EEM Options History — March 2011

In March 2011, EEM traded between $44.69 and $48.67. ATM implied volatility averaged 23.0%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.4% (HV 20d: 20.6%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.80.

Notable Days

2011-03-18: Highest Volume — 547,613 contracts
2011-03-07: Largest IV spike — 35.7% change
2011-03-16: Highest IV Rank — 31.0%
2011-03-16: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.47	$44.69	$48.67	$45.24	$48.67
Max Pain	$46.43	$46.00	$47.00	$46.00	$46.00
ATM IV	23.0%	17.7%	28.4%	27.7%	17.7%
Expected Move	6.5%	5.1%	8.1%	6.6%	5.1%
HV 20d	20.6%	18.0%	23.2%	19.4%	19.0%
HV 60d	18.3%	16.3%	19.4%	16.3%	19.4%
IV Rank	15.6%	0.5%	31.0%	29.2%	0.5%
IV Percentile	35.9%	0.8%	75.4%	70.6%	0.8%
Term Structure	1.5%	0.0%	2.5%	1.3%	2.5%
VWIV	23.7%	18.3%	30.5%	22.9%	19.1%
Skew 25d	5.9%	3.2%	8.9%	4.0%	4.2%
Skew 10d	11.8%	7.9%	18.1%	8.9%	8.0%
Call IV 25d	20.2%	17.2%	24.8%	21.2%	17.5%
Put IV 25d	26.1%	20.8%	33.7%	25.2%	21.7%
Bid-Ask Spread %	8.90	3.61	24.99	5.15	5.00
Gamma HHI	0.10	0.08	0.17	0.10	0.14
Net GEX	-103.5M	-275.6M	245.2M	-244.3M	245.2M
Net DEX	771.4M	-2.34B	3.98B	2.70B	-2.34B
Net VEX	-32.8M	-34.9M	-31.1M	-33.2M	-32.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.80	0.11	3.94	1.84	0.97
Total Volume	291,863.565	116,647	547,613	268,447	224,922
Total OI	5,368,423.609	4,255,520	6,067,365	5,296,486	5,219,996

Daily Data (23 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
2011-03-01	$45.24	$46.00	27.7%	6.6%	19.4%	29.2%	22.9%	4.0%	1.3%	-244.3M	2.70B	-33.2M	1.84	5.15	94,426	174,021	1,718,612	3,577,874
2011-03-02	$45.85	$46.00	23.3%	6.1%	18.0%	16.7%	21.5%	4.2%	1.3%	-207.1M	1.70B	-34.1M	2.13	5.77	63,333	134,843	1,760,473	3,674,189
2011-03-03	$46.84	$46.00	20.3%	5.7%	19.5%	7.9%	21.2%	4.4%	1.6%	-128.6M	110.6M	-33.9M	1.38	7.02	82,016	113,499	1,777,530	3,739,638
2011-03-04	$46.90	$47.00	20.3%	6.3%	19.5%	8.2%	22.6%	6.3%	1.4%	-117.7M	-10.6M	-34.3M	1.95	6.58	76,554	149,225	1,815,821	3,752,563
2011-03-07	$46.25	$47.00	27.6%	7.0%	20.1%	28.9%	25.8%	6.5%	0.7%	-177.4M	1.16B	-34.3M	2.80	5.54	30,728	85,919	1,844,984	3,783,140
2011-03-08	$46.81	$47.00	23.7%	6.4%	20.6%	17.7%	24.0%	6.3%	1.5%	-144.1M	220.7M	-33.8M	1.24	6.80	179,221	222,762	1,847,720	3,817,385
2011-03-09	$46.83	$47.00	22.0%	6.5%	20.6%	12.9%	22.3%	5.7%	1.4%	-123.5M	55.9M	-34.0M	0.72	6.94	206,790	148,800	1,992,846	3,855,886
2011-03-10	$45.65	$47.00	24.9%	7.1%	21.3%	21.1%	28.0%	6.3%	1.1%	-225.7M	2.29B	-34.9M	3.94	6.98	62,437	246,145	2,139,619	3,867,580
2011-03-11	$46.04	$47.00	24.1%	6.9%	21.0%	18.7%	25.7%	6.5%	1.5%	-206.1M	1.46B	-34.2M	2.65	8.64	46,196	122,455	2,144,163	3,911,705
2011-03-14	$46.25	$47.00	24.2%	6.9%	20.6%	19.2%	26.0%	6.8%	1.4%	-166.8M	1.06B	-33.1M	2.03	16.63	53,339	108,230	2,136,164	3,887,294
2011-03-15	$45.41	$47.00	26.9%	7.7%	21.5%	26.8%	27.4%	7.1%	0.5%	-268.9M	2.71B	-32.9M	3.86	24.99	94,279	364,279	2,156,964	3,910,401
2011-03-16	$44.69	$47.00	28.4%	8.1%	22.2%	31.0%	30.5%	8.9%	0.0%	-275.6M	3.98B	-32.7M	1.68	24.34	114,802	193,261	2,166,912	3,847,094
2011-03-17	$45.14	$47.00	26.8%	7.7%	22.4%	26.6%	28.3%	8.1%	0.7%	-274.2M	3.31B	-32.3M	2.78	11.13	103,812	288,657	2,170,836	3,863,320
2011-03-18	$45.31	$46.00	26.2%	7.5%	22.4%	24.9%	29.1%	8.3%	0.9%	-198.5M	2.85B	-31.4M	3.90	6.52	111,660	435,953	2,189,540	3,842,437
2011-03-21	$46.10	$46.00	22.9%	6.6%	23.2%	15.6%	23.7%	7.6%	1.5%	-101.8M	791.0M	-31.3M	1.57	13.34	68,106	106,950	1,482,941	2,772,579
2011-03-22	$46.25	$46.00	22.6%	6.5%	19.9%	14.5%	24.8%	6.5%	1.4%	-91.5M	611.8M	-31.1M	2.60	5.93	44,205	114,717	1,510,538	2,824,151
2011-03-23	$46.77	$46.00	21.5%	6.2%	20.2%	11.4%	23.5%	6.8%	1.7%	-57.5M	113.5M	-31.3M	0.70	7.03	178,272	124,940	1,527,024	2,855,212
2011-03-24	$47.39	$46.00	20.5%	5.9%	20.5%	8.6%	21.2%	5.5%	2.5%	9.6M	-745.4M	-31.4M	1.16	3.61	94,753	110,035	1,650,086	2,886,984
2011-03-25	$47.34	$46.00	18.4%	6.0%	20.3%	2.5%	18.3%	5.6%	1.9%	13.3M	-780.5M	-31.7M	0.16	9.22	384,045	61,000	1,714,796	2,916,700
2011-03-28	$47.09	$46.00	21.3%	5.9%	20.4%	10.7%	18.9%	4.2%	2.2%	18.6M	-318.3M	-31.4M	0.11	6.70	399,247	45,098	1,986,233	2,884,608
2011-03-29	$47.64	$46.00	17.8%	5.7%	20.2%	1.0%	20.5%	3.2%	2.3%	128.0M	-1.26B	-32.0M	0.48	5.95	191,685	91,935	2,029,142	2,902,396
2011-03-30	$48.26	$46.00	19.2%	5.4%	20.1%	5.0%	18.8%	3.6%	2.5%	213.9M	-1.93B	-32.0M	0.72	4.79	212,918	152,392	2,169,029	2,948,638
2011-03-31	$48.67	$46.00	17.7%	5.1%	19.0%	0.5%	19.1%	4.2%	2.5%	245.2M	-2.34B	-32.6M	0.97	5.00	114,224	110,698	2,212,018	3,007,978