EEM Options History — June 2010

In June 2010, EEM traded between $36.62 and $40.61. ATM implied volatility averaged 36.3%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 3.7% (HV 20d: 40.0%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.02.

Notable Days

2010-06-14: Highest Volume — 485,524 contracts
2010-06-02: Largest IV drop — 18.0% change
2010-06-30: Highest IV Rank — 100.0%
2010-06-01: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.70	$36.62	$40.61	$37.41	$37.32
Max Pain	$39.00	$38.00	$40.00	$40.00	$40.00
ATM IV	36.3%	28.2%	52.6%	44.9%	52.6%
Expected Move	9.9%	8.1%	12.9%	12.9%	11.2%
HV 20d	40.0%	30.2%	48.8%	48.8%	30.7%
HV 60d	34.5%	32.0%	35.8%	32.0%	35.8%
IV Rank	56.2%	31.7%	100.0%	83.0%	100.0%
IV Percentile	74.2%	31.7%	100.0%	99.6%	100.0%
Term Structure	0.6%	-2.8%	2.5%	-2.8%	-0.1%
VWIV	36.3%	30.0%	45.4%	45.4%	37.1%
Skew 25d	9.5%	7.4%	13.5%	10.2%	9.3%
Skew 10d	20.1%	14.0%	30.4%	22.8%	17.6%
Call IV 25d	31.0%	26.0%	39.2%	39.2%	34.4%
Put IV 25d	40.5%	34.3%	49.3%	49.3%	43.8%
Bid-Ask Spread %	5.80	4.29	8.20	4.29	5.93
Gamma HHI	0.11	0.08	0.13	0.10	0.11
Net GEX	-96.6M	-176.9M	-9.4M	-154.4M	-69.5M
Net DEX	1.36B	-578.7M	3.90B	3.10B	1.48B
Net VEX	-30.1M	-31.2M	-28.7M	-30.9M	-29.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.02	0.92	9.46	3.19	1.20
Total Volume	190,674.955	24,831	485,524	158,433	151,379
Total OI	5,018,456.682	3,599,250	6,067,040	5,679,402	3,998,398

Daily Data (22 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
2010-06-01	$37.41	$40.00	44.9%	12.9%	48.8%	83.0%	45.4%	10.2%	-2.8%	-154.4M	3.10B	-30.9M	3.19	4.29	37,784	120,649	2,041,430	3,637,972
2010-06-02	$38.71	$40.00	36.8%	10.6%	48.2%	58.2%	40.2%	9.2%	-1.6%	-135.3M	1.87B	-30.9M	2.51	5.41	72,158	181,448	2,054,717	3,349,263
2010-06-03	$38.57	$40.00	35.5%	10.2%	47.9%	54.2%	37.0%	9.4%	-0.7%	-144.4M	2.11B	-31.2M	1.37	6.29	48,729	66,720	2,056,771	3,433,568
2010-06-04	$37.20	$38.00	41.5%	11.5%	47.3%	72.7%	38.2%	13.0%	0.2%	-155.5M	3.31B	-30.4M	0.92	6.73	42,891	39,421	2,073,826	3,427,086
2010-06-07	$36.62	$38.00	41.9%	11.5%	47.5%	73.9%	41.3%	13.5%	0.6%	-164.9M	3.90B	-28.7M	1.31	6.61	49,604	64,860	2,084,214	3,397,078
2010-06-08	$37.46	$38.00	39.5%	11.0%	40.5%	66.5%	39.6%	10.9%	0.5%	-176.9M	3.25B	-29.1M	1.68	5.86	62,171	104,224	2,095,690	3,416,615
2010-06-09	$37.26	$38.00	41.7%	11.5%	40.2%	73.2%	41.8%	11.1%	-0.3%	-171.0M	3.33B	-29.4M	1.98	6.37	88,045	173,933	2,124,334	3,445,697
2010-06-10	$38.56	$38.00	34.8%	10.0%	42.1%	52.0%	37.3%	9.8%	1.2%	-154.8M	1.98B	-30.6M	1.27	8.20	59,595	75,967	2,184,435	3,474,945
2010-06-11	$38.76	$38.00	32.3%	9.3%	42.1%	44.5%	36.1%	8.5%	2.0%	-154.6M	1.82B	-29.8M	4.44	6.69	32,233	143,048	2,199,466	3,479,744
2010-06-14	$38.77	$38.00	33.2%	9.5%	41.5%	47.2%	37.5%	9.4%	1.2%	-142.6M	1.64B	-29.0M	9.46	5.94	46,413	439,111	2,211,159	3,489,353
2010-06-15	$39.94	$38.00	30.5%	8.7%	42.8%	38.9%	32.4%	8.6%	1.6%	-93.8M	280.8M	-29.2M	1.10	7.01	157,909	172,980	2,223,095	3,489,843
2010-06-16	$39.94	$38.00	30.2%	8.6%	42.0%	37.9%	37.0%	8.9%	1.7%	-73.6M	66.2M	-30.4M	1.92	4.73	135,766	261,193	2,303,510	3,572,671
2010-06-17	$39.74	$38.00	29.9%	8.6%	41.9%	37.1%	31.1%	8.6%	1.9%	-60.4M	383.6M	-30.2M	1.28	5.58	79,325	101,475	2,361,340	3,634,152
2010-06-18	$39.92	$39.00	28.9%	8.3%	36.9%	34.1%	31.3%	7.4%	2.5%	-9.4M	139.7M	-29.7M	1.17	5.52	92,534	108,046	2,402,901	3,664,139
2010-06-21	$40.61	$39.00	28.2%	8.1%	35.8%	31.7%	30.0%	8.9%	1.1%	-23.1M	-578.7M	-29.6M	1.11	4.65	118,678	131,956	1,492,550	2,106,700
2010-06-22	$39.83	$40.00	31.2%	9.0%	36.4%	41.1%	32.1%	8.6%	0.5%	-28.9M	-206.7M	-30.6M	0.97	4.98	147,279	142,412	1,575,304	2,175,377
2010-06-23	$39.67	$40.00	29.8%	8.5%	36.1%	36.7%	32.1%	8.9%	1.0%	-31.0M	-31.9M	-31.1M	1.23	5.23	33,654	41,398	1,636,197	2,278,819
2010-06-24	$38.97	$40.00	33.8%	9.7%	36.9%	48.9%	36.1%	8.8%	0.1%	-40.3M	413.8M	-31.0M	2.26	4.43	36,226	81,933	1,648,340	2,293,142
2010-06-25	$39.43	$40.00	34.5%	9.2%	30.8%	51.2%	31.2%	8.1%	1.5%	-40.0M	151.5M	-31.2M	1.03	6.40	45,077	46,607	1,659,955	2,331,280
2010-06-28	$39.16	$40.00	40.2%	9.3%	30.2%	68.5%	33.9%	8.5%	1.5%	-38.7M	224.6M	-30.5M	1.49	4.89	9,977	14,854	1,659,162	2,288,875
2010-06-29	$37.57	$40.00	45.8%	11.0%	33.2%	85.7%	39.9%	9.6%	-0.2%	-61.5M	1.30B	-29.4M	1.61	5.88	51,793	83,394	1,650,656	2,282,278
2010-06-30	$37.32	$40.00	52.6%	11.2%	30.7%	100.0%	37.1%	9.3%	-0.1%	-69.5M	1.48B	-29.3M	1.20	5.93	68,720	82,659	1,680,500	2,317,898