EEM Options History — August 2010

In August 2010, EEM traded between $39.62 and $42.48. ATM implied volatility averaged 27.7%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 7.0% (HV 20d: 20.7%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.62.

Notable Days

2010-08-31: Highest Volume — 247,894 contracts
2010-08-05: Largest IV drop — 17.5% change
2010-08-31: Highest IV Rank — 41.8%
2010-08-11: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.08	$39.62	$42.48	$42.48	$40.06
Max Pain	$40.32	$40.00	$41.00	$40.00	$41.00
ATM IV	27.7%	23.6%	32.3%	27.4%	32.3%
Expected Move	7.7%	7.1%	8.6%	7.1%	7.8%
HV 20d	20.7%	17.8%	25.2%	22.9%	18.4%
HV 60d	28.6%	23.5%	34.2%	34.1%	23.5%
IV Rank	28.5%	16.6%	41.8%	27.5%	41.8%
IV Percentile	37.5%	11.9%	79.4%	32.1%	79.4%
Term Structure	2.8%	1.3%	4.8%	1.4%	2.9%
VWIV	28.9%	25.3%	34.1%	25.3%	29.2%
Skew 25d	7.0%	5.7%	8.3%	6.3%	6.1%
Skew 10d	15.1%	13.7%	17.3%	15.3%	13.9%
Call IV 25d	23.7%	21.4%	26.0%	21.4%	24.1%
Put IV 25d	30.7%	27.7%	33.9%	27.7%	30.2%
Bid-Ask Spread %	4.19	3.03	5.38	4.77	5.37
Gamma HHI	0.08	0.07	0.18	0.09	0.09
Net GEX	-33.0M	-130.8M	30.1M	30.1M	-80.1M
Net DEX	-636.1M	-2.08B	853.4M	-2.08B	346.7M
Net VEX	-29.4M	-30.0M	-28.5M	-29.8M	-29.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.62	0.94	7.83	1.52	2.54
Total Volume	128,406.5	45,564	247,894	91,657	247,894
Total OI	4,630,490.455	4,336,039	4,953,938	4,336,039	4,834,308

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
2010-08-02	$42.48	$40.00	27.4%	7.1%	22.9%	27.5%	25.3%	6.3%	1.4%	30.1M	-2.08B	-29.8M	1.52	4.77	36,386	55,271	1,807,695	2,528,344
2010-08-03	$42.27	$40.00	27.0%	7.2%	22.7%	26.4%	34.1%	6.8%	1.6%	26.2M	-1.87B	-29.5M	7.83	4.27	23,226	181,862	1,815,314	2,541,351
2010-08-04	$42.33	$40.00	30.7%	7.3%	21.8%	37.1%	28.7%	7.1%	1.3%	15.6M	-1.83B	-30.0M	2.43	4.88	25,877	62,763	1,824,411	2,636,228
2010-08-05	$42.14	$40.00	25.3%	7.2%	22.0%	21.6%	30.2%	7.0%	1.4%	15.3M	-1.70B	-29.9M	4.85	4.91	19,395	94,004	1,836,391	2,649,014
2010-08-06	$42.08	$40.00	23.6%	7.4%	21.8%	16.6%	28.6%	7.6%	3.4%	6.9M	-1.61B	-30.0M	3.40	5.08	10,344	35,220	1,852,330	2,718,211
2010-08-09	$42.30	$40.00	26.7%	7.5%	21.4%	25.4%	27.1%	7.5%	2.9%	16.0M	-1.77B	-29.6M	0.94	3.03	40,975	38,446	1,847,799	2,713,365
2010-08-10	$41.72	$40.00	28.1%	7.4%	22.0%	29.6%	28.4%	7.8%	3.6%	3.9M	-1.32B	-29.6M	1.27	4.28	32,074	40,777	1,862,270	2,717,164
2010-08-11	$40.39	$40.00	29.6%	8.6%	25.2%	34.1%	30.4%	7.9%	2.0%	-43.2M	-81.4M	-29.6M	2.34	4.18	39,744	92,810	1,873,187	2,729,686
2010-08-12	$40.46	$40.00	29.5%	8.5%	25.1%	33.8%	32.2%	7.8%	2.5%	-43.3M	-146.5M	-29.4M	2.56	3.84	22,137	56,705	1,872,130	2,750,878
2010-08-13	$40.68	$40.00	27.8%	8.0%	22.3%	28.8%	29.9%	7.3%	3.1%	-37.3M	-345.7M	-29.2M	2.20	3.45	25,183	55,458	1,875,771	2,767,798
2010-08-16	$41.06	$40.00	28.1%	8.0%	22.1%	29.5%	30.6%	8.3%	3.3%	-24.2M	-700.3M	-28.9M	3.42	4.15	20,865	71,333	1,869,062	2,779,652
2010-08-17	$41.49	$40.00	27.4%	7.8%	20.9%	27.5%	28.7%	7.2%	3.5%	3.5M	-1.16B	-28.5M	4.56	3.79	22,631	103,164	1,876,519	2,787,230
2010-08-18	$41.46	$40.00	27.2%	7.8%	20.4%	27.0%	27.3%	7.2%	3.1%	-10.4M	-1.01B	-28.6M	2.47	5.38	42,128	103,880	1,885,380	2,864,598
2010-08-19	$41.14	$40.00	27.2%	7.8%	17.9%	27.1%	28.8%	7.4%	3.8%	-45.0M	-678.3M	-29.3M	3.23	4.13	47,460	153,178	1,900,211	2,947,842
2010-08-20	$41.02	$40.00	25.7%	7.4%	17.8%	22.7%	26.8%	7.4%	4.8%	-130.8M	-522.6M	-29.6M	1.38	3.97	56,296	77,684	1,913,581	3,040,357
2010-08-23	$40.65	$41.00	25.5%	7.3%	17.8%	22.1%	28.1%	7.1%	2.8%	-45.7M	-136.4M	-29.1M	1.73	3.21	68,952	119,121	1,807,150	2,673,398
2010-08-24	$40.13	$41.00	27.7%	8.0%	18.3%	28.6%	30.2%	7.2%	2.3%	-67.3M	376.2M	-29.5M	2.76	3.31	54,548	150,496	1,832,048	2,750,568
2010-08-25	$39.87	$41.00	27.9%	8.0%	18.4%	29.0%	28.7%	5.9%	2.4%	-80.2M	645.5M	-29.5M	1.57	3.94	68,706	107,809	1,849,275	2,815,084
2010-08-26	$39.62	$41.00	27.9%	8.0%	18.4%	28.9%	28.1%	6.3%	2.9%	-83.4M	853.4M	-29.5M	1.84	3.90	30,362	55,902	1,875,954	2,833,277
2010-08-27	$40.49	$41.00	26.6%	7.7%	20.1%	25.2%	27.0%	5.9%	3.0%	-66.1M	67.1M	-29.3M	1.63	3.91	61,665	100,738	1,878,202	2,839,523
2010-08-30	$39.82	$41.00	30.4%	7.8%	18.1%	36.2%	27.9%	5.7%	2.8%	-85.7M	695.5M	-29.0M	1.24	4.49	31,872	39,602	1,911,963	2,886,271
2010-08-31	$40.06	$41.00	32.3%	7.8%	18.4%	41.8%	29.2%	6.1%	2.9%	-80.1M	346.7M	-29.4M	2.54	5.37	70,076	177,818	1,923,866	2,910,442