EEM Options History — July 2010

In July 2010, EEM traded between $37.59 and $41.43. ATM implied volatility averaged 29.2%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 3.0% (HV 20d: 26.2%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.40.

Notable Days

  • 2010-07-15: Highest Volume — 221,441 contracts
  • 2010-07-06: Largest IV spike — 23.4% change
  • 2010-07-06: Highest IV Rank — 66.8%
  • 2010-07-01: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.92$37.59$41.43$37.59$41.40
Max Pain$39.05$38.00$40.00$40.00$40.00
ATM IV29.2%25.7%41.0%34.3%25.9%
Expected Move8.4%7.4%10.3%10.3%7.4%
HV 20d26.2%21.7%30.9%30.9%21.7%
HV 60d36.2%34.9%36.8%35.8%34.9%
IV Rank32.7%22.5%66.8%47.5%23.2%
IV Percentile42.1%20.2%96.4%79.8%21.4%
Term Structure1.8%-0.1%3.1%0.9%2.4%
VWIV31.8%24.9%39.3%38.5%26.6%
Skew 25d8.4%6.9%10.2%8.5%7.3%
Skew 10d17.7%11.9%20.6%17.0%16.4%
Call IV 25d25.7%22.1%33.5%33.5%22.1%
Put IV 25d34.1%29.2%42.0%42.0%29.4%
Bid-Ask Spread %6.414.6010.795.694.78
Gamma HHI0.080.060.120.110.08
Net GEX-15.5M-80.9M12.7M-67.8M7.0M
Net DEX-312.4M-1.23B1.36B1.33B-1.17B
Net VEX-29.6M-30.6M-28.6M-29.9M-30.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.400.637.832.812.00
Total Volume116,681.52443,957221,441208,29356,811
Total OI4,148,523.5713,756,4474,512,6414,080,1434,325,878

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$37.59$40.0034.3%10.3%30.9%47.5%38.5%8.5%0.9%-67.8M1.33B-29.9M2.815.6954,616153,6771,722,2642,357,879
2010-07-02$37.75$40.0033.3%9.7%28.1%44.4%35.3%6.9%2.1%-80.9M1.36B-29.8M4.086.5317,94973,1671,732,3122,452,100
2010-07-06$38.45$38.0041.0%10.2%28.0%66.8%36.8%10.2%-0.1%-62.6M728.1M-29.6M1.146.3236,55641,6141,726,3812,437,917
2010-07-07$39.30$38.0031.8%9.3%27.9%40.3%36.7%10.2%0.8%-34.0M61.1M-29.8M2.625.4824,96165,3601,736,4162,439,950
2010-07-08$39.49$38.0030.5%9.3%27.8%36.5%31.4%10.0%1.0%-27.8M-49.5M-29.8M1.835.4422,02540,3901,748,7492,470,516
2010-07-09$39.98$38.0026.8%8.5%25.5%25.9%33.9%9.0%1.4%-4.2M-425.6M-29.5M1.804.6031,71857,0111,759,4842,475,054
2010-07-12$39.65$38.0030.0%8.6%25.7%35.2%39.3%9.4%1.2%-19.6M-231.1M-29.1M3.284.6614,38547,2281,765,7702,507,525
2010-07-13$40.11$38.0029.0%8.5%26.0%32.1%30.6%9.0%1.5%-806.5K-604.8M-29.0M1.717.2746,72379,8771,777,4412,507,209
2010-07-14$40.03$39.0028.2%8.5%23.8%30.0%33.3%8.9%1.4%12.7M-607.7M-29.2M1.414.9136,78951,8661,803,5182,541,971
2010-07-15$39.84$39.0029.3%8.4%23.8%32.9%34.0%9.2%1.7%11.6M-416.8M-29.1M7.387.2926,420195,0211,802,4372,574,689
2010-07-16$38.65$39.0030.8%8.8%26.1%37.3%34.7%8.9%1.7%-30.7M533.7M-28.8M7.836.2922,593176,9321,805,7982,706,843
2010-07-19$39.16$39.0029.6%8.5%26.5%34.0%30.6%8.1%1.6%-27.3M197.1M-28.6M1.5010.7936,74555,1351,567,4922,188,955
2010-07-20$40.08$39.0026.7%7.6%27.2%25.5%30.2%7.7%3.1%-13.2M-407.5M-29.1M1.837.5253,26497,5121,584,4482,231,094
2010-07-21$39.67$39.0028.1%8.0%26.5%29.5%31.8%8.3%2.2%-16.0M-205.1M-29.2M1.607.4671,691114,4551,608,6512,222,760
2010-07-22$40.87$39.0026.1%7.5%28.5%23.7%27.6%7.4%2.6%1.0M-910.0M-30.0M1.256.9151,79564,7391,652,0262,304,140
2010-07-23$41.15$39.0025.7%7.4%27.6%22.5%27.7%7.9%2.7%11.5M-1.13B-30.1M1.776.4445,08080,0051,683,6122,333,228
2010-07-26$41.43$40.0025.9%7.4%27.5%23.4%24.9%6.9%2.8%4.3M-1.23B-30.2M0.638.1927,00116,9561,704,1752,395,838
2010-07-27$41.36$40.0026.1%7.5%27.3%23.9%26.2%6.9%2.4%7.2M-1.21B-30.2M1.037.1549,60750,9321,713,3332,402,539
2010-07-28$41.13$40.0026.7%7.7%22.1%25.6%28.6%7.5%2.1%1.7M-1.12B-30.5M1.365.0919,03125,9691,736,2032,432,869
2010-07-29$41.20$40.0026.9%7.7%21.7%26.3%28.9%7.8%2.4%1.7M-1.07B-30.4M1.635.8682,498134,2081,739,8412,439,690
2010-07-30$41.40$40.0025.9%7.4%21.7%23.2%26.6%7.3%2.4%7.0M-1.17B-30.6M2.004.7818,96237,8491,788,7582,537,120