EEM Options History — December 2010

In December 2010, EEM traded between $46.06 and $47.64. ATM implied volatility averaged 21.6%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.9% (HV 20d: 22.5%). Max pain ranged from $42.00 to $46.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.08.

Notable Days

2010-12-20: Highest Volume — 5,430,106 contracts
2010-12-10: Largest IV drop — 20.4% change
2010-12-09: Highest IV Rank — 19.3%
2010-12-01: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.70	$46.06	$47.64	$46.06	$47.64
Max Pain	$44.09	$42.00	$46.00	$45.00	$46.00
ATM IV	21.6%	17.5%	24.5%	23.6%	17.5%
Expected Move	6.3%	5.5%	7.9%	7.9%	5.8%
HV 20d	22.5%	9.9%	28.7%	27.9%	9.9%
HV 60d	20.7%	20.2%	21.2%	21.0%	20.2%
IV Rank	10.9%	0.0%	19.3%	16.5%	0.0%
IV Percentile	13.6%	0.0%	33.7%	23.4%	0.0%
Term Structure	2.1%	0.2%	3.4%	0.2%	2.8%
VWIV	23.3%	18.6%	27.6%	27.6%	23.9%
Skew 25d	5.5%	4.3%	7.2%	7.2%	6.2%
Skew 10d	11.3%	7.9%	15.6%	13.3%	11.7%
Call IV 25d	20.0%	17.6%	24.6%	24.6%	18.7%
Put IV 25d	25.5%	22.4%	31.8%	31.8%	24.9%
Bid-Ask Spread %	4.61	2.58	7.40	6.52	2.58
Gamma HHI	0.10	0.08	0.11	0.10	0.09
Net GEX	-24.7M	-103.1M	20.4M	-79.9M	9.5M
Net DEX	-2.39B	-4.31B	-247.1M	-2.64B	-1.51B
Net VEX	-25.2M	-28.6M	-22.8M	-28.6M	-25.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.08	0.02	5.57	1.44	2.20
Total Volume	393,129.045	34,950	5,430,106	166,322	138,375
Total OI	5,597,278.182	4,366,438	6,636,684	6,127,347	4,742,014

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
2010-12-01	$46.06	$45.00	23.6%	7.9%	27.9%	16.5%	27.6%	7.2%	0.2%	-79.9M	-2.64B	-28.6M	1.44	6.52	68,129	98,193	2,281,818	3,845,529
2010-12-02	$46.97	$45.00	23.3%	7.0%	28.7%	15.8%	26.2%	6.0%	1.8%	-5.3M	-3.95B	-27.0M	1.47	4.92	74,907	109,870	2,260,156	3,820,467
2010-12-03	$47.14	$45.00	21.1%	6.5%	27.5%	9.6%	24.6%	6.2%	1.5%	20.4M	-4.31B	-26.9M	3.02	5.49	22,993	69,443	2,322,716	3,877,963
2010-12-06	$47.06	$42.00	23.2%	6.7%	27.5%	15.6%	25.1%	6.2%	1.3%	19.7M	-4.16B	-26.4M	0.94	3.85	58,040	54,664	2,301,538	3,892,968
2010-12-07	$46.84	$42.00	23.1%	6.6%	27.5%	15.1%	24.4%	5.8%	1.6%	-5.5M	-3.96B	-25.8M	1.86	4.04	42,274	78,574	2,324,468	3,917,035
2010-12-08	$46.54	$42.00	22.2%	6.7%	27.2%	12.6%	27.3%	5.7%	1.5%	-39.6M	-3.42B	-25.8M	5.57	4.48	36,771	204,991	2,317,840	3,955,499
2010-12-09	$46.38	$42.00	24.5%	6.8%	27.1%	19.3%	24.5%	6.3%	1.3%	-53.1M	-3.04B	-26.8M	0.58	5.40	54,591	31,855	2,311,038	4,008,002
2010-12-10	$46.59	$42.00	19.5%	6.2%	27.0%	4.9%	20.9%	5.7%	1.8%	-44.2M	-3.49B	-24.5M	0.82	5.41	96,514	79,589	2,306,547	3,984,619
2010-12-13	$46.89	$42.00	22.6%	6.1%	25.6%	13.6%	21.6%	5.7%	2.0%	-2.5M	-3.96B	-23.5M	1.27	3.80	60,885	77,436	2,301,020	4,033,687
2010-12-14	$46.96	$42.00	21.4%	6.1%	25.6%	10.3%	20.7%	5.1%	1.9%	-3.8M	-4.09B	-22.8M	1.20	4.59	106,504	128,181	2,302,876	4,058,630
2010-12-15	$46.20	$43.00	24.2%	6.9%	24.4%	18.5%	23.7%	6.2%	1.3%	-103.1M	-2.66B	-24.3M	1.58	6.01	87,787	138,558	2,317,005	4,123,772
2010-12-16	$46.33	$43.00	23.4%	6.7%	24.3%	16.1%	23.5%	5.2%	1.3%	-46.0M	-3.06B	-23.7M	3.14	5.29	65,464	205,636	2,325,353	4,169,302
2010-12-17	$46.41	$43.00	21.3%	6.1%	22.9%	9.9%	22.8%	4.6%	2.9%	-22.7M	-2.91B	-24.6M	1.92	5.70	139,097	266,394	2,361,807	4,274,877
2010-12-20	$46.19	$44.00	19.8%	5.7%	22.9%	5.6%	18.6%	4.3%	3.2%	-52.4M	-1.67B	-23.8M	0.02	7.40	5,304,172	125,934	1,827,249	2,905,332
2010-12-21	$46.50	$46.00	20.8%	6.0%	23.0%	8.6%	22.1%	4.9%	2.4%	-34.8M	-333.5M	-25.1M	1.87	2.97	46,241	86,616	1,506,995	2,974,651
2010-12-22	$46.66	$46.00	19.1%	5.5%	19.6%	3.8%	20.4%	4.8%	3.1%	-7.4M	-556.4M	-25.1M	3.06	3.65	23,352	71,562	1,516,369	2,988,808
2010-12-23	$46.61	$46.00	19.6%	5.6%	18.0%	5.2%	21.8%	4.6%	3.2%	-26.5M	-416.6M	-25.5M	2.27	3.74	25,467	57,709	1,514,686	3,030,292
2010-12-27	$46.46	$46.00	22.1%	6.3%	15.3%	12.3%	24.0%	5.0%	2.6%	-28.1M	-266.8M	-25.0M	2.89	3.78	8,986	25,964	1,499,738	2,866,700
2010-12-28	$46.50	$46.00	22.2%	6.4%	15.1%	12.7%	23.6%	5.0%	3.0%	-36.2M	-247.1M	-25.2M	1.82	3.90	15,787	28,696	1,510,511	3,056,785
2010-12-29	$47.07	$46.00	20.7%	5.9%	15.1%	8.2%	21.1%	5.3%	3.4%	-8.4M	-844.3M	-24.6M	2.15	3.49	26,685	57,310	1,515,333	3,055,496
2010-12-30	$47.31	$46.00	20.0%	6.2%	11.8%	6.2%	23.4%	5.9%	2.5%	5.5M	-1.19B	-24.7M	4.57	4.36	26,704	121,939	1,538,780	3,093,849
2010-12-31	$47.64	$46.00	17.5%	5.8%	9.9%	0.0%	23.9%	6.2%	2.8%	9.5M	-1.51B	-25.0M	2.20	2.58	43,226	95,149	1,551,269	3,190,745