EEM Options History — January 2011

In January 2011, EEM traded between $45.33 and $48.32. ATM implied volatility averaged 20.9%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 7.5% (HV 20d: 13.4%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.97.

Notable Days

2011-01-28: Highest Volume — 621,233 contracts
2011-01-28: Largest IV spike — 41.2% change
2011-01-28: Highest IV Rank — 28.4%
2011-01-28: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.23	$45.33	$48.32	$48.10	$45.81
Max Pain	$46.80	$46.00	$47.00	$46.00	$47.00
ATM IV	20.9%	17.6%	27.5%	20.6%	26.4%
Expected Move	6.2%	5.6%	7.2%	6.0%	6.9%
HV 20d	13.4%	10.2%	18.4%	10.3%	18.4%
HV 60d	19.8%	19.2%	20.6%	20.2%	20.3%
IV Rank	9.7%	0.3%	28.4%	9.0%	25.4%
IV Percentile	15.3%	0.4%	63.5%	8.3%	56.0%
Term Structure	1.8%	0.3%	2.9%	2.1%	0.8%
VWIV	23.2%	20.6%	26.1%	23.7%	25.9%
Skew 25d	5.5%	4.4%	6.6%	5.9%	6.6%
Skew 10d	11.2%	9.3%	13.2%	11.8%	11.8%
Call IV 25d	19.2%	17.3%	22.0%	18.9%	21.3%
Put IV 25d	24.7%	22.4%	28.5%	24.8%	27.8%
Bid-Ask Spread %	6.02	3.50	14.57	3.51	6.96
Gamma HHI	0.11	0.09	0.14	0.09	0.14
Net GEX	-78.6M	-248.7M	25.5M	25.5M	-248.7M
Net DEX	-300.4M	-1.98B	2.59B	-1.87B	2.17B
Net VEX	-28.3M	-31.9M	-24.6M	-24.6M	-31.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.97	1.56	5.78	2.16	5.78
Total Volume	258,383.2	125,389	621,233	219,310	365,838
Total OI	5,145,494.05	3,980,531	6,275,293	4,768,412	4,560,130

Daily Data (20 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
2011-01-03	$48.10	$46.00	20.6%	6.0%	10.3%	9.0%	23.7%	5.9%	2.1%	25.5M	-1.87B	-24.6M	2.16	3.51	69,317	149,993	1,554,546	3,213,866
2011-01-04	$48.32	$46.00	19.9%	5.9%	10.4%	6.9%	23.4%	5.0%	1.8%	21.5M	-1.98B	-24.8M	2.57	3.62	88,855	228,723	1,572,773	3,257,068
2011-01-05	$48.20	$46.00	18.4%	5.8%	10.2%	2.7%	20.6%	4.8%	2.2%	21.6M	-1.83B	-24.7M	2.07	4.48	88,600	183,433	1,629,376	3,312,525
2011-01-06	$47.69	$46.00	18.5%	5.7%	10.7%	2.8%	22.2%	4.4%	2.3%	10.2M	-1.40B	-25.8M	3.11	3.50	75,812	235,472	1,689,358	3,371,725
2011-01-07	$47.25	$47.00	17.7%	6.6%	11.3%	0.7%	24.2%	5.7%	1.0%	-41.2M	-736.7M	-26.7M	3.78	4.76	73,473	277,478	1,722,231	3,517,007
2011-01-10	$46.76	$47.00	20.0%	6.6%	11.9%	7.1%	25.9%	5.6%	1.1%	-73.9M	73.9M	-27.6M	4.44	5.54	61,890	274,588	1,744,368	3,642,138
2011-01-11	$47.26	$47.00	18.5%	6.4%	12.2%	2.9%	25.3%	5.7%	1.4%	-65.3M	-425.2M	-27.7M	3.92	5.56	37,051	145,242	1,770,041	3,815,859
2011-01-12	$48.21	$47.00	17.6%	6.0%	14.1%	0.3%	21.6%	5.2%	1.7%	15.4M	-1.91B	-27.0M	1.84	5.76	81,647	150,615	1,766,274	3,888,707
2011-01-13	$47.79	$47.00	21.8%	6.2%	13.0%	12.2%	22.4%	5.7%	1.8%	-24.2M	-1.20B	-28.5M	2.72	5.25	53,759	146,056	1,807,350	3,995,912
2011-01-14	$47.93	$47.00	21.4%	6.1%	13.0%	11.0%	23.1%	5.6%	1.7%	-9.4M	-1.25B	-29.6M	3.91	5.72	25,538	99,851	1,837,469	4,092,606
2011-01-18	$47.86	$47.00	21.1%	6.0%	13.1%	10.2%	22.8%	5.6%	2.3%	-11.3M	-1.41B	-28.5M	1.56	6.97	54,490	84,759	1,831,013	4,134,218
2011-01-19	$47.49	$47.00	22.8%	6.5%	13.3%	15.0%	23.0%	5.2%	1.9%	-44.3M	-819.2M	-29.0M	2.25	5.89	67,645	152,127	1,859,072	4,159,014
2011-01-20	$46.97	$47.00	22.2%	6.4%	13.9%	13.4%	22.9%	5.2%	1.6%	-126.2M	22.1M	-29.4M	2.21	5.05	97,029	214,345	1,883,684	4,229,734
2011-01-21	$46.48	$47.00	23.7%	6.8%	14.3%	17.6%	23.2%	6.0%	1.5%	-148.7M	765.9M	-30.1M	2.28	5.46	63,526	144,750	1,926,557	4,348,736
2011-01-24	$46.84	$47.00	20.8%	6.0%	14.6%	9.6%	23.1%	5.9%	2.0%	-152.2M	755.8M	-29.7M	3.32	6.27	71,333	236,637	1,268,820	2,711,711
2011-01-25	$46.56	$47.00	19.8%	5.7%	14.7%	6.5%	22.0%	5.3%	2.7%	-177.5M	1.03B	-30.3M	2.34	7.82	42,685	100,011	1,303,093	2,825,248
2011-01-26	$46.97	$47.00	19.6%	5.6%	15.0%	5.9%	21.3%	5.1%	2.9%	-153.3M	663.2M	-30.1M	1.63	14.57	53,439	87,300	1,317,107	2,837,738
2011-01-27	$46.81	$47.00	19.4%	5.6%	14.4%	5.6%	20.7%	5.1%	2.6%	-158.3M	761.4M	-30.0M	3.89	5.09	33,357	129,767	1,337,593	2,880,201
2011-01-28	$45.33	$47.00	27.5%	7.2%	18.2%	28.4%	26.1%	6.6%	0.3%	-232.1M	2.59B	-30.6M	3.70	8.63	132,253	488,980	1,350,515	2,944,498
2011-01-31	$45.81	$47.00	26.4%	6.9%	18.4%	25.4%	25.9%	6.6%	0.8%	-248.7M	2.17B	-31.9M	5.78	6.96	53,935	311,903	1,393,895	3,166,235