EEM Options History — February 2011

In February 2011, EEM traded between $44.84 and $46.92. ATM implied volatility averaged 22.4%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.1% (HV 20d: 20.3%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.54.

Notable Days

2011-02-09: Highest Volume — 621,013 contracts
2011-02-03: Largest IV drop — 18.8% change
2011-02-02: Highest IV Rank — 24.0%
2011-02-23: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.85	$44.84	$46.92	$46.92	$45.75
Max Pain	$46.32	$46.00	$47.00	$47.00	$46.00
ATM IV	22.4%	19.6%	25.9%	23.1%	23.3%
Expected Move	6.4%	5.9%	7.1%	6.0%	5.9%
HV 20d	20.3%	18.9%	22.4%	20.3%	19.4%
HV 60d	19.1%	16.7%	20.4%	20.3%	16.7%
IV Rank	14.0%	6.1%	24.0%	15.9%	16.7%
IV Percentile	28.6%	6.0%	52.4%	31.3%	40.1%
Term Structure	1.3%	0.6%	2.4%	2.4%	1.8%
VWIV	23.3%	21.1%	25.5%	22.5%	21.7%
Skew 25d	5.1%	3.8%	7.3%	5.0%	3.8%
Skew 10d	10.6%	7.5%	13.0%	10.4%	7.5%
Call IV 25d	20.3%	18.6%	23.0%	19.0%	19.4%
Put IV 25d	25.4%	23.1%	27.8%	24.0%	23.1%
Bid-Ask Spread %	6.06	3.91	7.86	4.37	6.96
Gamma HHI	0.15	0.10	0.18	0.13	0.10
Net GEX	-289.8M	-417.8M	-203.6M	-215.2M	-203.6M
Net DEX	2.25B	878.7M	3.94B	878.7M	1.76B
Net VEX	-33.1M	-34.2M	-31.7M	-31.7M	-33.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.54	0.99	4.32	2.18	3.88
Total Volume	337,053.105	182,344	621,013	532,962	239,294
Total OI	5,257,137.789	4,691,422	5,768,664	4,691,422	5,280,817

Daily Data (19 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
2011-02-01	$46.92	$47.00	23.1%	6.0%	20.3%	15.9%	22.5%	5.0%	2.4%	-215.2M	878.7M	-31.7M	2.18	4.37	167,791	365,171	1,403,719	3,287,703
2011-02-02	$46.56	$47.00	25.9%	6.2%	20.3%	24.0%	24.2%	6.4%	1.8%	-233.6M	1.37B	-33.1M	4.07	7.19	53,485	217,923	1,503,354	3,376,641
2011-02-03	$46.57	$47.00	21.1%	6.1%	20.3%	10.1%	22.4%	5.4%	1.9%	-261.2M	1.49B	-33.4M	1.73	7.12	75,647	131,234	1,494,952	3,490,866
2011-02-04	$46.53	$47.00	20.1%	6.6%	20.0%	7.4%	25.1%	6.2%	0.7%	-252.2M	1.49B	-33.3M	1.92	5.32	145,904	280,813	1,512,910	3,526,850
2011-02-07	$46.47	$47.00	23.7%	6.6%	19.8%	17.6%	23.0%	5.8%	1.2%	-280.9M	1.58B	-33.3M	1.73	7.21	92,151	159,701	1,580,935	3,595,567
2011-02-08	$46.59	$47.00	19.6%	6.1%	19.5%	6.1%	22.2%	5.3%	1.4%	-268.5M	1.33B	-33.0M	0.99	6.27	163,236	161,828	1,616,868	3,596,636
2011-02-09	$45.64	$46.00	21.6%	6.5%	20.3%	11.6%	23.9%	7.3%	0.8%	-359.0M	2.89B	-33.2M	4.13	7.08	121,088	499,925	1,648,710	3,599,257
2011-02-10	$45.10	$46.00	23.9%	6.8%	18.9%	18.2%	23.9%	5.7%	0.8%	-417.8M	3.94B	-34.2M	1.98	6.48	120,990	240,140	1,697,125	3,834,793
2011-02-11	$45.68	$46.00	21.4%	6.1%	19.6%	11.2%	23.1%	4.7%	1.6%	-385.6M	2.89B	-34.0M	1.48	6.69	235,923	349,174	1,702,682	3,830,153
2011-02-14	$45.39	$46.00	22.8%	6.5%	19.6%	15.0%	23.2%	4.9%	1.1%	-393.2M	3.25B	-33.4M	4.32	6.99	39,326	169,822	1,805,040	3,855,310
2011-02-15	$45.51	$46.00	21.4%	6.1%	19.6%	11.1%	21.7%	5.1%	1.5%	-389.5M	3.05B	-33.0M	1.38	5.60	107,022	148,090	1,773,261	3,813,057
2011-02-16	$45.84	$46.00	21.5%	6.2%	19.8%	11.4%	22.3%	4.2%	1.5%	-345.0M	2.34B	-33.2M	1.51	4.50	103,336	156,267	1,813,650	3,842,172
2011-02-17	$46.04	$46.00	21.6%	6.2%	19.6%	11.7%	22.8%	5.0%	1.3%	-310.3M	1.83B	-32.7M	2.77	5.81	132,564	366,676	1,825,306	3,846,709
2011-02-18	$46.31	$46.00	21.2%	6.1%	19.4%	10.5%	21.1%	4.8%	1.4%	-274.7M	1.27B	-33.0M	1.67	7.86	68,269	114,075	1,849,592	3,919,072
2011-02-22	$44.84	$46.00	24.6%	7.1%	22.3%	20.4%	25.5%	4.9%	1.0%	-224.0M	3.04B	-32.2M	3.54	4.54	62,385	221,141	1,605,465	3,235,486
2011-02-23	$44.88	$46.00	24.7%	7.1%	22.2%	20.5%	25.5%	4.5%	0.6%	-241.0M	3.16B	-33.0M	2.45	6.02	65,606	160,959	1,628,174	3,389,865
2011-02-24	$44.99	$46.00	23.8%	6.8%	22.0%	17.9%	24.2%	4.6%	0.9%	-241.6M	3.02B	-32.8M	3.62	3.91	67,311	243,900	1,647,599	3,379,144
2011-02-25	$45.49	$46.00	20.8%	6.5%	22.4%	9.4%	23.9%	3.9%	1.2%	-208.4M	2.16B	-33.0M	2.90	5.30	91,252	264,590	1,683,401	3,392,777
2011-02-28	$45.75	$46.00	23.3%	5.9%	19.4%	16.7%	21.7%	3.8%	1.8%	-203.6M	1.76B	-33.3M	3.88	6.96	49,008	190,286	1,725,200	3,555,617