EEM Options History — October 2010

In October 2010, EEM traded between $45.26 and $46.85. ATM implied volatility averaged 22.6%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 6.5% (HV 20d: 16.1%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.12.

Notable Days

  • 2010-10-05: Highest Volume — 386,357 contracts
  • 2010-10-14: Largest IV spike — 15.1% change
  • 2010-10-29: Highest IV Rank — 25.9%
  • 2010-10-19: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.10$45.26$46.85$45.43$46.12
Max Pain$45.48$43.00$46.00$43.00$46.00
ATM IV22.6%19.3%26.8%21.7%26.8%
Expected Move6.8%6.1%7.4%6.1%7.0%
HV 20d16.1%13.2%19.3%14.8%18.7%
HV 60d19.2%17.8%20.3%20.1%19.0%
IV Rank13.8%4.2%25.9%11.2%25.9%
IV Percentile16.1%1.2%46.4%6.7%46.4%
Term Structure1.7%0.8%3.5%3.5%0.8%
VWIV25.3%20.5%27.9%20.5%27.3%
Skew 25d5.4%4.5%6.3%4.6%4.7%
Skew 10d11.0%8.6%14.7%10.8%14.7%
Call IV 25d21.4%18.8%23.0%18.8%22.2%
Put IV 25d26.8%23.4%28.8%23.4%26.9%
Bid-Ask Spread %7.093.8426.025.6926.02
Gamma HHI0.090.060.140.100.08
Net GEX38.2M-20.5M105.3M47.2M-9.5M
Net DEX-3.70B-4.86B-2.42B-3.60B-3.21B
Net VEX-29.8M-31.5M-28.1M-28.5M-31.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.574.391.131.29
Total Volume184,611.333109,134386,357229,362120,967
Total OI5,156,959.5714,753,7875,520,4944,753,7875,423,653

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$45.43$43.0021.7%6.1%14.8%11.2%20.5%4.6%3.5%47.2M-3.60B-28.5M1.135.69107,444121,9181,898,7322,855,055
2010-10-04$45.29$45.0022.0%7.1%14.8%12.0%27.9%6.3%1.3%50.3M-3.51B-28.3M4.034.8723,65395,2471,941,4392,898,358
2010-10-05$46.11$45.0020.5%6.9%13.9%7.8%24.4%5.6%1.6%71.7M-4.11B-28.1M0.573.88245,684140,6731,943,8692,941,287
2010-10-06$46.09$45.0020.8%7.0%13.9%8.5%27.5%6.0%1.4%83.4M-4.21B-29.2M1.333.8457,09275,8962,038,4853,000,730
2010-10-07$45.68$45.0021.5%7.2%14.7%10.5%27.9%6.2%1.3%53.5M-3.74B-29.6M2.037.2936,03973,0952,039,2683,020,558
2010-10-08$46.23$45.0019.3%6.8%15.0%4.2%23.3%5.5%2.0%80.5M-4.29B-28.6M1.297.5160,51377,8832,043,1923,065,051
2010-10-11$46.20$45.0020.1%6.9%13.2%6.6%26.1%5.7%1.7%82.2M-4.25B-28.7M2.295.5848,513110,9692,071,1813,077,495
2010-10-12$46.01$45.0020.0%6.6%13.4%6.3%26.1%5.3%1.8%72.9M-4.08B-28.9M4.256.9033,997144,4072,095,0193,146,032
2010-10-13$46.85$45.0020.1%6.6%14.4%6.7%24.5%5.8%1.7%101.7M-4.86B-28.1M1.894.87114,253216,1212,091,8243,222,626
2010-10-14$46.77$46.0023.2%6.6%14.2%15.5%23.9%5.9%1.5%105.3M-4.75B-29.3M1.0512.42117,661124,0032,123,2223,311,082
2010-10-15$46.72$46.0023.0%6.6%14.2%15.0%24.1%5.5%1.6%73.3M-4.60B-29.5M0.987.2160,59959,4702,162,9363,357,558
2010-10-18$46.74$46.0023.0%6.6%13.5%14.9%25.0%4.8%2.3%40.9M-3.85B-29.3M4.398.5945,723200,6211,981,0482,814,596
2010-10-19$45.26$46.0025.9%7.4%18.4%23.2%26.4%5.1%1.5%-18.3M-2.42B-30.7M3.244.6358,592190,0162,001,7722,952,547
2010-10-20$45.98$46.0024.1%6.9%19.1%18.2%25.0%5.2%1.9%-14.7M-2.92B-31.4M1.795.6964,563115,6452,030,1953,083,135
2010-10-21$45.98$46.0023.9%6.8%18.8%17.5%25.6%5.3%2.2%-12.7M-2.93B-31.5M1.656.2381,956135,3202,063,2443,109,659
2010-10-22$46.03$46.0023.2%6.6%17.9%15.4%23.8%5.4%2.3%-934.5K-3.19B-31.5M1.136.4062,19670,4642,115,7783,105,108
2010-10-25$46.53$46.0022.5%6.4%18.1%13.4%25.0%5.4%2.1%20.0M-3.71B-31.0M3.314.0837,747125,0412,139,8933,119,345
2010-10-26$46.49$46.0024.3%7.0%18.0%18.6%25.2%5.7%1.5%13.0M-3.58B-31.1M2.125.5638,02480,7352,150,6723,160,357
2010-10-27$45.70$46.0024.7%7.1%19.3%19.9%25.6%5.5%1.0%-17.7M-2.77B-31.4M2.635.8835,46593,4222,162,2253,166,871
2010-10-28$45.99$46.0024.6%7.0%19.3%19.4%26.2%4.5%0.8%-20.5M-3.10B-30.8M2.215.7454,664120,5472,166,6883,204,366
2010-10-29$46.12$46.0026.8%7.0%18.7%25.9%27.3%4.7%0.8%-9.5M-3.21B-31.1M1.2926.0252,89768,0702,182,8463,240,807