EEM Options History — November 2010

In November 2010, EEM traded between $44.78 and $48.58. ATM implied volatility averaged 26.2%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.9% (HV 20d: 21.3%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.47.

Notable Days

  • 2010-11-16: Highest Volume — 617,313 contracts
  • 2010-11-04: Largest IV drop — 19.8% change
  • 2010-11-30: Highest IV Rank — 44.0%
  • 2010-11-30: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.58$44.78$48.58$46.63$44.78
Max Pain$45.00$44.00$46.00$46.00$45.00
ATM IV26.2%20.8%33.1%28.0%33.1%
Expected Move7.4%6.1%8.6%6.9%8.6%
HV 20d21.3%18.4%26.5%19.0%26.2%
HV 60d19.3%18.0%20.9%19.1%20.5%
IV Rank24.2%8.6%44.0%29.4%44.0%
IV Percentile43.2%6.3%85.7%52.8%85.7%
Term Structure0.4%-1.0%1.7%1.7%-1.0%
VWIV27.1%22.5%33.0%26.6%33.0%
Skew 25d5.6%3.2%7.0%4.4%7.0%
Skew 10d11.3%6.9%15.1%8.0%14.0%
Call IV 25d23.3%20.5%27.4%22.8%27.4%
Put IV 25d28.9%23.7%34.4%27.2%34.4%
Bid-Ask Spread %7.454.4339.255.584.43
Gamma HHI0.100.080.130.080.12
Net GEX-20.2M-127.6M98.8M25.0M-125.8M
Net DEX-3.29B-5.98B-770.4M-3.85B-770.4M
Net VEX-29.6M-32.3M-27.2M-30.4M-30.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.470.925.893.535.89
Total Volume240,155.1961,072617,313129,415444,795
Total OI5,882,895.4765,426,4816,389,0405,426,4815,988,540

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$46.63$46.0028.0%6.9%19.0%29.4%26.6%4.4%1.7%25.0M-3.85B-30.4M3.535.5828,551100,8642,186,1513,240,330
2010-11-02$47.20$46.0030.4%7.2%18.4%36.2%27.0%5.2%0.1%43.3M-4.53B-29.1M1.154.5956,15964,4912,196,1933,273,271
2010-11-03$47.50$46.0026.1%6.7%18.5%23.8%24.6%3.7%1.1%63.7M-4.96B-27.8M2.577.8052,587135,1752,193,5133,288,225
2010-11-04$48.58$46.0020.9%6.1%19.5%8.9%22.5%3.2%1.5%98.8M-5.98B-27.2M1.655.26212,128350,2312,223,2083,337,718
2010-11-05$48.49$45.0020.8%6.7%19.3%8.6%25.0%4.7%0.7%67.0M-5.73B-28.4M2.076.0846,72996,8782,276,6883,619,270
2010-11-08$48.30$45.0022.1%6.7%19.4%12.4%24.9%4.9%0.7%53.0M-5.37B-28.2M0.936.6431,68229,3902,254,3613,589,043
2010-11-09$47.68$44.0023.3%7.0%20.0%15.9%25.4%5.3%0.4%64.7M-4.96B-28.1M1.927.7766,924128,4002,259,4163,408,272
2010-11-10$48.03$44.0022.6%7.1%19.2%13.8%25.3%5.5%0.3%54.6M-5.04B-28.2M2.417.7978,740189,6772,278,7083,481,956
2010-11-11$47.56$44.0024.7%7.1%19.6%19.9%27.1%5.7%0.3%30.8M-4.40B-30.0M3.665.1934,291125,5102,325,5303,602,738
2010-11-12$46.41$44.0027.6%7.9%21.5%28.0%28.3%6.2%-0.1%-33.0M-2.93B-30.3M4.535.7470,163317,6742,319,0253,651,417
2010-11-15$46.39$45.0027.6%7.9%21.5%28.1%29.3%5.7%0.0%-60.3M-2.80B-30.2M2.355.0026,98763,4642,333,9783,781,967
2010-11-16$45.17$45.0029.5%8.5%20.5%33.6%30.0%6.8%-0.5%-112.2M-967.7M-31.1M3.065.70151,880465,4332,325,3333,699,711
2010-11-17$45.40$45.0028.6%8.2%19.7%31.1%27.9%6.8%0.1%-127.6M-1.28B-32.3M2.244.81122,283273,9492,398,4393,876,551
2010-11-18$46.48$45.0026.0%7.5%21.5%23.6%26.9%5.8%0.4%-35.7M-3.22B-31.1M0.926.07143,123131,9892,438,0373,928,771
2010-11-19$46.51$45.0023.8%6.8%21.5%17.1%24.8%5.6%1.3%-19.9M-3.46B-30.7M1.754.7285,780149,9942,477,6133,911,427
2010-11-22$46.37$45.0024.8%7.1%21.2%20.0%25.8%6.0%1.0%-29.2M-3.09B-28.5M2.814.8435,629100,0162,228,3013,560,629
2010-11-23$44.90$45.0027.9%8.0%24.1%28.9%28.8%6.2%-0.1%-105.6M-985.2M-30.8M1.604.4778,437125,6542,240,2543,598,882
2010-11-24$45.94$45.0024.9%7.2%24.9%20.5%26.3%6.1%1.1%-64.8M-2.36B-30.0M1.4839.2565,41596,8442,263,5303,638,648
2010-11-26$44.80$45.0027.0%7.9%26.3%26.6%29.6%6.4%0.5%-100.6M-1.00B-30.5M3.7110.0219,57072,5872,265,9333,672,900
2010-11-29$45.15$45.0031.2%8.3%26.5%38.4%29.9%6.6%-0.5%-111.1M-1.31B-29.5M1.594.6866,860106,3262,236,9153,669,413
2010-11-30$44.78$45.0033.1%8.6%26.2%44.0%33.0%7.0%-1.0%-125.8M-770.4M-30.0M5.894.4364,570380,2252,264,6403,723,900