EEM Options History — September 2010

In September 2010, EEM traded between $41.42 and $44.77. ATM implied volatility averaged 23.7%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.0% (HV 20d: 20.7%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.64.

Notable Days

  • 2010-09-17: Highest Volume — 305,532 contracts
  • 2010-09-07: Largest IV spike — 47.8% change
  • 2010-09-01: Highest IV Rank — 40.7%
  • 2010-09-07: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.08$41.42$44.77$41.47$44.77
Max Pain$41.76$40.00$43.00$40.00$43.00
ATM IV23.7%19.0%32.0%32.0%21.7%
Expected Move6.8%6.2%7.8%7.1%6.2%
HV 20d20.7%14.3%23.5%22.7%14.3%
HV 60d22.3%20.0%24.1%24.1%20.0%
IV Rank16.9%3.4%40.7%40.7%11.1%
IV Percentile16.9%0.8%79.0%79.0%6.3%
Term Structure2.7%1.6%4.0%3.4%3.0%
VWIV25.6%22.8%29.3%24.8%25.6%
Skew 25d6.1%5.0%7.0%5.0%5.0%
Skew 10d12.5%9.6%14.5%10.7%9.6%
Call IV 25d21.1%19.8%23.8%21.9%20.0%
Put IV 25d27.2%25.0%30.2%26.9%25.0%
Bid-Ask Spread %5.813.4522.854.544.84
Gamma HHI0.120.070.650.090.10
Net GEX48.7M-42.0M539.2M-24.6M40.6M
Net DEX-2.16B-3.06B-891.2M-1.09B-3.06B
Net VEX-28.1M-29.2M-26.7M-29.2M-29.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.640.2612.081.221.94
Total Volume159,301.47671,080305,532148,831112,670
Total OI4,840,228.2384,033,3635,423,9844,972,5164,687,324

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$41.47$40.0032.0%7.1%22.7%40.7%24.8%5.0%3.4%-24.6M-1.09B-29.2M1.224.5466,92281,9091,953,9183,018,598
2010-09-02$41.54$40.0021.3%6.4%22.7%10.0%25.8%5.8%2.8%-21.6M-1.12B-29.0M4.743.4518,27586,7111,963,3783,002,306
2010-09-03$42.03$41.0019.0%7.0%23.1%3.4%26.2%7.0%4.0%29.9M-1.56B-28.7M3.144.8338,323120,5001,966,5423,057,700
2010-09-07$41.42$41.0028.1%7.8%23.5%29.5%27.7%6.4%3.0%-42.0M-891.2M-28.0M1.265.4866,40483,8941,950,2713,031,176
2010-09-08$41.87$41.0022.8%7.3%23.4%14.2%27.8%6.7%3.3%-9.8M-1.44B-28.3M1.925.3946,42589,2562,004,3623,089,365
2010-09-09$42.11$41.0024.8%7.1%20.0%20.0%25.2%6.4%3.7%10.7M-1.74B-27.9M0.884.7498,05886,4152,028,2463,119,101
2010-09-10$42.26$41.0024.5%7.0%20.0%19.2%25.1%6.2%3.4%18.6M-1.94B-27.9M5.116.8223,520120,2042,050,2553,163,744
2010-09-13$43.27$41.0023.5%6.7%21.4%16.3%23.8%6.5%3.0%77.9M-3.00B-26.7M0.885.4586,24975,6452,046,3043,201,650
2010-09-14$43.25$42.0024.0%6.9%21.3%17.9%24.1%6.2%2.7%73.5M-2.94B-27.1M0.893.9573,94566,0762,054,5973,250,137
2010-09-15$43.31$42.0024.1%6.9%21.1%18.0%26.6%6.8%2.5%78.8M-2.98B-27.5M3.024.9739,442119,0492,079,2323,298,655
2010-09-16$43.09$42.0023.8%6.8%21.3%17.1%25.6%6.3%3.1%83.2M-2.93B-27.2M2.126.5157,655122,2942,098,1253,325,859
2010-09-17$43.02$42.0023.7%6.8%21.0%17.0%25.6%6.9%2.4%539.2M-2.86B-26.8M1.8622.85106,909198,6232,111,4623,303,400
2010-09-20$43.70$42.0021.9%6.3%21.4%11.8%23.3%5.8%2.2%5.6M-1.97B-26.9M1.004.4286,30386,6141,584,1922,449,171
2010-09-21$43.57$42.0021.9%6.3%21.1%11.8%22.8%5.7%2.1%13.1M-1.92B-27.4M0.265.35146,84638,0701,637,2822,484,350
2010-09-22$43.60$42.0021.6%6.2%20.2%11.0%23.0%5.8%2.3%34.4M-2.10B-28.1M1.705.9326,34144,7391,761,8492,492,381
2010-09-23$43.32$42.0024.5%7.0%20.2%19.1%24.9%6.1%1.8%14.4M-1.85B-28.4M5.853.8515,56691,1091,756,0972,522,721
2010-09-24$44.12$43.0021.7%6.6%20.4%11.3%28.1%5.5%1.8%39.7M-2.37B-28.5M2.773.5077,118213,5551,764,0652,591,769
2010-09-27$44.04$43.0024.1%6.8%19.6%18.1%29.3%5.9%1.6%12.8M-2.28B-29.1M1.574.9633,37752,5141,814,0262,747,986
2010-09-28$44.36$43.0025.5%6.8%18.0%22.2%27.0%5.9%1.6%22.5M-2.57B-28.9M12.084.9413,574163,9101,821,9392,759,021
2010-09-29$44.51$43.0022.8%6.2%18.0%14.4%25.3%6.2%2.9%26.4M-2.73B-28.6M1.255.2675,62094,7021,818,3092,783,928
2010-09-30$44.77$43.0021.7%6.2%14.3%11.1%25.6%5.0%3.0%40.6M-3.06B-29.0M1.944.8438,37274,2981,880,9462,806,378