169.5M-204.8M-132.6M-132.6M-147.6M
Net DEX2.98B64.2M5.61B64.2M2.47B
Net VEX-32.5M-35.4M-29.7M-34.4M-32.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.440.948.433.877.46
Total Volume395,551.05124,178677,647124,178539,876
Total OI5,500,0944,933,5845,832,6125,189,1605,697,328

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$42.28$43.0027.2%7.8%21.0%33.7%28.0%6.4%0.6%-132.6M64.2M-34.4M3.873.7225,49198,6871,822,6103,366,550
2010-05-04$40.34$43.0033.1%9.5%26.4%54.7%32.7%6.9%-1.8%-188.4M2.16B-35.0M1.785.65126,105224,9131,833,4653,401,543
2010-05-05$39.61$43.0033.9%9.7%26.8%57.5%34.6%6.6%-0.9%-188.7M3.00B-34.3M2.975.60122,061362,4021,852,3543,399,707
2010-05-06$37.99$42.0039.3%11.3%29.7%76.8%37.5%6.8%-7.7%-203.0M4.74B-32.5M1.3128.26255,815335,6631,914,6113,499,396
2010-05-07$38.19$42.0042.5%11.5%29.6%88.1%38.3%12.2%-1.4%-171.2M4.24B-34.2M4.137.7583,602345,3162,022,5673,542,611
2010-05-10$40.94$42.0033.1%9.4%40.1%54.6%35.4%10.3%0.6%-137.4M1.03B-35.1M2.147.2490,846194,2502,064,7173,457,977
2010-05-11$40.20$42.0036.5%10.3%40.5%66.7%38.2%11.3%-1.3%-173.9M2.08B-35.4M2.085.9174,774155,7612,108,9653,622,553
2010-05-12$40.70$42.0031.7%9.1%40.4%52.4%35.6%9.7%-0.2%-154.0M1.25B-34.1M1.346.75102,274137,3062,116,0483,524,325
2010-05-13$40.32$42.0032.6%9.3%40.4%55.6%33.3%9.4%-0.5%-168.1M1.73B-33.1M4.695.0339,038182,8962,077,7973,497,400
2010-05-14$39.49$41.0036.7%10.5%39.8%71.0%38.2%10.7%-1.2%-173.2M2.39B-32.7M4.095.9488,517361,6262,091,8793,412,354
2010-05-17$39.25$41.0036.2%10.4%39.8%69.4%36.2%9.4%-0.5%-204.8M2.80B-32.3M2.486.7795,030236,0292,122,7333,508,455
2010-05-18$38.43$41.0039.1%11.2%39.8%80.3%38.6%10.0%-1.7%-198.0M3.76B-31.6M0.946.38104,49997,9682,161,1033,481,929
2010-05-19$38.06$41.0040.2%11.5%39.8%84.2%42.0%10.6%-2.2%-187.5M4.12B-31.2M3.016.2797,513293,6192,195,8533,446,020
2010-05-20$36.16$41.0050.4%14.5%42.8%100.0%50.1%15.4%-5.1%-162.3M5.61B-29.9M8.304.5572,872604,7752,223,7693,569,086
2010-05-21$37.34$41.0044.8%12.9%44.9%82.8%41.9%15.6%-3.8%-198.0M4.77B-31.1M0.9468.07207,737194,2872,230,5303,602,082
2010-05-24$36.95$41.0040.9%11.7%44.8%70.7%50.7%13.3%-0.9%-136.8M3.49B-29.9M8.435.2661,743520,5751,861,7773,071,807
2010-05-25$36.55$41.0040.0%11.5%43.6%68.0%41.2%13.1%-0.8%-160.3M3.94B-30.2M3.334.55127,938425,4431,892,7913,430,449
2010-05-26$36.53$41.0039.1%11.2%43.3%65.2%40.0%10.7%-1.0%-166.3M4.05B-29.7M2.267.8996,864219,1811,947,5293,483,143
2010-05-27$38.74$40.0035.3%10.1%48.6%53.7%42.3%8.7%-0.8%-138.2M1.90B-31.9M3.354.92116,758390,9711,995,0563,451,011
2010-05-28$38.10$40.0038.7%11.1%48.7%64.1%45.8%9.3%-1.4%-147.6M2.47B-32.1M7.466.0263,783476,0932,032,4593,664,869